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SRPInsight Issue 16 | June/July 2022 @SRP_Insider
IN
TRANSITION
FEATURE // LIBOR CRYPTOS // GOLDMAN ANALYSIS // LOOKING BACK
P24 p44 p50
SRPInsight
CONTENTS
Contents
Editorial:
Amelie Labbé, Pablo Conde,
Summer Wang, Marc Wolterink
Production:
Paul Pancham
Marketing: News Europe 4
Daniel Evans
Sales: News Americas 10
The Application Programming Interface (API), is a web-based software Reihaneh Fakhari
application which allows clients to access our data in a controlled News APAC 16
manner & integrate it using their own software packages & systems.
If you are interested in having a
similar bespoke report produced
for your organisation, please
Feature: Libor part 1 24
contact:
Retrieve. Reihaneh Fakhari
T: +44 (0)20 7779 8220
Feature: Libor part 2 26
M: +44 (0)79 8075 6761 Feature: Libor part 3 28
• Download real time SRP data directly to excel E: Reihaneh@structuredretail
products.com
• Receive market share on each asset class/payoff for Market Update: US market 30
each company of interest
REPRINT POLICY: Market Update: US market (part 2) 34
SRP’s Reprint Policy: Articles published by
SRP can be sent to sources for reference
and for internal use only (including
Q&A: Euronext 38
Interrogate.
intranet posting and internal distribution).
If an article is to be shared with a third
party or re-published on a public website
(i.e. a location on the World Wide Web Q&A: Qontigo 40
that is accessible by anyone with a web
• Monitor & increase your market share browser and access to the internet),
SRP offers reprints, PDFs of articles or Q&A: S&P DJI 42
• Carry out accurate trend analysis with comprenhensive advertisements, and the licensing to
republish any content published on the
product data spanning over 15 years in seconds SRP website. Prices vary depending
on size, quantity and any additional
Crypto news 44
requirements. To request authorisation
to republish any Q&A, profile or feature
published by SRP, please contact: Hedging 46
info@structuredretailproducts.com.
Incorporate. Market analysis 48
• Import data directly into in-house systems/platforms
Payoff analysis 50
and interrogate the data and risk more effectively
Product wrap 52
• Combine data sets with other products and visualise
it in the context of the larger business Front cover image: Vectorfusionart/
AdobeStock People move 55
www.structuredretailproducts.com 3
SRPInsight
NEWS | EUROPE NEWS | EUROPE
Finanzlab takes advantage of peaks in volatility Euronext adds futures to Cac 40 ESG
Finanzlab Multi Index Fund, a Swiss open-ended fund which invests in Euronext has launched a futures contract on the Cac 40 ESG index.
structured products, celebrated its first six months of existence on 20 April. forward for our derivatives franchise,” index is an important underlying for our
said Charlotte Alliot (pictured), head of structured product issuers clients.
few weeks and since the end of January Some 95.23% of the fund’s assets are institutional derivatives, Euronext.
2022, the fund is about 94% invested. invested in a portfolio of six structured “Around 80% of the indices that we
products, including an Express The futures contract will facilitate the create today for issuers of structured
These initial investments were made Certificate on a basket comprising ongoing reallocation of assets from the products include ESG considerations.
in very defensive products using 50% Eurostoxx 50, S&P 500, and SMI that is Cac 40 index to the Cac 40 ESG index, ESG is no longer a trend for us. It is
barriers providing conditional capital issued via Raiffeisen Switzerland. It offers which was launched in March 2021. being used on a continuous basis,” he
protection, according to Vincent Bonnard an annual coupon of 6.5% and has an said.
(pictured), founding partner, Finanzlab. American barrier of 50%. “Since the launch there's been a
significant reallocation of assets, Since the launch of the Cac 40 ESG
“By taking advantage of peaks in It is also invested in a callable particularly from ETF issuers who index last year, Euronext has successfully
volatility and thanks to a very active certificate from Banque Internationale à switched from the Cac standard index to launched further ESG versions of
search for the best price from numerous Luxembourg (BIL), which is linked to the the ESG version,” said Alliot. national benchmark indices including
issuers, very attractive coupons of on Cac 40, Ibex 35, and Nasdaq-100. the MIB ESG index in Milan, OBX ESG
average 7.32% per year were obtained,” Apart from natural use from the market index in Oslo and AEX ESG index in
said Bonnard. This product pays a monthly coupon of makers of ETFs who will use the futures Amsterdam.
0.633% providing all indices close at or as a hedging tool, investors are highly
With the markets facing inflation, rising above 50% of their starting price on the committed into the development of “For the issuers of structured products, it
interest rates and the invasion of validation date. The product matures in responsible finance, especially those in was a natural move,” said Rahmouni.
Ukraine, the fund was created in a very November 2023 and is listed on the Six Scandinavia, according to Alliot.
turbulent period, but its defensive nature Swiss Exchange. The new contract, which is based on “The arrival of the futures linked to
has worked as expected. the ESG version of Cac 40, the French “In Scandinavia they really are at the this index will also help facilitating
Other issuers include Aargauische national benchmark index, provides forefront of trading ESG derivatives. the management of our exposures to
“Despite sharply declining equity indices Kantonalbank (AKB), EFG, Postfinance, institutional investors with an additional implied volatility – metrics that are used
The objective of the fund is to provide and high volatility, the cumulative and Vontobel. The maximum exposure tool to contribute to the accelerating “Normally they are attracted by liquidity, commonly in this world.”
an efficient investment in a diversified advantage of very low barriers and the per issuer is 20%. development of sustainable investment. but they have mandates to switch
portfolio of barrier reverse convertible daily collection of coupons allowed their activity from the standard Cac 40 The Cac 40 ESG index combines
products linked exclusively to equity the fund to post an impressive relative The subscriptions and part of the Supported by BNP Paribas, DRW and contract to the ESG version, as they are measurement of economic performance
indices of the major developed performance, and at the end of April the coupons collected were invested during Société Générale as market makers, the strongly engaged in the reallocation of with environmental, social and
countries (so-called multi-index net asset value was down by only 1.99% the month. The cash portion therefore contract will enable market participants assets towards sustainable investments. governance impacts, in line with the
products). The strategy implements a year-to-date,” said Bonnard. slightly decreased to 4.77%. to manage and hedge ESG portfolios French SRI label and the UN Global
systematic sale of exotic options, thus efficiently and in compliance with ESG “On the index side, as well as on the Compact principles. The index excludes
capturing overvalued risk premiums. It In April, although most indices ended As of 30 April 2022, Finanzlab Multi principles, and to lower the cost of structured products side, there is also companies involved in coal, controversial
aims for absolute capital growth. up being in the red, the fund proved Index Fund has CHF7.7m (€7.5m) assets trading through the use of a futures appetite from investors to hedge or to weapons and tobacco activities.
