srp americas performance & market presentation
TRANSCRIPT
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Americas Wealth Management & Derivatives Conference 2017
SRP AmericasPerformance & Market Presentation
Boston, June 14-16
All market statistics in this presentation are provided by www.StructuredRetailProducts.com
unless otherwise stated and subject to all terms and conditions displayed on our website.
Tiago FernandesGlobal Head of Data
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Contents
• Key statistics
• The Good, the Bad and the Ugly
• Performances histogram
• Payoff, asset classes and sectors analysis
• What are the key trends in the Region?
2
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Key statistics
• Median performance: 5.93% p.a.
• Worst performance: -87.071% p.a.
• Best performance: 165.79% p.a.
• Number of products: 7,041
• Sales volumes: 31,113 USDm
• Number of distributors: 43
• Number of markets: 4
• Average term: 1.066 years
3Americas Wealth Management & Derivatives Conference 2017
© Copyright Structured Retail Products a division of Euromoney Global Limited 2017
Source: www.StructuredRetailProducts.com
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Source: www.StructuredRetailProducts.com
Americas Wealth Management & Derivatives Conference 2017© Copyright Structured Retail Products a division of Euromoney Global Limited 2017
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Product name Dual Forex Note in USD
15/09/2016Dual Forex Note in MXN
15/11/2016Dual Forex Note in USD
14/09/2016
Distributor BBVA Monex BBVA
Market country Mexico Mexico Mexico
Term 1 week 1 week 1 week
Capital Protection 0% 0% 0%
Capital return per annum 165.79% 152.60% 143.40%
Payoff type Dual Currency Dual Currency Dual Currency
Underlying USD/MXN USD/MXN USD/MXN
The most successful products in the Americas
Source: www.StructuredRetailProducts.com
Americas Wealth Management & Derivatives Conference 2017 © Copyright Structured Retail Products a division of Euromoney Global Limited 2017
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The worst performing products in the Americas
Source: www.StructuredRetailProducts.com
Americas Wealth Management & Derivatives Conference 2017 © Copyright Structured Retail Products a division of Euromoney Global Limited 2017
Product Name VRX Phoenix NoteAuto Callable Contingent Interest
NotesVRX Phoenix Note
Market country USA USA USA
Term 1.03562 1.04932 1.04384
Capital Protection 0% 0% 0%
Capital Return per Annum -87.07% -87.07% -84.37%
Payoff Type Reverse Convertible Knock Out, Reverse Convertible Reverse Convertible
Underlying Valeant Pharmaceuticals International Valeant Pharmaceuticals International Valeant Pharmaceuticals International
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Valeant Pharmaceuticals International
Americas Wealth Management & Derivatives Conference 2017 © Copyright Structured Retail Products a division of Euromoney Global Limited 2017
0
50
100
150
200
250
300
Stock Value Initial Valuation Dates Final Valuation Dates
Source: VanityFair.com published on June 5th, 2015
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Americas Wealth Management & Derivatives Conference 2017 © Copyright Structured Retail Products a division of Euromoney Global Limited 2017
The worst product
• Valeant stock price had more than doubled in previous year prior to this product issuance in August 2015
• Strike level set at what turned out to be a time just after the all-time high price
• Implied volatility levels were very high at that time giving attractive terms for yield enhancement product
Background
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Americas Wealth Management & Derivatives Conference 2017 © Copyright Structured Retail Products a division of Euromoney Global Limited 2017
The worst product
Structured product(Auto Callable Contingent Interest Note)
• 1 year auto-call
• Quarterly income of 13.3% annualized if stock above 75% of initial level
• Quarterly Auto-call at 100%
• 75% European barrier at maturity
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Americas Wealth Management & Derivatives Conference 2017 © Copyright Structured Retail Products a division of Euromoney Global Limited 2017
The worst product
Was it a reasonable product to put out?
