The World Bank has teamed up with JPMorgan to issue a structured retail note linked to the Uruguayan peso (UYU) and the Republica AFAP Dynamic Risk Controlled Index, with which it is aiming to raise $80m.
The five-year growth deposit is a hybrid uncapped call structure linked to the performance of the Republica AFAP Dynamic Risk Controlled Index and the UYU/USD FX rate. At maturity, the product will pay out the maximum between an amount in US dollars equal to the sum of the Uruguayan peso-linked principal and 100% participation in the positive performance of the index. The return will be subject to currency exchange risk.
The Republica AFAP Dynamic Risk Controlled Index is a JPMorgan-sponsored proprietary index and tracks a basket of 22 equity, foreign exchange and commodity indices and exchange-traded funds (ETFs). The index is calculated by Markit Indices Limited and the index allocation agent is Republica AFAP, a financial services firm based in Uruguay.
The product issuer is the International Bank for Reconstruction and Development within the World Bank's global debt issuance facility.
The product is listed on the Luxembourg Stock Exchange and struck on 8 March.
According to SRP data, the World Bank currently has 27 live products with an estimated sales volume of over $1.1bn. Last year, it marketed seven callable step-up notes linked to the interest rate.