its resilience with a NAV of CHF 97.87 under management (AuM). The fund was contract. take direct exposure in the ESG version
After its launch in October 2021, the on 29 April, down only 1.06% from the launched on 20 October 2021. There is of the Cac 40,” said Alliot. Vigeo Eiris provides the ESG assessment
initial investments were spread over a previous month. no minimum subscription. “It is the first future we released on of companies for the underlying universe
an ESG version of an index that is our Fabrice Rahmouni, head of Euronext and engages in dialogue with them on
leading benchmark […] it's a major step Index Business added: “The Cac 40 ESG their ESG performance.
The cumulative advantage of very low barriers and the
daily collection of coupons allowed the fund to post an It is the first future we released on an ESG version of an
impressive relative performance index that is our leading benchmark
4 www.structuredretailproducts.com www.structuredretailproducts.com 5
SRPInsight
NEWS | EUROPE NEWS | EUROPE
VLK, SG offer first euro fully protected Solactive opts for smart beta, sector-based
Eurostoxx 50 ESG play approach
Van Lanschot Kempen (VLK) has launched the Positive Impact Finance Capped Solactive has won the award for ‘Best Smart Beta Index Provider’ at this year’s
Index Guarantee Note (IGN) ESG Eurozone 22-29 in the Netherlands. SRP Europe Awards.
and investment advisors in both the The Eurostoxx 50 ESG index offers deposit plans distributed by Causeway a human catastrophe that also had a
Netherlands and Belgium to show them exposure to blue chip companies from Securities in the UK. negative impact on the market,” he said.
product proposals. the Eurozone, just like the traditional
Eurostoxx 50, but with a screening based “It is a climate transition, climate The business did not stop, or slow down,
This resulted first in some private on ESG criteria. efficiency index based on an innovative but thinking of structured products
placements products mainly for clients in data point, which is effectively translating Pfeiffer has seen a shift to more
Belgium, but soon thereafter demand from “The sector exposure of the ESG version the climate or carbon impact of a conservative structures.
Dutch clients followed as well. of the index is similar to the sector company into a degree Celsius figure,”
exposure of the traditional index and, also he said. “There has been more interest in fixed
“During the last couple of weeks, we saw the historical performances of both indices income than equity and we started to
an acceleration in the increase in rates and are quite comparable. Under climate transition objectives, one see some first potential outflows in the
therefore decided that is was a good timing of the goals is not to warm the planet ETF market,” he said. “I don't expect
now to launch the first euro-denominated “In addition, the Eurostoxx 50 ESG is not by more than 1.5-degrees Celsius. This another buoyant year nor a gloomy year,
product with 100% minimum redemption in exclusively licensed to one investment can translate the climate impact of a but it's certainly a year of increased
the Netherlands as public offer. bank, which is important from a best subsidiary of a company of business uncertainty, and for the rest of the year
execution perspective. Based on these activities and translate these into specific I would say one of continued volatility,”
“As long as rates will stay at this level, arguments we have selected this index for Celsius impact based on the target. said Pfeiffer.
we expect that demand for 100% capital- this product offering,” said Pronk.
The seven-year note participates 100% in protected structures will continue, 2021 was a good year for Solactive. Not “We are using this as an ingredient Structured products have had five years
the Eurostoxx 50 ESG Index, capped at especially in times of geopolitical The product is VLK’s second positive only did it win the award for ‘Best Smart weighting factor to effectively get to this without any rise in interest rates, and it
40%. It is issued on the paper of Société uncertainty as we see right now with the impact finance note launched in Beta Index Provider’ at the SRP Europe 1.5-degree Celsius pass and over or has been difficult for manufacturers to
Générale, which will use the proceeds war in Ukraine,” said Pronk. collaboration with Société Générale. Awards, but the index provider also underweight companies accordingly,” structure principal protected products.
to finance projects that are funded, in The first product was issued in 2019 experienced strong growth, driven and said Pfeiffer. “It was innovative, and it had
a controlled manner, to have a positive The underlying Eurostoxx 50 ESG and offered access to the Eurostoxx fuelled by client activity, despite various a standard smart beta overlay with a low “Now suddenly rates are rising in record
impact on the economy, the society or the index was carefully selected from many Sustainability 40 index. It is currently lockdown restrictions caused by the volatility/high dividend approach.” time, and it will be possible again to
environment. ESG indices available in the structured trading at around 103%, while the index is global Covid-19 pandemic. provide protected products. The volatility
products market. trading approximately 10% above its initial For the remainder of 2022 and beyond, that has kicked in allows for more
It is the independent wealth manager’s level. “Yes, we did miss the personal Pfeiffer expects a more cautious attractive, conservative autocallable
first euro denominated product with 100% However, according to Pronk, a lot of interaction and connections, but the approach as a rise in interest rates by the pricing.
minimum redemption since October 2018 these indices include low volatility filters “Sustainability is a very important element virtual show must go on, and it did go central banks is on everybody’s books.
when the Société Générale Variabele and/or relatively high synthetic dividend in the overall product offering of Van on,” said Timo Pfeiffer (pictured), chief “Instead of the strong thematic next
Lange Rente Note 18-28 was issued. levels, which make them less suitable for Lanschot Kempen and therefore also markets officer, Solactive. “We have high inflation prints which we cybersecurity, Web3 or Metaverse
the products VLK would like to offer to in the offering of structured products haven't seen in a long time. All of that trend and theme, maybe a smart beta,
Since then, it was no longer possible to its clients. whenever possible,” concluded Pronk. One of the main themes for structured accelerated and all of that started a sector-based approach is a better, more
structure 100% capital-protected products products, ETFs and probably for the drop in equity markets. Then in February cautious way to diversify [exposures],”
in euro due to the sharp decline in long whole financial market, is ESG, according there was Russia’s invasion of Ukraine, Pfeiffer concluded.
term interest rates, according to Marcel to Pfeiffer.
