Market snapshot

As the volume of sales of structured products in the US decreases, leveraged return products remain the most popular product, followed by bonus structures and then reverse convertibles. The UK market continues to be led by capital-at-risk annual kickouts, with simple growth products next and then capital-at-risk income notes, writes Tim Mortimer

Tim Mortimer, Future Value Consultants

The notional of structured products sold in the US market fell in December 2011 compared to the previous month, amounting to $830 million across 353 products.

The most prolific structure in the US remains the leveraged return, with 55 products issued and almost $250 million of notional sold, making up over 30% of market share. Leveraged notes were followed by bonus structures, with almost $200 million of notional sold and 23 products structured. Third place was taken by reverse convertibles, with $138 million of notional accounted and 17% of all deals issued in the US.

In the UK, the most popular products were capital-at-risk annual kickouts, which recorded a 28% share of the retail market. Second place was taken by simple growth products with roughly 22% of notional sold, followed by capital-at-risk income notes with 14%.

JP Morgan was the most popular provider in the US, selling almost 19% of all structured products, followed by HSBC with over 13% and Royal Bank of Canada with almost 13% of all notional sold.

In the UK retail market, Investec Structured Products was again top of the table, providing almost 18% of products sold in December, followed by the Royal Bank of Scotland, which accounted for 16.5%, and Barclays Bank, with 12% of notional sold.

The S&P 500 Index was the most common underlying in the US in December by notional, with over $400 million invested

The S&P 500 Index was the most common underlying in the US in December by notional, with over $400 million invested in structures that were linked to the benchmark index. The S&P 500 was followed by other frequently used assets, such as the iShares MSCI Emerging Markets Index Fund and the Russell 2000 Index. The most popular single stock to be used as an underlying was Cummins, a global power company. The majority of products in the US (44%) had maturities of around one year.

The most popular notes in the US market in 2011 were leveraged return products, followed by reverse convertibles. Both accounted for almost 60% of all deals issued in the past year. The S&P 500 was linked to over 40% of the structures last year and the most prolific provider was Barclays Bank, which took over 14% of the market share over the past 12 months. In the UK, Investec dominated the retail market and capital-at-risk annual kickout notes were the most popular structures.