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
The week on Risk.net, July 7-13, 2018Receive this by email