Pronk (pictured), director securities
marketing structured products, at VLK. “Within ESG one of the driving themes
is climate – climate transition, climate
“However, the demand for these types As long as rates stay at this level, we efficiency, and carbon reduction
of products has always been there, so strategies in an index format working
we continued to keep a close look at the
interest rate markets,” Pronk said.
expect that demand for 100% capital- towards a net zero environment,” he said. We have high inflation prints which
As soon as rates started to increase at protected structures will continue A particular highlight for Pfeiffer was
the Solactive Climate Change Europe we haven't seen in a long time
the beginning of 2022, VLK proactively BTI Index, which was used by Barclays
reached out to its private bankers as the underlying for a number of
6 www.structuredretailproducts.com www.structuredretailproducts.com 7
SRPInsight
NEWS | EUROPE NEWS | EUROPE
Spotlight on… top issuers in Sweden (Q1 2022) BNP joins UK SPA Nasdaq rolls
Some SEK1.8 billion (US$187m) was collected from 115 publicly offered
in the UK, which add to 71 live products out EQD digital
mostly distributed by Meteor AM (56/
structured products during Q1 2022 in Sweden – down 25% by sales volume GBP110m), Idad (six/GBP9m) and Investec education program
(three/GBP14.5m).
year-on-year (Q1 2021: SEK2.4 billion from 141 products).
Zak De Mariveles, Chairman of the UK
Average volumes, at SEK15.9m per Sweden: top 5 issuers - market share by sales volume (%)* SPA, said the addition of BNP Paribas as
product, were fairly stable compared a new member will help meet one of the
to Q1 2021 when products sold on association’s key objectives: provide a
average SEK17.3m. communal voice for structured products
in the UK, to lead the way in driving best
Ten different issuer groups, a mixture practice and to support and educate the
of Nordic financial institutions and wider investment community.
European/US investment banks, were Nasdaq has launched the Nasdaq
active in Q1 2022 compared to 16 in BNP Paribas has joined the UK Structured Mike Bayley (pictured), BNP Paribas’ Derivatives Academy in the Nordics.
the prior year quarter. Products Association (UK SPA) as a new head of equity derivatives & solutions, The set of training modules responds
member, bringing the total membership of institutions & distribution for the UK, said to the growing interest among both
Nordea retained its position as the the association to 19 firms. that joining the association reflects ‘the investment professionals and retail
number one issuer, with a 35% share of redoubling of our commitment to and investors to use equity derivatives
the market – an increase of more than The French bank is an established focus on the UK market’. and aims to increase knowledge
seven percent YoY. The bank collected issuer of structured products for retail about the opportunities and risks
SEK643m from 34 products that were distributors, banks and institutional ‘BNP Paribas has a long history associated with trading these
predominately autocalls linked to a investors in the UK market. SRP data of serving clients in the UK and instruments.
basket of shares. It also sold six credit- shows a slight dip in activity in 2021 which recognises that collaboration across
linked notes. resulted in the bank falling out of the top providers to maintain a transparent ‘Equity derivatives bring with them
10 issuer ranking. and accessible structured products opportunities to manage risks and the
In second, Goldman Sachs increased market can contribute to delivering possibility to generate returns in all
its market share to 34.1%, up 17.5% *Excl. flow- and leverage products Year to date, BNP Paribas has issued 11 the best investment journey for market conditions,’ said Niclas Egmar
from Q1 2021. The US investment bank Source: StructuredRetailProducts.com products worth an estimated GBP20m investors,’ he said. (pictured), head of equities trading
achieved combined sales of SEK625m and derivatives at SEB.
from 41 products (Q1 2021: SEK405m
from 24 products). Like Nordea, almost ‘We welcome [this] initiative to spread
all its products were linked to a share
basket.
5.8-year credit-linked note was the
best-selling Swedish product of the
Deutsche Bank (1.21%), Morgan Stanley
and Leonteq (0.6% each) completed Swiss bank partners with Vestr to more insights on how to trade these
assets in a way that’s customised
launch digital solution for AMCs
quarter, collecting SEK70m during its the top 10. to both professional and less
BNP Paribas was another issuer that subscription period. experienced investors.’
saw a significant growth in its market Natixis, Investec, Crédit Agricole, EFG
share – from 3.8% in Q1 2021 to 12.8% Danske Bank claimed seven percent of Group, Citi, and Barclays, which had a Nasdaq Derivatives Academy has
in Q1 2022. All of its products were the market (Q1 2021: 5.2%) while Credit combined market share of 7.1% in Q1 Luzerner Kantonalbank (LUKB) has centre structured products at Luzerner been developed in partnership
distributed via Strivo (formerly know Suisse, which had captured 20.1% in 2021, were all absent this year. partnered with AMC specialist fintech Vestr Kantonalbank. with educational partners as well
as Strukturinvest) with the exception the first quarter of 2021, had to make to expand its structured products business as Nordic market participants and
of Kreditcertifikat Investment Grade do with a mere 5.7% this year. with AMCs. LUKB’s B2B clients will have a full offers three separate educational
Europa Kvartalsvis nr 4423, which overview of their investment portfolios programs aimed at professional and
was available via Garantum. This Société Générale (1.7%), UBS (1.5%), Under the partnership Vestr’s cloud-based via the platform and will be able to ‘adjust private investors as well as risk, post-
platform will enable LUKB to launch and their portfolios in a few clicks, anywhere trade and compliance professionals.
issue AMCs as it seeks to capitalise on the and anytime’. The private investor program is
‘great potential in active management’. offered free of charge. The launch
In December 2021, Nasdaq announced of Nasdaq Derivatives Academy
‘The AMC business is a volume business. a partnership with a number of local is the most recent development in
This means that you need a large number organizations across its European markets exchange’s roadmap to ‘advance
Nordea, Goldman and BNP all significantly increased of AMCs to reach your business goals.
This is only possible through integrated
to enhance financial literacy among
community groups where knowledge of
inclusive growth and prosperity by
providing resources to underserved
their market share in the first quarter of 2022 automation. A software specifically built for
AMCs further reduces operational risks,’
investments traditionally is low. In 2019,
Nasdaq launched OptionsPlay to educate
communities, making markets more
accessible to all’.
said Claudio Topatigh, head competence Nordic investors on options trading.
