Straddles in vogue as Goldman and JP Morgan dominate

fashion
Goldman Sachs and JP Morgan dominate new SEC filings

Both JP Morgan and Goldman Sachs filed three new products with the US Securities and Exchange Commission on March 21, offering a selection of autocallable, straddle, reverse convertible and leveraged return notes

JP Morgan continued its run of registering varied structured products with the US Securities and Exchange Commission (SEC) on March 21, with offerings of a straddle, an autocallable and, unusually, a reverse convertible. Goldman Sachs also chimed in with three new products, all of which are leveraged return notes. In all, 10 new products were filed with the US regulator.

JP Morgan's reverse convertible has a short maturity of three months and is linked to Stone Energy. It pays an annualised rate of 10% and has a downside protection barrier of 67.87%. The bank's straddle product is linked to Apple shares and is a 1.03-year investment with an upside cap of 118.15% and a downside barrier of 80%. Lastly, the autocallable product also has a 1.03-year maturity and is linked to the S&P 500, with a downside protection barrier of 90%.

Two of Goldman Sach's leveraged return notes are linked to the performance of exchange-traded funds (ETFs). One is a 1.59-year investment based on the MSCI EAFE Index, offering potential returns of four times the growth in the index capped at 129–134%. Principal is at risk if the index finishes below its initial level. The other is also a 1.59-year product attached to the fortunes of the iShares MSCI Emerging Markets Index Fund. It offers potential returns of two times the growth in the fund subject to a maximum return of 131–136%: capital is at risk if the fund finishes below its initial level.

Morgan Stanley filed a two-year straddle linked to the iShares MSCI EAFE Index Fund, with an upside cap of 123–127% and a downside barrier of 75%.

us-issuance-march-21

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here