ENHANCED DEFENSIVE BARRIER
Improved Protection over a European Barrier
The halfway house between a deep European barrier and full capital protection.
This product has an Enhanced Defensive Barrier using the feature known as a Leveraged Put.
Client capital is still at risk if the worst performing underlying is below the final barrier level on the maturity date.
If a European barrier is breached, capital is reduced on a 1 to 1 basis in line with the worst performing underlying. so For example, with a 50% European-style barrier, if the worst performing underlying has fallen by 60% from its initial level, then investors will receive 40% of their capital back.
With an Enhanced Defensive Barrier, capital is lost proportionately from the barrier level. For example, with a 50% leveraged put, investors would lose 2% for every 1% the worst performing underlying is below the put level. So if the worst performing underlying had fallen by 60% investors would get back 80% of their initial capital (rather than 40% with a European-style barrier.
It is important to remember that in most scenarios, the European Barrier will be more than enough to protect client capital, however, the Leveraged Put can deliver enhanced protection for investors who are cautious of risking capital, but wish to take advantage of the opportunity for competitive returns.
An Enhanced defensive barrier will always provide an enhanced return over a European barrier if the final barrier is breached, however, the improved return will vary depending upon the barrier level. Please refer to the factsheet for full details.
|Barrier Level||Improvement over a European Barrier at this level|
|50%||2 x capital payable under a European Barrier if barrier breached|
|60%||1.66 x Capital payable under a European Barrier if barrier Breach|
Return of Capital Based on Worst Performing Underlying as a % of the strike level
Please refer to the factsheet for a detailed explanation of how the Leveraged Put works or contact your account manager.