8 www.structuredretailproducts.com www.structuredretailproducts.com 9
SRPInsight
NEWS | AMERICAS NEWS | AMERICAS
Allianz hit by US$6bn SEC fine, Structured As a consequence of the guilty plea, Allianz
Global Investors US has been disqualified
the Q1 group net income by €1.6 billion
after tax, resulting in a net income
approximately US$120bn. Voya IM’s AUM
would increase to approximately US$370
Alpha managers charged
from providing advisory services to US attributable to shareholders of €0.6 billion on a pro forma basis after the
registered investment funds for the next billion. Group operating profit in the first transfer.
ten years, and will exit the business of quarter 2022 amounts to €3.2 billion,
conducting these fund services after a brief while the Solvency II capitalisation ratio AGI US closed down its Structured Alpha
A recent string of cases in which derivatives and complex products harmed investors transition period allowed by the SEC. stands at 199%. Net income attributable 1000 and Structured Alpha 1000 Plus in
across market sectors have seen fines handed out. ALLIANZ PROVISIONS
to shareholders will be adjusted for
the Structured Alpha provision for the
early April 2020 after they took heavy
losses on stock-options trades after the
The German parent company, Allianz ES, calculation of the dividend payout. market sell-off in March 2020.
Gensler also noted that ‘a recent string of 18.2607085709004% to negative booked last week an additional provision
cases in which derivatives and complex 9.2607085709004% -- this time by of €1.9 billion in Q1 2022 before tax ‘as The ban to provide some fund services The two hedge funds had been net
products have harmed investors across cutting the number 18 in half. a fair estimate of its remaining financial for a decade in the US has triggered buyers of put options were designed to
market sectors’. exposure in relation to compensation the sale of the Allianz Global Investors hedge against losses the funds might
‘When the 2020 Covid-related market payments to investors and to payments business to Voya Financial. endure from other positions should the
The SEC’s complaint, filed in the federal volatility revealed that AGI US and the under any resolution of the governmental market decline, but the pace of the sell-
district court in Manhattan, alleges that defendants had misled investors about proceedings’ relating to its Structured The firm announced yesterday the off had a ‘particularly large impact on
Structured Alpha’s lead portfolio manager, the fund’s level of risk, the fund suffered Alpha Funds. transfer of ‘selected investment teams the options positions held by Structured
Gregoire P. Tournant (right), orchestrated catastrophic losses and investors lost and assets comprising most of its US Alpha funds’.
the multi-year scheme to mislead billions; the defendants all the while Earlier in February the German insurer set business to Voya IM in return for an up to
investors who invested approximately $11 profited from their deception,’ stated the aside another €3.7 billion (US$4.2 billion) 24% equity stake in the enlarged asset Structured Alpha 1000 was a large hedge
billion in Structured Alpha, and paid the SEC complaint. to cover expected settlements with US manager fund with approximately US$8.8 billion in
defendants over $550 million in fees. investors and government officials over assets; while Structured Alpha 1000 Plus
Tournant (right), Taylor and Bond- the collapse of the strategy. The investment teams, which include has approximately US$693m in assets.
Tournant is a portfolio manager, a Nelson then made multiple, ultimately income & growth, fundamental equities Allianz Global Investors has 27 other
managing director and CIO US Structured unsuccessful, efforts to conceal their The provision will negatively impact and private placements, manage structured alpha funds.
Products with Allianz Global Investors, misconduct from the regulator, ‘including
The US Securities and Exchange which he joined in 2002. He was also false testimony and meetings in vacant
Commission (SEC) has charged Allianz head of the structured products team, construction sites to discuss sending their
Global Investors US (AGI US) and three which he created in 2005, and was the assets overseas’. …more troubles for Allianz as class actions pile up, fingers point everywhere
former senior portfolio managers with ‘a lead portfolio manager for all strategies
massive fraudulent scheme that concealed managed by this team. ‘While they were able to solicit over The scandal surrounding Allianz Global Investors US is far from over as new class actions pile up and blame is being placed
the immense downside risks’ of its options US$11 billion in investments by the across different quarters. A Blue Cross and Blue Shield Association benefits committee says adviser firm Aon Investments USA
trading strategy Structured Alpha. LIES EXPOSED end of 2019 and earn over US$550 that was supposed to help investors vet their risks fell down on his responsibilities while the advisor firm claims a number of
According to the court documents, million in fees as a result of their lies, executives at Blue Cross failed to do their jobs.
According to the regulators, after the Tournant ‘manipulated numerous financial they lost over US$5 billion in investor
Covid 19 market crash of March 2020 reports and other information provided funds when the market volatility of Blue Cross - a federation with more than 100 million customers - had invested US$3 billion into the Allianz funds, which
exposed the fraudulent scheme, the to investors to conceal the magnitude of March 2020 exposed the true risk of represents 62% of its entire pension portfolio, and has become by far the biggest loser, among the 114 institutions that collectively
strategy lost billions of dollars. Structured Alpha’s true risk and the funds’ their products,’ said Gurbir S. Grewal invested US$11 billion in Structured Alpha funds. Despite reaching a settlement with Allianz there are hundreds of millions of
actual performance’ with assistance (pictured), director of the SEC’s Division dollars potentially on the line in upcoming legal fights - the deal does not cover all the losses at Blue Cross which has sued Aon
The Allianz subsidiary which marketed from co-lead portfolio manager, Trevor L. of Enforcement. which in turn has responded by suing five Blue Cross executives. The key question is how and why the Blue Cross pension office
and sold the strategy to approximately 114 Taylor, and portfolio manager, Stephen ended up investing so much of its portfolio into Structured Alpha funds.
institutional investors, including pension G. Bond-Nelson. The three individuals The subsidiary of the German insurer
funds, has agreed to pay more than US$1 left Allianz in mid-December after the admitted the charges and agreed to In a lawsuit filed May 17 in New York federal court (Blue Cross and Blue Shield Association v. Allianz Global Investors U.S. LLC),
billion to settle SEC charges and together allegations of misconduct. a cease-and-desist order, a censure Aon alleges the Blue Cross chief investment executive, Jamey Sharpe, who is now retired, encouraged the committee that
with its parent, Allianz SE, over US$5 and payment of US$315.2 million in oversees pension investments to repeatedly commit more to Structured Alpha. It also claims he fired a senior employee who
billion in restitution to victims. Cour documents also show that the disgorgement to the US Department of disagreed with his strategy.
