Balancing correlation
Credit Suisse is offering US investors a 5.5-year structured product that is based on a basket that is balanced by the inclusion of the iShares Barclays Tips Bond Fund ETF. As well as proving to have low volatility, the fund is not correlated to the other four underlyings in the basket.
Principal is 100% protected at maturity, subject to credit risk. If the underlying is above the strike level of 100% then the investor has a participation rate of 130%. Since this is added to 100% of the principal amount this represents the potential return for the investor.
This basket of underlyings is used by Credit Suisse in several products, with the five components as follows: S&P 500 (50%), iShares Barclays Tips Bond Fund (25%), iShares MSCI EAFE Index Fund (10%), SPDR Gold Trust (10%) and
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