24 Feb 2012, Hannah Collins, Structured Products
Barclays Bank is offering two 1.51-year products linked to sector-specific exchange-traded funds (ETFs). One is an unleveraged return note linked State Street's industrial sector ETF, and another based on the performance of the company's technology sector ETF. Returns for both are based on the performance of the relevant ETF. Principal is at risk in the industrial sector product if the final-level barrier of 74% is breached, while for the technology sector product the barrier is 78%.
Elsewhere, UBS filed a further 11 reverse convertibles with the US Securities and Exchange Commission on February 23. The remaining 12 products registered with the regulator on that date included bonus, digital, leveraged return and straddle products from JP Morgan, HSBC, Credit Suisse, Barclays, Deutsche Bank and Goldman Sachs.
Five of the UBS reverse convertibles are linked to Alpha Natural Resources, feature a 55% downside protection barrier and pay annual coupons in the region of 12%. Other underlyings include Apple, Amazon, Nvidia, Caterpillar and Textron. The reverse convertible linked to Apple pays an annual coupon of 7.1%, the lowest in the range, and comes with an 85% buffer.
JP Morgan, Goldman and Barclays all offered products linked to the S&P 500 index. JP Morgan filed a 1.03-year straddle with an upside cap of 115% and a downside barrier of 77.95%. Goldman filed a digital note with a maturity of 1.59 years and a trigger at 80%, above which there is a fixed return of 8.25–9.5%, and below which principal is at risk. The 1.03-year Barclays product is a leveraged return note that offers accelerated returns of two times any rise in the index, subject to a maximum return of 112.5%. Principal is at risk if the final level of the index is lower than 90% of the initial strike level.
Barclays and Credit Suisse also filed bonus structures. The Credit Suisse product is a 1.04-year investment linked to Amazon, with a minimum return of 12.15% provided the final-level barrier of 80% is not breached. Returns are equal to the rise in the stock above 112.15% of its initial level, with returns capped at 120%. The Barclays two-year bonus structure is linked to the S&P 500. The return is a minimum of 15–18% provided the 75% closing-day barrier is not breached. Additional returns are equal to the rise in the index if it finishes above 115–118% of its initial level. Returns are capped at 130%.
US issuance table
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