UBS ended last week on a reverse convertibles theme in the US, with the launch of a further seven products on February 24. Eleven other structured products were registered in the US on that date, including leveraged return, bonus and autocallable products from Royal Bank of Canada (RBC), Goldman Sachs, Bank of America Merrill Lynch (Baml), Barclays Bank, Deutsche Bank and HSBC.
The reverse convertibles from UBS include a 10-month product based on luxury resort company Las Vegas Sands, which pays an annualised rate of 10.02% and puts capital at risk if the final-level barrier of 78% is breached. Deutsche Bank filed four reverse convertibles linked to US stocks.
UBS also filed two autocallables with 1.01-year terms that offer fixed, early returns if certain conditions are met on any observation date. One is linked to Kinross Gold and the other to Weatherford International. Principal is at risk if the final-level barrier – of 80% and 70%, respectively – is breached.
Royal Bank of Canada, Goldman Sachs and Baml offered leveraged return products tied to the MSCI EAFE, S&P 500 and S&P MidCap 400 indexes, respectively. The products from RBC and Goldman have a maturity of 2.25 years and offer the potential for accelerated returns of four times the rise in the index, with principal at risk if the index finishes below its initial level. Baml's leveraged return note is a 1.17-year investment that offers potential accelerated returns of three times the growth in the index subject to a maximum return of 115–119%.
The HSBC bonus structure is a 1.03-year product linked to the S&P 500 that offers a minimum return of 5% provided the closing-day barrier of 80% is not breached, with potential additional returns equal to the growth in the index if it finishes above 105% of its initial level. Returns are capped at 120%.
The week on Risk.net, November 25-December 1, 2016Receive this by email