This week's wrap covers structured products with strike dates between May 13-19, 2018. Structures reviewed include a capital protected notes from Deutsch Bank and Credit Suisse in Belgium and Sweden, respectively, and a collaboration between private bank Meeschaert and BNPP in France. In the US, Morgan Stanley teamed up with Barclays for 95% protected securities linked to MSCI Europe while HSBC issued autocalls in both China and Japan.

EUROPE

One-hundred and seventy-six structured products distributed across eight different jurisdictions struck in Europe during the week.

Meeschaert, a French financial services company with focus on private banking, family office, asset management and private equity, launched Athéna Metis Certificates in France. The autocallable securities, which are issued via BNP Paribas, are linked to the Eurostoxx 50 and have a maximum duration of 10-years. Application has been made to list the certificates on Euronext Paris.

Deutsche Bank is marketing Fund Opportunity Coupon 2028 II in Belgium. The 10-year medium-term note (MTN) provides a yearly coupon equal to 100% of the annual performance of the M&G Dynamic Allocation Fund (Euro Class A), subject to a maximum coupon of 4% p.a. The product is listed in Luxembourg and issued at 102%. The issue price includes commission payable to the distributor of up to 5% of the nominal amount split between a 2% placement fee and 3% distribution fee. The product is listed in Luxembourg and sold €8m during the subscription period.

In Sweden, Exceed teamed up with Credit Suisse for the launch of Obligation Global Index 1803A. The capital protected securities have a term of eight years and participate [90-140]% in the positive performance of the Stoxx Global Select 100 EUR Index, subject to 24 months backend averaging. The index tracks highest yielding stocks from the Americas, Europe and Asia Pacific region from the Stoxx Global 1800 Index.

Vontobel issued Defender Vonti linked to the share of Facebook in Switzerland. The certificates, which are denominated in US dollars, have a term of one-year and one month and pay a fixed coupon of 7.19% p.a. The issuer estimated value (IEV) of the product is estimated by Vontobel at 97.97%, which gives a total expense ratio (TER) of 1.86% p.a. Distribution charges of up to 0.92% are included in this TER figure.

NORTH AMERICA

Forty-three structured products had strike dates in North America.

Barclays collected US$24.8m with the Partial Principal at Risk Securities in the US. The two-year notes protect 95% of the nominal invested and, if the underlying MSCI Europe Index closes at or above its initial level at maturity, the products pays an additional redemption amount equal to 137% of the appreciation of the index, subject to an overall maximum return of 140%. The product is distributed via Morgan Stanley Wealth Management and its financial advisors who will receive a fixed sales commission of $0.20 (2%) for each security they sell. The estimated value of the notes, based on Barclays' internal pricing models is $9.69 per security.

Also in the US, UBS issued Trigger Phoenix Autocallable Optimisation Securities (90284G300). The notes, which sold $100,000 provide annual income linked to the SPDR S&P Oil & Gas Exploration & Production ETF. An underwriting discount of 1.5% applies and the estimated initial value of the securities as of the trade date is 96.6%.

LATIN AMERICA and MIDDLE EAST & AFRICA

There were no structured products added in the Latam and Mea regions this week.

ASIA PACIFIC
One hundred and nineteen structured products struck in the Apac region during the week. The products were split across four databases: China (27), Japan (12), South Korea (21) and Taiwan (59).

HSBC issued the CNY Note S12 in China. The six-month wealth management scheme is linked to the performance of two exchange-traded funds: CSOP FTSE China A50 ETF (HKD) and Hang Seng H-Share IDX ETF. The product will be redeemed early at the end of each month providing the closing level of the worst performing ETF is at or above 102% of its initial level. In that case the product offers 100% capital return plus a coupon of 8.1% p.a.

HSBC was also active in Japan as the bond provider for EB M20191115 which is distributed via SBI Securities. The 1.5-year unlisted registered note, which has an autocall feature, is linked to the share of Fanuc and offers a fixed quarterly coupon of 5.2% p.a. At maturity the product returns 100% of the initial capital if the price of Fanuc has never fallen below 70% of its initial level throughout the investment term. Otherwise, the securities will be redeemed by physical delivery of the underlying share instead.

In Taiwan, DBS Bank introduced a knock-in memory autocallable note linked to the VanEck Vectors Junior Gold Miners ETF and the share of Alibaba. The product, which is denominated in US dollars, has a term of eight months and is targeted at private banking investors.

Korea Investments & Securities launched True ELS 10348 in South Korea. If not redeemed early, the product returns at maturity 100% of the nominal invested plus a fixed 22.5% payout if the worst performing out of Eurostoxx 50, HSCEI and S&P 500 Low Volatility Target Beta Index closes at or above 80% of its initial level on May 11, 2021.