‘defendants reduced losses under Justice as part of an integrated, global
‘Allianz Global Investors admitted to a market crash scenario in one risk resolution; US$34 million in prejudgment The executive denies Aon’s allegations and says the lawsuit is baseless.
defrauding investors over multiple years, report sent to investors from negative interest; and a US$675 million civil
concealing losses and downside risks 42.1505489755747% to negative penalty, a portion of which will be In the meantime, litigation firms such as Silver Golub & Teitell and Selendy Gay Elsberg have filed Securities Cblass Action
of a complex strategy, and failing to 4.1505489755747% -- by simply dropping distributed to certain investors. Lawsuits against Allianz Global Investors US in the Southern District of California on behalf of its client and all those ‘who
implement key risk controls,’ said SEC the single digit 2.’ purchased, sold, or liquidated mutual funds shares managed by AllianzGI's Structured Products Group from January 1, 2015
chair Gary Gensler (right-below). ‘This In a parallel criminal proceeding, the US through December 31, 2020’
case once again demonstrates that In another example, the portfolio Attorney’s Office for the Southern District
Bronstein, Gewirtz & Grossman law firm has also notified investors that a class action lawsuit has been filed against Allianz
even the most sophisticated institutional managers ‘smoothed’ performance of New York has announced criminal
investors, like pension funds, can become charges for similar conduct against the Global Investors U.S. and certain of its officers. The law firms are encouraging investors to inquire about the lead plaintiff
data sent to investors by reducing
victims of wrongdoing.’ losses on one day from negative firm, and the three executives. position before 25 July.
10 www.structuredretailproducts.com www.structuredretailproducts.com 11
SRPInsight
NEWS | AMERICAS NEWS | AMERICAS
iCapital snaps up Simon Markets JPM, BofA debut new underlyings, indexed
Asset and wealth management fintech iCapital will acquire Simon Markets, the US annuities up 21% YOY
multi-issuer platform for an undisclosed amount.
US life and annuity provider Independent Life Insurance Company has launched
‘Together we’re delivering something
the wealth management industry has
provide thoughtful ways to diversify and
potentially enhance long-term returns in iStructure, the first uncapped index-linked structured settlement annuity offering
wanted for a very long time – access client portfolios,’ said Lawrence Calcano exposure to the Franklin BofA World Index.
to all alternative solutions under one, (pictured), chairman and chief executive
centralized platform.’ officer of iCapital. The new gauge powered by quantitative live structures in the US market including long-term impact of inflation,’ said Holly
insights from Franklin Templeton and the BofA Destinations Index; and Bank of Snyder, president of Nationwide Life.
According to the announcement, Simon This is the second high profile acquisition Bank of America aims at capturing long- America Merrill Lynch GPA Index.
transacted more than US$48 billion in by iCapital in the structured products term growth by systematically investing POSITIVE MOMENTUM
issuances of structured investments and market following its purchase of US third- in a volatility-controlled equity index of The second market debut comes via Despite the challenging market backdrop
annuity products in 2021 across 50 plus party distributor for structured notes Axio companies around the world with the Nationwide which has added new index the new additions come on the back of
product manufacturers and 50 plus wealth to expand its suite of investment strategies potential for high profitability. The index options to one of its indexed universal increased momentum in indexed-annuity
managers through its platform – including and bolster its distribution capabilities. combines a factor-based screen with a life insurance products, Nationwide IUL sales which have boosted overall annuity
IBDs, bank/regional broker-dealers and The deal saw Axio chief executive officer proprietary intraday risk management Accumulator II 2020. The new indices are sales in the US market up by 4% to
private banks, and it serves more than 100 Marc Paley move to iCapital as head of strategy and a US Treasury allocation to pitched as having ‘growth potential even US$63.3 billion year on year.
registered investment advisors (RIAs), and distribution, reporting to Calcano. achieve consistent returns. in choppy markets’ and they both seek to
more than 100,000 advisors. limit the impact of market volatility. ‘Fixed-indexed annuities (FIA) benefited
Under the agreement, Jason Broder, Earlier this year, iCapital acquired Bank Independent Life has secured almost from rising interest rates and increased
chief executive officer of Simon, will join The deal will significantly expand iCapital’s of Singapore’s in-house private market US$50m in committed sales for the The latest addition to the pool of U.S. market volatility, as investors sought
iCapital as managing director, head of investment menu, and augment its feeder fund platform. product from both settlement recoveries underlyings is the J.P. Morgan Mercury protected growth options,’ said Todd
iCapital solutions and member of the technical capabilities, education offerings and instalment sales of real estate and Index, a global multi-asset index with an Giesing, assistant vice president, Limra
operating committee. In this new role, and support services for wealth managers According to SRP data, there are 7,321 businesses. equity allocation based on the current Annuity Research. The organisation
he will oversee the combined platform’s the iCapital platform services more than products listed on the Simon Platform with stage of the business cycle, along with expects indexed-annuities ‘to thrive under
integration, market development, and US$125 billion in platform assets and a value of US$22.5 billion. Goldman Sachs ‘One Fortune 50 company is already diversified fixed income and volatility- current market conditions, growing 5%-10%
sales of iCapital’s full suite of technology employs more than 800 people globally. with US$10 billion is the most active issuer utilizing iStructure to resolve claims and based commodities allocations which by year end’.
offerings. Additionally, iCapital will extend on Simon followed by J.P. Morgan, TD their representative says this is the product is rebalanced dynamically based on
offers of employment to the nearly 200 The deal includes the acquisition of Simon Securities and Morgan Stanley. they have been waiting 15 years for,’ said market conditions. Overall, fixed annuity sales rose 14% in the
Simon team members. Spectrum, the platform’s allocation analysis Christopher Bua, senior vice president of first quarter to $35.2 billion. According to
and portfolio construction tool designed to Simon Markets, formerly owned by sales for Independent Life. The BNP Paribas Global H-Factor Limra, all fixed products except income
“We have long-admired iCapital and evaluate how structured investments and/ Goldman Sachs, became an independent Index which was already deployed on annuities recorded positive growth with
everything it has accomplished in the or annuities may fit into a portfolio. financial technology company in The iStructure annuitiy can be used for Nationwide’s Peak 10 fixed indexed FIA sales 21% higher than first quarter 2021
alternative investing space. After a highly December 2018 after adding a group of different situations including personal annuity (FIA) last week, has also been results at US$16.3 billion.
