US Wrap: Volumes small but underlyings diverse

Eksportfinans offer global equity exposure

The pick-up in issuance volumes has been short-lived as numbers have dwindled in the latest offering. Despite the rather meagre offering, there is diversification in the underlyings.

Eksportfinans offers broad US market exposure through the benchmark S&P 500 and it also offers access to Europe, Australasia and Asia –that is,  developed markets outside of the US and Canada – through the EAFE Index.

Exposure to both is offered through two-year accelerated growth products, with 150% participation in the underlying, capped at 27–31% for the S&P product and 32–37% for the MSCI product. Both have downside buffers of 10%, after which capital depreciates at the rate of 1:1.

The products have similar ratings of 7.6 and 8.2 for the S&P and MSCI products, respectively, but the riskmap scores differ. The product based on the S&P 500 has a riskmap rating of 6.5 and the product based on the MSCI EAFE has a rating of 4.3, perhaps proof diversification is the best way to go.

JP Morgan meanwhile has issued two reverse convertibles. One of these tracks the movement of Dell shares. The computer company has had a rocky week: its shares have fallen recently following controversy surrounding an alleged deal with Intel, which it failed to disclose.

The Reverse Exchangeable Notes due August 3, 2011 linked to the Dell common stock offer annual returns of 13.25%, with a 75% protection barrier after which principal is lost at the rate of 1:1. The underlying has a moderately low volatility of 39% and the overall product has a riskmap score of just 3.5.

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Source: FVC and SEC filings

For access to analysis of the US structured products market: www.structurededge.com