US Wrap: Market banks on S&P 500 growth

The US market has turned back to S&P 500-linked products, with accelerated growth structures linked to the index making up half of new issuance yesterday. Principal protected and autocallable structures were also launched on the index.

Merrill Lynch used Swedish Export Credit as the issuer for its accelerated growth note, and offered 200% participation in the index, an upside cap of 18-22% and a 10% downside buffer over two years. Deutsche Bank offered a note with similar terms but with half the maturity - the upside cap is 15.2% and participation in index losses below the buffer will be 111.11%.

Credit Suisse launched two notes with the highest participation rates on offer. A note lasting 18 months gives 400% participation up