Monthly Autocall
SK Hynix · Samsung · Micron
6.00% p.a. Guaranteed Coupon · Call Basket
A 12-month structured product combining 0.50% guaranteed monthly income, upside participation on the memory basket if called, and a 60% Basket Star protection.
Strong Fundamentals Despite Correction
- The sell-off in SK Hynix, Samsung and Micron appears more related to a re-rating of stretched valuations and profit-taking than to a deterioration in fundamentals.
- SK Hynix: Q2 revenue KRW 79.3tn (+257% YoY) and operating profit KRW 60.5tn (+557%), supported by record HBM demand.
- Samsung: Q2 revenue KRW 171.5tn, with record Memory revenue and operating profit.
- Micron: Q3 revenue $41.5bn (+78% YoY) and net income $28.2bn, with Q4 revenue guided at ~$50bn.
Buy the memory cycle – not the memory winner
Rather than trying to identify the winner of the next memory cycle, the structure provides exposure to the basket as a whole.
The three names remain well positioned to benefit from the structural growth in AI-related memory demand, while US restrictions on Chinese memory suppliers should further support the competitive positioning of Micron, Samsung and SK Hynix.
Why this structure now?
- Re-strike opportunity: The correction gives us the opportunity to re-strike the basket at attractive levels, in-the-money. This means the trade can generate an attractive outcome even in a scenario where the memory sector simply stabilises.
- Elevated Volatility: The correction has significantly increased implied volatility. We monetise this volatility through a Worst-of structure, translating it into a substantially higher coupon (0.50% per month) and a Basket Star protection.
Cashflow simulation month by month
Adjust the Worst-Of and Basket level for each month. The product is automatically called if the Worst-Of reaches the Autocall Level (step-down from Month 3).
Barrier: 100%
Barrier: 95.5%
Barrier: 91%
Barrier: 86.5%
Barrier: 82%
Barrier: 77.5%
Barrier: 73%
Barrier: 68.5%
Barrier: 64%
Barrier: 60%
Basket Protection with Low Strike
If the product reaches maturity (Month 12), two mechanisms protect the capital. If the Basket maintains a level above 60%, the capital is 100% protected even if one stock crashes (Basket Star). Otherwise, the classic 60% Low Strike on the Worst-Of applies (pro-rata loss if WoF < 60%).
Maturity Calculator
Four typical market situations
The scenarios below illustrate the different outcomes of this product. Past performance is not indicative of future results.
| Scenario | Timeline | Result | Total |
|---|---|---|---|
| Early Autocall (Month 3) Fast sector rebound | M1-M2Coupons paid, no autocall possible. M3WoF = 102%, Basket = 108%. Autocall triggered! (Barrier 100%) | 100% Capital + 3 coupons (1.5%) + Call (capped at 5%) | 106.5% |
| Late Autocall (Month 9) Consolidation then recovery | M3-M8WoF fluctuates below autocall barrier. M9WoF = 75%, Basket = 80%. Autocall triggered! (Barrier 73%) | 100% Capital + 9 coupons (4.5%) + Call (80% - 73% = 7%) | 111.5% |
| Maturity - Basket Star Active Divergence: One stock drops significantly | M3-M11No autocall. e.g. SK Hynix drops. M12WoF = 55% (< 60%) BUT Basket = 85% (> 60%). | 100% Capital protected by Basket Star + 12 coupons | 106% |
| Maturity - Low Strike Triggered Broad memory sector downturn | M3-M11No autocall. All stocks drop. M12WoF = 45%, Basket = 55%. Both below 60% barriers. | Capital reduced to 75% (45/60) + 12 coupons (6%) | 81% |