US Wrap: Morgan Stanley and Goldman Sachs both straddle US equity

Two issuers launched straddle products into the US market at the close of last week, offering investors a non-directional play on the S&P 500 index. Goldman Sachs launched an 18-month product which pays 100% participation in the index in either direction, within a range of 24-28% on the upside and 72-76% of the index's initial level on the downside. If the index slips outside this range, then investors will receive back only their principal, which is 100% protected. Morgan Stanley's product lasts two years and pays 42-47% on the upside, with a downside barrier of 67.5% -72.5%. Participation and capital protection are both set at 100%.

Both issuers also launched near identical accelerated growth structures linked to the S&P 500. Each lasts two years, although Goldman product is more conservative, offering 150% participation in index rises with a downside buffer of 20%, whereas Morgan Stanley's product features 200% participation with 10% downside protection. However, the upside caps are relatively similar, with upper limits ultimately at around 48% for each.

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Goldman Sachs

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