This week's wrap covers structured products with strike dates between May 27 and June 2, 2018. Structures reviewed include a 12-year life insurance product from BNP Paribas in France, a bonus certificate from Goldman Sachs linked to a global real estate index in Germany and a US dollar-denominated target note from Deutsche Bank in Belgium. In the US, JP Morgan issued a capital protected note linked to the S&P Economic Cycle Factor Rotator Index while Credit Agricole introduced digital securities in Japan.

EUROPE

Eighty-nine structured products distributed across 14 different jurisdictions struck in Europe during the week.

Hedios Vie partnered with BNP Paribas for the launch of H Rendement 38 in France. The life-wrapped product has a maximum term of 12 years, but can be redeemed early, on the annual observation date, providing the S&P Euro 50 EW Synthetic 5% Price Index closes at or above 95% of its initial level. In that case, the product offers 100% capital return plus a coupon of 7% per year elapsed. BNP Paribas Arbitrage, the issuer, pays an annual remuneration up to a maximum of 1%.

In Germany, Goldman Sachs issued a bonus certificate linked to the Reitsmarket Global Balanced Price Index. The index, for which Euronext is the administrator, is designed to track listed real estate worldwide through the performance of a portfolio of 40 global real estate securities selected using a multi-factor ranking methodology and risk optimisation techniques. Goldman pays a maximum sales commission of 1.5% of the nominal amount.

Deutsche Bank is distributing the US dollar-denominated Europe Target Note 2021 in Belgium. If, during the three-year investment term, the underlying Eurostoxx 50 index closes at least once above 130% of its starting level (daily observations), investors are guaranteed a 120% capital return at maturity. The product is listed in Luxembourg and sold €5m. The securities are issued at 101%, which includes distribution costs of up to a maximum of 3% and structuring costs of maximum 2%.

Danske Bank launched Global Hållbar Tillväxt SED8 in Sweden. The five-year, capital protected notes participate 145% in the positive performance of the Solactive Sustainable Development Goals World Index, subject to 12-month backend averaging. The product is listed on Nasdaq OMX Stockholm and issued at 110%. A fee of 2% is added to the issue price.

NORTH AMERICA

Five hundred and seventy-three products had strike dates in North America. They were all targeted at the US market.

JP Morgan issued seven-year Principal Protected Notes (48129MQS8) linked to the S&P Economic Cycle Factor Rotator Index in the US. The capital protected notes collected $470,000 and participate 330% in the positive performance of the index which allocates exposure among four sub-indices which represent momentum, value, quality and low volatility, respectively: S&P Momentum United States LargeMidCap ER Index, S&P 500 Pure Value ER Index, S&P 500 Buyback FCF ER Index, and the S&P 500 Low Volatility High Dividend ER Index. Each sub-index is a rule based index that seeks to maintain a target volatility of 6%. The estimated value of the notes is US$907.80 per US$1,000 principal amount. A commission of US$40.63 per note applies.

Also in the US, GS Finance issued the underlie-linked notes (40055Q5Y4), for which Goldman Sachs acts as the guarantor. The 3.5-year securities are linked to two exchange-traded funds: the iShares MSCI EAFE and iShares MSCI Emerging Markets ETFs. At maturity, if none of the underlying ETFs has fallen by more than 30% compared to its strike level, the product offers 100% capital return plus the greater of 0% and [240..250]% of the rise in the worst performing ETF. The estimated value of the notes is expected to be between US$940 and US$990 per US$1,000 face amount.

MIDDLE EAST & AFRICA

Five products were added to the Mea database this week.

Stanlib, which is part of Standard Bank Group, issued Capped Protected Index Top 40 in South Africa. The five-year deposit offers minimum 100% capital return plus 100% participation in the rise of the FTSE/JSE Africa Top 40 index, capped at an overall maximum return of 250%.

ASIA PACIFIC

One hundred and fourteen structured products struck in the Apac region during the week. The products were split across four databases: Australia (six), Japan (40), South Korea (16) and Taiwan (52).

Bank Sinopac is marketing the six-month Memory Autocallable 037001003470 in Taiwan. The securities, which are denominated in US dollars, are linked to a basket composed of three ETFs: the iShares China Large-Cap, iShares MSCI Brazil Capped and Vaneck Vectors Russia. Societe Generale is the issuer of the product, which is targeted at private banking investors.

UBS issued Callable Goals Series CG114R in Australia. The product, which is wrapped as a deferred purchase agreement, pays a fixed coupon of 6% pa and is linked to a basket comprising the stocks of Australia & New Zealand Banking, Commonwealth Bank of Australia, National Australia Bank and Westpac Banking.

In Japan, Iwaicosmo Securities is distributing Digital M20191127, a 1.5-year unlisted registered note linked to the share of Tosoh. The securities are issued via Credit Agricole CIB and offer a fixed coupon of 8.7% pa for the first quarter of investment. Every quarter thereafter the coupon is also set at 8.7% pa providing the share closes at or above 85% on the valuation date. Otherwise a coupon of 1% pa is paid.

Shinyoung Securities introduced ELS 7329 in South Korea. The three-year notes are linked to a basket comprising three indices: the Eurostoxx 50, Kospi 200 and S&P 500. At maturity, the product offers 100% capital return plus a 10.2% additional payout if the worst performing index closes at or above 65% of its strike level on May 26, 2021.