collaborative exploratory process over ‘Today’s wealth management professionals investors and issuers including Barclays, injury cases, structured attorney fees, incorporated to the Accumulator II FIA.
recent months, it became abundantly clear seek a premium technology platform Credit Suisse's Next Investors, HSBC, J.P. structured installment sales and taxable Registered index-linked annuity (Rila)
that together we can create an unrivaled and access to a broader range of Morgan, Prudential and Wells Fargo, to its settlements. ‘The three major stock market indices sales grew 5% to US$9.6 billion in the
experience for our clients,” said Broder. alternative investment strategies that ownership structure. have been taking huge hits and how to first quarter. Limra expects Rila sales to
This is the first time the Franklin BofA find growth potential is a big client concern increase as high as 30% by year-end
World Index is used in the US annuities right now, especially with fears about the 2022.
market and adds to the existing range of
BNY Mellon’s Pershing to offer structured notes, market-linked CDs via Halo underlyings used in structured notes and
annuity products offered by the bank and
Clearing and custody services BNY Mellon’s Pershing will include Halo’s independent structured notes platform in its Pershing’s the asset manager.
NetX360 offering access to registered independent advisors (RIA) and broker-dealer (BD) firms via the multi-issuer platform’s
Some of Franklin Templeton’s underlyings
technology, analytics, controls, and tools to trade and manage structured notes. Halo grew by 113% in 2021 as more advisors
recognized the benefits of protective investments to navigate market uncertainty and address retirement savings shortfalls,
include the Franklin Resources Fund;
Franklin US Index; Franklin LibertyQ
The index aims at capturing long-term growth
according to Jason Barsema, co-founder & president of Halo. ‘Financial advisors are constrained by investment choices and
Global Equity SRI UCITS ETF; and Franklin
fragmented trading systems, hurting their ability to build their businesses,’ he said. ‘Financial advisors on Pershing’s platform
Liberty Euro Green Bond UCITS ETF ,
by systematically investing in a volatility-
now have more choices and opportunities to deliver a differentiated client experience to fuel their growth.’ Halo has achieved a among others.
significant number of milestones over the past 24 months, including closing a US$100+ million Series C round of funding, as well controlled equity index of companies
as onboarding more than 40 global banks and carriers, said Barsema. Bank of America has also two custom
proprietary indices used as underlyings in
12 www.structuredretailproducts.com www.structuredretailproducts.com 13
SRPInsight
NEWS | AMERICAS NEWS | AMERICAS
BNP Paribas, Fidelity roll out new custom Spotlight on… top issuers in Mexico (Q1 2022)
strategies Structured product sales got off to a slow start in 2022 with BBVA the only issuer
that increased its market share.
BNP Paribas (BNPP) has licensed its Global H-Factor Index to US annuity
provider Nationwide to serve as underlying of the Nationwide Peak 10 fixed The 1,074 structured products issued
in the first quarter achieved combined
The company’s products were exclusively
linked to the USD/MXN currency pair and
other underlyings, including the interbank
equilibrium interest rate (TIIE 28), S&P/
indexed annuity (FIA). sales of MXN64.3 billion (US$3.1 billion) featured accrual, range, digital and dual TSX 60 Index, the proprietary Solactive
– the lowest volume in an opening currency payoffs. BBVA ixESG Lideres Globales MXN Risk
The index offers a probability-based 4,000 equities once a quarter using the ‘create more certainty for investors in quarter since Q1 2018 and a decrease of Control 10% Index, and eight different
approach to investing ‘by identifying last 12 quarters of financial data and the uncertain markets’. The new Rila offers 21.3% compared to the prior year period BBVA Mexico, in second, saw its market exchange-traded funds (ETFs).
and removing potentially overpriced current stock price to determine how four different index options including (Q1 2021: MXN81.7 billion from 1,484 share increase to 27.8%, up almost seven
stocks likely to lose value due to human likely it is that the implied growth rate can the S&P 500 index and iShares Russell products). percent year-on-year (YoY). It collected Santander claimed 2.2% of the market,
behaviour, resulting in a portfolio made up be achieved. 2000 ETF as well as two new entrants sales of MXN17.9 billion from 165 issued level on last year. It accumulated sales
of equities more likely to deliver growth’. to the market - the Fidelity World Despite a drop in sales, average products. of MXN1.4 billion from 29 products that
Companies with high H-Factors - Factor Leaders Index and iShares US volumes, at MXN59.8m, were 8.5% were either dual currency notes or range/
Using a methodology developed by increased probability of failing to Technology ETF, along with different higher than those in Q1 2021 when The bank, which between 2000-2019 accruals on the USD/MXN.
asset management company New Age deliver implied growth are removed, levels of protection from market losses. products sold on average MXN55.1m. was known as BBVA Bancomer, was also
Alpha, the BNPP Global H-Factor Index leaving the best 225 from the original responsible for the best-selling product The only other issuer active in the quarter
identifies overpriced stocks due to the list of 4,000. The remaining 225 The Fidelity World Factor Leaders Index Once again, Monex dominated the of the quarter, which came in the shape was Banamex, a 100% subsidiary of Citi,
H-Factor, or Human Factor - the risk equities are then weighted so that the (FIDWFLEN) which features for the market. The Mexican financial group of a dual currency note linked to the which sold 29 products worth MXN1.1
that comes from investors interpreting best potential performing stocks have first time in the US annuities database, sold 851 products worth MXN43.9 billion appreciation of the US dollar relative to billion (1.7% market share, a decrease of
vague or ambiguous information about greater impact. is an equity index offering exposure between 1 January and 31 March 2022 the Mexican peso that sold MXN1 billion. 4.6% YoY). Once again, the bulk of the
a company in an incorrect way, which to a combination of 60% domestic – the equivalent of a 68.3% share of the issuance was tied to the USD/MXN (28
can lead to overpricing and may make FIDELITY, ISHARES equity securities and 40% international market and almost on par with last year Apart from the USD/MXN, which it used products), with the remaining product
it difficult for a company to deliver the In another development, annuities securities that reflect the performance (Q1 2021: 69% market share). in 142 products, BBVA implemented 11 linked to iShares Silver Trust ETF.
growth implied by the current stock price. provider Transamerica has launched of companies with certain characteristics
the Transamerica Structured Index including high-quality profiles, lower
To counter this, the BNPP Global Advantage Annuity, a new registered volatility than the broader market, and Mexico: top issuer groups by market share (%) Q1 2021 vs Q1 2022
H-Factor Index evaluates more than index-linked annuity (Rila) designed to positive momentum signals.
