This week's wrap covers products with strike dates between February 18-24, 2018. Structures reviewed include three 100% capital protected products in Europe, proving there are still investors out there who are prepared to hold onto their products for a longer duration, instead of gambling on autocallables and waiting for the early knockout, a Canadian note that dynamically writes covered call options, an offering from Credit Suisse linked to a basket of three exchange-traded funds in the US and a shekel deposit with a shark fin payoff in Israel.
EUROPE
Fifty-two structured products distributed across seven different jurisdictions struck in Europe during the week.
Bank Austria launched the HVB Garant Anleihe 12/2025, which is available to retail investors in Austria and Germany. The capital-protected securities are listed on the exchanges of Frankfurt and Stuttgart and participate 100% in the positive performance of the Emerging Focus Strategy Index, which is compiled and calculated by Unicredit. The index consists of the Amundi Funds Equity Emerging Focus Fund and the HVB 3 Months Rolling Euribor Index.
In Belgium, BNP Paribas Fortis partnered with AG Insurance for the launch of the Smart Invest Bon Global Infrastructure 2028/2, a 10-year, fully-protected product linked to the Solactive Global Infrastructure Select 40 Index that sold €15.2m in subscription. The Smart Invest Portfolio is an individual life insurance (Class 23) according to Belgian law linked to one or more investments funds with a fixed term (Smart Invest Bon) and to AG Life Cash Euro, an open-ended defensive investment fund (but without capital protection), also called a 'waiting fund'.
Danske Bank is distributing Osakeobligaatio Maailma XXIII FEA8B - Tuottohakuinen in Finland. The four-year, capital-protected note is listed on the Irish Stock Exchange and offers 130% participation in an equally-weighted basket of 10 shares. The product is issued at 110% and the issue price includes a structuring cost of approximately 0.5% pa.
In the UK, Brown Shipley, a subsidiary of KBL European Private Bankers, collaborated with BNP Paribas for the Autocallable Bonus Note. The six-year medium-term notes are denominated in GBP and linked to the performance of the BNP Paribas Synergy Limited Preference Shares Series 621 which in turn are linked to the worst of FTSE 100 and Nikkei 225.
NORTH AMERICA
One hundred and thirty-nine structured products struck in North America during the period, including 26 targeted at investors in Canada and 113 aimed at the US market.
Bank of Montreal launched the Callable Equity Income Notes 520 in Canada. The seven-year securities pay a fixed annual coupon of 9%, providing the BMO Canadian High Dividend Covered Call ETF is at or above 80% of its initial price on the observation date. The reference ETF, which screens securities for dividend growth, sustainability, and option liquidity, is designed to provide exposure to a dividend focused portfolio, while earning call option premiums. The ETF also dynamically writes covered call options.
Citi issued three-year market-linked notes which sold $5.1m in the US. The securities are fully capital protected and participate 100% in the upside performance of the iStoxx Europe Economic Growth Select 50 Index, which aims at investing in liquid, low volatility and high dividend stocks from the Stoxx Europe 600 Index. The 50 constituents are weighted according to an economic growth score defined as an exposure weighted average of the IMF's GDP growth projection for the countries in which those companies generate their revenues. The estimated value of the notes on the pricing date was set at $948.60 per note and an underwriting fee of $17.50 applies.
Also in the US, Credit Suisse issued contingent coupon autocallable yield notes linked to a basket of three ETFs: iShares Nasdaq Biotechnology, SPDR S&P Bank and VanEck Vectors Semiconductor. The two-year notes, which sold $6m, pay a quarterly coupon of 15% pa, providing each ETF is at or above 70.75% of its initial level on the observation date. A commission of up to $17.50 applies and certain fiduciary accounts may pay a purchase price of at least $982.50 per $1,000 principal amount of securities.
LATIN AMERICA
There were no structured products striking in the Latam region this week.
MIDDLE EAST & AFRICA
There were two structured products striking in the Mea region this week.
Bank Leumi launched a 3.5-year shekel deposit (453 1) linked to a basket of eight stocks. The product has a shark fin payout structure and the performance of each share is taken as equal to its actual performance, if it remains below 142% of its strike level on every day of the investment period. Otherwise, the performance is taken as being equal to 3%. There is also a US dollar version of the product which has a term of 1.5 years.
ASIA PACIFIC
Sixty-four structured products struck in the Apac region during the week. The products where split across four markets: South Korea (52 products), Japan (four), Hong Kong (seven) and China (one).
Hirota Securities collaborated with HSBC for the launch of EB M20200219 in Japan. The two-year registered note pays a fixed coupon of 4% pa and will be redeemed early if, on the quarterly valuation date, the share of Nomura closes at or above 105% of the initial price.
Bank of China is distributing the three-month Target Rate Investment 32E in Hong Kong. The deposit is denominated in Australian dollars and pays a coupon of 1.29%, if the spot exchange rate for the Australian-US dollar currency pair expressed in the amount of US dollars per one Australian dollar is at or above the target rate (initial fixing rate plus 0.0200) on May 17, 2018. Otherwise, a coupon of 1% is paid. The interest rate for a three-month time deposit for a stake of A$10,000 stood at 0.25% pa on February 12.
In South Korea, KB Investment & Securities launched KB DLB 5005. The product, which is wrapped as a DLB (non-equity linked capital protected bond), is linked to the Certificate of Deposit Rate 91d -the rate on traded certificates of deposits on the primary and secondary markets. If the final spot rate is at or below 100% of the initial spot rate, the product offers a capital return of 100.5585%.