This week's wrap covers structured products with strike dates between July 1-7, 2018. Structures reviewed include knockouts in France, the Netherlands, the UK and South Korea. Currency-linked products drove significant activity in Sweden and Japan; meanwhile in the US, a Phoenix note from UBS linked to Facebook sold less than US$400,000 despite the promise of a coupon of almost 9% per annum.

EUROPE

Two hundred and twenty-six structured products distributed across 12 different European markets struck in Europe during the week.

Kempen launched the VL 95% Index Garantie Note 18-23 in the Netherlands. The five-year securities are issued via parent company Van Lanschot and participate 100% in the positive performance of the AEX index, subject to a minimum capital return of 95% and a maximum return of 120%.

"We have chosen the AEX Index as underlying for this product, because it gave slightly better conditions compared to the Eurostoxx 50 and because it gives investors in the existing VL Index Garantie Note Netherlands 14-20 an opportunity to roll over to the new VL 95% Index Garantie Note Netherlands 18-23 and lock in some profit," said Marcel Pronk, structured products distribution, Kempen.

BNP Paribas Fortis brought to market the Green Bond 2026 in Belgium, a capital protected certificate offering a 100% participation in the positive performance of the Ethical Europe Climate Care Index subject to 30 months backend averaging. Costs included in the issue price linked to the structuring and management of the certificates include one-off structuring and placement fees of 1.72% and 1.40%, respectively, of the nominal amount.

In Sweden, Garantum joined forces with Citigroup to launch Kupongcertifikat Tillväxtvalutor nr 3411. The five-year note pays a fixed annual coupon of 10% and 100% capital return at maturity on the condition that an equally weighted currency basket comprising Indian rupee, Brazilian real and South African rand has appreciated relative to the euro.

Kepler Cheuvreux Solutions pitched among French investors its Millesima Juin 2018, a 10-year knockour structure that collected €3m during the subscription period and can be held as a life insurance. The product will be redeemed early if the underlying Solactive Eurozone 50 Equal Weight 5% AR Index closes at or above its initial level on any monthly observation date, after the first year of investment. Goldman Sachs is the issuer and the product is listed in Luxembourg.

Mariana Capital has collaborated with Societe Generale for the launch of the second tranche of its UK Europe Equal Weight Defensive Kick Out Plan. At maturity, the product will pay 100% capital return plus 48.6% growth if both the FTSE 100 Fixed Dividend Yield Equal Weight Custom Index and Euro iStoxx Equal Weight Constant 50 are at or above 65% of their initial levels. The plan, which is issued via the SG Issuer vehicle, is listed on the London Stock Exchange.

NORTH AMERICA

Twenty-three structured products, split between Canada (13) and the US (10), had strike dates in North America.

National Bank of Canada launched the Global Equitey Markets GIC Series 9F in Canada. The five-year structured deposit offers 110% participation on the upside performance of a underlying basket composed of two exchange-traded funds (BMO MSCI EAFE Hedged to CAD Index ETF, iShares Core S&P 500 ETF CAD - Hedged) and two indices (Eurostoxx 50, S&P/TSX Composite Low Volatility Index). The product is eligible for tax-free savings accounts (TFSAs), registered retirement savings plans (RRSPs) and deferred profit sharing plans (DPSPs).

UBS issued its Phoenix Autocallable Optimisation Securities linked to the share of Facebook. The product which sold US$388,000 pays a quarterly contingent coupon of 8.78% pa. if the share does not fall by 30% or more from its initial level which was set at US$197.36 on July 2. The estimated initial value of the securities on the trade date is US$9.72 and an underwriting discount of US$0.15 per security applies.

MIDDLE EAST & AFRICA

First International launched a US dollar-denominated deposit linked to the S&P 500 in Israel. The product offers 100% capital return plus 55% of the rise in the index. The final level of the index is calculated as the average of six quarterly readings taken throughout the 18 months investment period.

ASIA PACIFIC

Two hundred and thirty-four structured products struck in the Asia-Pacific region during the week. The products were split across three databases: China (five), Japan (11), South Korea (218).

HSBC Bank issued the two-year CNY Note S32 in China, a product wrapped as a wealth management scheme, offering exposure to the Stoxx Europe 600 Oil & Gas Index. Investors can request to redeem the note early, but HSBC reserves the right to accept or decline the request.

Credit Agricole Securities and Mitsubishi UFJ Morgan Stanley PB Securities are distributing PRDC M20280706 in Japan. The 10-year note, which is linked to the appreciation of the Mexican peso relative to the Japanese yen, pays a fixed semi-annual coupon of 10% pa. during the first two years of investment. The bond for this product is issued by Credit Agricole CIB.

Meritz Securities issued equity-linked securities (ELS) 589 in South Korea. The three-year product will be redeemed early at the end of each semester, providing the worst performer of three indices - Eurostoxx 50, Kospi 200 and S&P 500 - closes at or above a predetermined level of its strike level on the observation date.

Also in South Korea, NH Investment & Securities launched the DLS 3284, a three-year autocall note linked to the price of WTI and Brent crude oil. At maturity, the product offers 100% capital return plus a coupon of 31.2% if the price of the worst performing commodity is at or above 80% of its initial level if the product has not triggered its early maturity feature.