After the recent pick-up in reverse convertibles, the latest issuance sees a return to accelerated growth products, including a basket product issued by Bank of America, which last month replaced Barclays as the top issuer in the US in terms of notional.
Bank of America's two-year accelerated growth product has a participation rate of 200% in the underlying basket of the MSCI EAFE (27.5%), MSCI Emerging Markets (27.5%) and S&P 500 (45%) indexes.
Gains are capped at 17-21% and there is a buffer at 15% below the strike level. If that is breached capital will be lost at the rate of 1:1.
The remaining accelerated growth products in the offering track the S&P 500, with the exception of a JP Morgan product linked to the iShares Russell 2000 Index Fund. The Buffered Return Enhanced Notes Linked to the iShares Russell 2000 Index Fund has a 200% participation rate, with returns capped at 24.15-29.15%.
There is a buffer level at 15% below the strike, below which capital will be lost at the rate of 1:1.
The two products have similar scores. The Bank of America product is rated 8 overall and 3.2 for its riskmap score, while the JP Morgan product is rated 8.6 and 3.2, respectively.