8/12/2019 Reverse Convertible Tesla RBC

1/4

Medium

RiskYield

Enhancement

Reverse Convertible on TSLA

Investment Terms

Issuer RBC

Notional- $1,116,000.00

Unit Size-1116 units

CUSIP-78010UF28

Underlying- Tesla Motors,

Inc.

Pricing date- 6/26/2014

Maturity data-9/30/2014

Max Return- 113.75%

Minimum Return- 0%

Issuer Details

Issuer - RBC S&P Credit Rating.

Market capitalization 115

Bn

CDS 5y spread 70 bps

Investment underlying opportunity: Tesla Motors, Inc. (TSLA) stock had been performing well

over the last few months. The stock rose from $149.56 to $224.54 by July 24th, 2014 increasing

almost 50% since January.This is due to variety of new strategic developments that have resulted

in the stock price growth. Notable news the open sourcing of its patents and the introduction of

the CUV known as Model X and a smaller sedan known as the Model III. This stock might pull

back temporarily but has good potential for appreciation. This would suggest stock has high

probability to move with in a narrow range.

Further analysisGatickGlobalsolutions:www

.gatick.com

8/12/2019 Reverse Convertible Tesla RBC

2/4

Risk Return Dashboard

Expected

Return

12.883 %

Volatility 16%

Risk Score 3

Capital

Guaranteed

No

Maximum

Loss

100% of

investment

Performance Measure

Expected

Return

High

Market Risk High

Issuer Risk Low

Complexity Low

TSLA statistics

Beta 1.37

P/E N/A

RoE -18.7%

Current Ratio 1.9

Leverage Ratio 3.6

Altman's Z-Score 10.36

Dividend Yield 0.0

Total Debt/Equity 0.91

Structured note investment underlying

has beta of 1.37, the Z-score

is 10.36, and it has high debt

to equity.

Currently TSLA shares are at $223.54 its

competators Toyota( TM ) , General Motors (GM)

and Ford (F) are at $119.38, $35.74 and $19.60

respectively.

This is a company that is about 4 years old.

This note has three months to maturity.

The expected return is good. Reverse

convertible has a payoff similar to

acovered strangle position.This

position pays limited amount on

the upside with potential to loss

all of the initial investment . This is a

good investment if the underlying

stock moves with in anarrow range.

Investment Metrics

GatickGlobalsolutions:www

.gatick.com

-35

-30

-25

-20

-15

-10

-5

0

5

10

15

-100 -50 0 50 100 150 200 250

Note Return

Note Return

8/12/2019 Reverse Convertible Tesla RBC

3/4

Note Performance

(Historical)

Note Performance

(Future Stress test)

Return 12.883% per annum 12.883 per annum

Note Payoff 113.75 113.75

Probability of Gain 94.8 94.8

Risk Score 3 3

Volatility 16% 16%

Probability of Loss 5.18 5.18

Expected Maturity 3 months 3 months

This note has returned 12.883% per annum historically with a probability of gain of 94.8.

Therefore from a mathematical perspective, this note is most certain to deliver theexpected return without losing the principal.

Investment Performance

GatickGlobalsolutions:www

.gatick.com

-100

-50

0

50

100

150

200

250

6/29/2010 1/15/2011 8/3/2011 2/19/2012 9/6/2012 3/25/201310/11/20134/29/2014

Historical Analysis

Asset performance

Note Return

8/12/2019 Reverse Convertible Tesla RBC

4/4

Recommendation: Metrics and historical analysis concludes this investment is a risky one for a

conservative investor. In current market environment for an adventurous investor this investment will

definitely help to obtain 12.883% per annum with protection up to a 20% decline in the stock price.

Pros Cons

Note provides a coupon of 12.883%

as long as note is above 80% of initial

level

Note offers exciting opportune

exposure to Tesla Motors stockNote offers a pre packed approach to

combine a covered call and covered

put strategy.

Note has potential to loss entire

invested principal if markets decline

below 80% of initial level

Historically this note has lost money

many timesIf the stock performs extremely well

or bad then note returns are limited

on upside to losing all of the invested

amount

Score Card: Reverse Convertible on Tesla

Market Direction (SP 500):

Market Vol (SP 500):

Underlying Direction:

Underlying Vol:

Issuer Credit (CDS):

Investor Risk Appetite:

Investment Recommendation

GatickGlobalsolutions:www

.gatick.com

Disclaimer: This report is prepared by Gatick Global solutions team. This is

not an investment advise.

Contact Details:

Karthik Misra and Chandra S Khandrika for further details and questions

Bearish Bullish

Low High

Bearish Bullish

Low High

Low High

Low High