Luma expands ecosystem with Nasdaq, Yieldstreet deals
The US platform is seeking to increase transparency and accessibility as well as putting structured products on a level
playing field with other investment vehicles. US multi-issuer structured products and annuities platform Luma Financial
Technologies has partnered with the Nasdaq Fund Network to assign standardised identifiers to structured products.
By assigning identifiers to structured products for the first time, Luma and the Nasdaq Fund Network are putting structured
products into the same category as stocks, ETFs and mutual funds. The new identifiers, which will resemble the mutual fund
symbology will assign structured products seven characters.
Under the partnership, over 100 million investors across the Nasdaq Fund Networks’ 400+ market data platforms will now be
able to identify a holding as a structured product, search for, and have instant access to Luma’s product data and information.
In addition, the platform has reached an agreement with Yieldstreet on 8 June to enable investors access to structured
notes portfolios ‘more effectively and strategically’.
Yieldstreet’s structured notes products are distributed as a portfolio of notes, with at least three notes included for
diversification benefits. The firm has seen more than US$100 million invested in its income notes since launching the family
of products one year ago.
Source: StructuredRetailProducts.com
14 www.structuredretailproducts.com www.structuredretailproducts.com 15
SRPInsight
NEWS | APAC NEWS | APAC
StanChart cashes in on ESG as change of Bank of Singapore leverages fixed income
direction pays off underliers
The UK bank for the first time has offered interest rates-linked structured notes with net The private bank has capitalised on increased demand for fixed income structures from
proceeds allocated to finance green and social projects. investors in Singapore.
In an environment of rising rates and inflationary backdrop, which are “less The appeal is simple - if the spread the geopolitical and inflation risks that
market volatility, the notes were designed conducive to equity-linked products”. between the 30-year USD constant come along with it, Chia added.
with simple payoffs and offer full capital maturity swap (CMS) and two-year USD
protection. SCB sustainability programme In contrast, the first three months of 2021 CMS, which refer to the secured overnight “The fixed income structured products
represents a strategy shift towards translated to a record quarter for SCB’s financing rate (SOFR) - is above a pre- along with the minimum redemption notes
sustainable investing through structured structured product business fuelled by determined level on an observation linked to equity have been immensely
products as the UK bank historically a very strong demand for flow equity date, the enhanced coupon for that day popular this year,” she said.
focused efforts on equity-linked ESG derivatives in a relatively benign market becomes payable.
products with limited success. context, according to Rigois. ASSET DIRECTION
“Going higher on the risk return spectrum, Since the beginning of the year many
Under SCB’s sustainability programme, “However, we were fast to pivot towards range accrual credit-linked notes allow distributors have shifted their focus
the proceeds of equity-linked product other asset classes such as interest rate investors, who would like to receive even towards fixed income or multi-asset
shall be invested into sustainable and FX derivatives which has reshaped higher coupons and are willing to take on underlying assets in the structured product
projects by third-party derivative the business,” he said. more risks, to overlay a credit element,” market driven by the risk-off environment.
manufacturers while the reference said Chia without disclosing the volume. From February-end to April, Standard
assets must be qualified as ESG In April, the bank, which focuses on Charted Bank collected US$350m
Available for subscription from the end of investment, according to SCB’s internal flow strategies, delivered a stable Bank of Singapore, OCBC Bank’s private This product also offers full principal traded notional from interest rates-linked
February to April, these structured notes guidelines. traded notional of structured products in banking arm, has seen a six-fold increase protection if there’s no credit event structured notes featuring capped floored
raised a total traded notional or assets Singapore year-on-year. in the traded notional of fixed income- associated with the issuer or the floaters, step-up and range accrual
under management (AuM) of US$350m, “All structured notes have two linked structured notes and minimum reference credit. Meanwhile, re-risking has payoffs in Asia and the Middle East, as
according to Nicolas Rigois (pictured), components, a funding component and “Where the flows last year were almost redemption notes on equity from January been seen in the broader equities space. SRP reported. SRP data shows that the
global head of capital markets products a derivative component that provides the exclusively equity-linked we now see a to April compared with 2021. Taiwan market has seen a noticeable
and solutions, wealth management at structured exposure to an underlying,” healthy balance between asset classes,” “There were also pockets of opportunities growth of interest rates-linked structured
Standard Chartered Bank (SCB). said Rigois. “At the start of 2022, we said Rigois. “Looking forward, with the “There was recognition early in the year in the form of hedging solutions and notes year-to-date compared with the
decided to change our approach and rise in interest rates we expect to see that certain types of structured products switches into more defensive plays,” same period in 2021.
“Issued and structured by SCB, the really focus our message on the funding sustained interest in principal-protected such as fixed income structured notes said Chia, citing minimum redemption
notes offered a range of payoffs such as component of the note which is the key structures and plan to keep innovating in and minimum redemption notes would notes. “Having a minimum redemption A group of 19 distributors in the market
capped-floored floater, step-up and range ESG component.” that space.” make sense for a lot of investors,” Vivienne at maturity provides some comfort for have launched 139 structured notes
accrual with tenor ranging between two Chia (pictured), global head of investment investors who would like to participate in tracking the performance of unspecified
and five years,” Rigois told SRP. “[They] The change of popular underlying As the capacity of these ESG-linked advisory solutions at Bank of Singapore, the market but are concerned with further interest rates, five-year USD CMS, 30-year
allowed us to reach a broad set of clients asset classes has reflected the evolving structured notes was exhausted in the told SRP, adding that the structures have downside risk. USD CMS, 2-year USD CMS or 10-year
in private banking and priority banking market conditions triggered at the first round, Rigois noted that SCB will enabled investors to take advantage of the USD CMS, year-to-date. The figure
across our key markets in Asia and the beginning of 2022 on the back of consider re-opening the programme rising interest rates. The private bank is aware of the power represents an increase from four marketed
Middle East.” heightened geopolitical tensions and an once available. dynamics at play on the world stage and between January and April.
Conservative offerings such as capped
floored floaters which will be redeemed
with full principal protection at maturity
and allow investor to receive a minimum
coupon and potentially higher coupons
subject to the prevailing interest rates
At the start of 2022, we decided to change our have seen increased momentum. The fixed income structured products
approach and really focus our message on the funding “Moving a notch higher on the spectrum,
investors may achieve higher coupons
and equity-linked minimum redemption
component of the note with the callable daily range accrual
notes,” said Chia. “The potential coupon
notes have been immensely popular
is enhanced by adding a range accrual
condition.”
16 www.structuredretailproducts.com www.structuredretailproducts.com 17
SRPInsight
NEWS | APAC NEWS | APAC
We've seen an increase in alternative investments
within the fund space
Aditya Sehgal, Nomura
enable investors to have more pricing the year-end, which was at a similar level of wealth management at Citibank Korea,
choices.” of total return swaps, data from China who has relocated to London as UK head
Securities Regulatory Commission shows. of investment and product.
Structured products are traditionally
sold through private banks to the ultra- “Quantitative investment strategies [QIS] “Q1 22 has come down significantly.
wealthy investors, and activity is expected became popular from 2019 for their That’s impacted new sales given that
to remain high as there is now huge volatility control feature and full capital client sentiment is more reversed or
demand for portfolio protection with protection,” said Cheung. defensive,” said Kessel, adding that a slew
SRP Apac 2022: market trends triggered shift
defined outcome, according to Law. of new regulations was implemented over
For offshore investors, Asian equities the past 18 months including consumer
Wai Meng Goh, executive director, head began to gain traction from 2018 with protection act requirements triggered by
in investor demand of solutions & sales, structured products
in Singapore at Julius Baer, noted that
tailor-made solutions remain critical for
more research on China equity available
in the structured products market. To
capitalise on the growth, CLSA has
the 2019 mis-selling crisis.
“As a consequence, it's made the
structured product investors, including manufactured worst-of autocallable notes sales process extremely convoluted,
A panel comprising senior wealth management, private banking and investment family offices. tracking Asia index and single stocks. albeit in the interest of the client,” he
banking executives at the SRP Apac 2022 Conference held on 11 May, shed light on the said. “However, by adding additional
At the Swiss bank, the strategies cover “Some investors started to look at our QIS paperwork, cooling off periods, post sales
current challenges and opportunities in the Apac market amid increased market volatility. yield enhancement products, interest rate offerings and Asia thematic baskets such call-backs, it has put off some clients.”
swaps, inflation-linked strategies, cash as ESG,” she said. “This shows that the
“The last 24 months has led to investor increase in alternative investments within those more risk-adjusted strategies, and extraction and share financing depending interest in China equity has increased. In Some clients have switched to more
trends evolving at a much faster pace the fund space, be it outright investing the business cycles are getting shorter on the client’s need, according to Goh. the meantime, a challenge for us securities execution or flow-driven solutions, rather
than before,” said Aditya Sehgal (first on into some of these funds into REITs or along with the investments. houses is to provide more value-added than going through the arduous process
the left), head of capital market solutions real estate space, including some of the “Bespoke is the key,” she said. “We have products, instead of just flow products.” of trading structured products. And
at International Wealth Management diversified macro funds.” “It's really important that we are providing to make use of the flexibility provided there’s more flexibility for the security
Nomura, noting that May 2020 saw the solutions as quickly as possible,” he by automation and data to analyse and In April, Yves Bonzon, group CIO of Julius house channel compared with banks,
one of the fastest growing markets in According to Shegal, there is a pickup said. hence we can come up with a more Baer published the report - Why China according to Kessel.
traditional asset classes, particularly in investments featuring value-based or individualised solutions to our clients.” is no longer a core asset class - and cut
equities, on the back of the liquidity volatility-based strategies, and investors From a family office perspective, there’s China allocation to zero. “From an optics perspective or a risk-
provided by central banks. are keeping a decent portion of their growing demand for automation from CHINA & SOUTH KOREA averse sentiment perspective, you've seen
assets in cash. In addition, with rising structured products investors as they want Chinese investors are starting to “Our relationship managers are actively that shift in flow multi asset solutions and
However, activity stumbled in 2021 when interest rates, a wide range of capital- to know what they can get out of their look at global assets and multi-asset engaging clients to diversify out of China,” derivative-linked funds (ELF) as opposed to
inflation talks surfaced and the Chinese protected products linked to a wider investments quickly, according to Eva Law, strategies, which represented significant said Goh. “Of course, you can have being equity-centric,” he said. “A lot more
government began its crackdown variety of underlying assets across equity, founder and chairman at Association of development in the structured product positions in especially Chinese tech and flow will go back into back into ELS sooner
on technology giants and real estate commodity, credit and rates has been Family Offices in Asia and Association of as derivatives only began to gain traction American depositary receipts [ADRs]. We're or later as stock baskets constitute 50% of
companies. However, US equities developed. Private Bankers in Greater China. in the country in 2014, according to Na trying to do some recovery strategies [as the float, which is primarily denominated by
continued to reach new highs and led to Cheung, executive director, head of well]. If not, we just switch them to other US equity and defensive blue chip names.
a bounceback until November. “It’s good to also have your in-house “I see both institutional and the private equity derivatives for Singapore at CLSA, outside of China in this aspect.”
CIO. The asset allocation framework is investors searching for structured a subsidiary of CITIC Securities. “ELS is still the bread and butter of the
“As central banks tighten monetary something more conservative and has products that deliver their view while In South Korea, macro conditions haven't Korean market, and I don't see that
policies, you're now seeing investors helped us push the message across,” providing features such as capital In 2021, the onshore market delivered been conducive to the equity-linked changing, particularly the three-year ELS
look at alternatives, or other ways of said Sehgal, adding that the increase of protection, leverage, reduction of an over-the-counter (OTC) option securities (ELS) market due to regulatory autocall payoff. Every distributor, both
expressing risk adjusted strategies and cash allocation is part of the CIO view at portfolio risk exposure and access to new issuance amount of US$571 billion – the restrictions and a lack of velocity, bank and security house continue to build
portfolios,” said Sehgal. “We've seen an Nomura, which complies with some of markets,” said Law. “Multi-issuer platforms outstanding notional was US$156 billion at according to Gidon J. Kessel, former head up the volume,” he said.
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