• EIV stated as 96.5%
• Volume sold $2m – one of many single stock trades by this issuer or by the market in a continuous pipeline
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Americas Wealth Management & Derivatives Conference 2017 © Copyright Structured Retail Products a division of Euromoney Global Limited 2017
The worst product
• The risk return profile of this auto-call is very typical – high probability of call at first point (3 months) and a high chance of significant loss
• The analysis shows a “standard” risk of 46% return in the bad case. Clearly what happened in this case was off the scale from a volatility/distribution standpoint
• However even when you are expecting the poor scenario to payback ~ 46% you cannot afford many loss scenarios, when your upside is capped and often called at 3 months
• You would need 6 in 7 scenarios at the full return of 113.3% to break even
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Source: www.StructuredRetailProducts.com
Americas Wealth Management & Derivatives Conference 2017 © Copyright Structured Retail Products a division of Euromoney Global Limited 2017
0%
5%
10%
15%
20%
25%
<0% 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% 10%+
Histogram of annualized returns
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Source: www.StructuredRetailProducts.comAmericas Wealth Management & Derivatives Conference 2017
© Copyright Structured Retail Products a division of Euromoney Global Limited 2017
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
<0% 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% 10%+
Histogram of annualized returns - USA
0%
5%
10%
15%
20%
25%
30%
35%
<0% 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% 10%+
Histogram of annualized returns - Mexico
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
<0% 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10%+
Histogram of annualized returns - Canada
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Source: www.StructuredRetailProducts.com
Americas Wealth Management & Derivatives Conference 2017 © Copyright Structured Retail Products a division of Euromoney Global Limited 2017
-10
-5
0
5
10
15
20
Average Performance by Payoff
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Source: www.StructuredRetailProducts.com
Americas Wealth Management & Derivatives Conference 2017 © Copyright Structured Retail Products a division of Euromoney Global Limited 2017
8.67
4.610
4.608
4.430
5.088
Equal to 0%
Above 0% and less than 90%
Above 90% and less than 100%
Equal to 100%
Above 100%
Average Performance by Capital Protection
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Top Distributors
Source: www.StructuredRetailProducts.com
Americas Wealth Management & Derivatives Conference 2017 © Copyright Structured Retail Products a division of Euromoney Global Limited 2017
0
2
4
6
8
10
12
14
16
BBVA Monex Itau Credit Suisse Santander
Top 5 Distributors by Average Annualized Return
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Top Issuers
Source: www.StructuredRetailProducts.comAmericas Wealth Management & Derivatives Conference 2017
© Copyright Structured Retail Products a division of Euromoney Global Limited 2017
0
2
4
6
8
10
12
14
16
BBVA Monex Itau Santander Morgan Stanley
Top 5 Issuers by Average Annualized Return
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Americas Wealth Management & Derivatives Conference 2017 © Copyright Structured Retail Products a division of Euromoney Global Limited 2017
Source: www.StructuredRetailProducts.com
-1.83%
-5.89%
3.58%
1.21%
3.31% -4.09%
-2.53%
12.98%
3.58%
12.45%
3.48%
7.7%0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
Alternatives Commodities Equity (Index Basket) Equity (Share Basket)
Equity (Single Index) Equity (Single Share) Fund FX Rates
Hybrid Inflation Interest Rate Real Estate
Average Performance by Asset Class in Americas
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Source: www.StructuredRetailProducts.com
-2.84%
3.07%
-1.47%
2.23%
-12.65%
-0.01% -9.01%
-4.82%
-1.16% 0.44%
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
Average Performance in Equities by Sector, Americas
Equity - Basic Materials Equity - Commercial Services
Equity - Consumer Goods Equity - Consumer Services
Equity - Energy Equity - Financials
Equity - Health Care Equity - Industrials
Equity - Technology Multiple Sectors
3.58%
-6.13%
3.36%
4.79%
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
Average Performance by Equity Index
Basket of Indices Strategy
Country & Regional Indexes Proprietary & Custom Indexes
Americas Wealth Management & Derivatives Conference 2017© Copyright Structured Retail Products a division of Euromoney Global Limited 2017
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Key Trends in Americas
Americas Wealth Management & Derivatives Conference 2017 © Copyright Structured Retail Products a division of Euromoney Global Limited 2017
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Americas Wealth Management & Derivatives Conference 2017 © Copyright Structured Retail Products a division of Euromoney Global Limited 2017
Americas Trends
Brazil
- Increase in Equity-linked products
- Increase in Non-Capital Protected products
- Increase in exotic structures
Canada
- Market linked GIC : Simplicity, Diversity and
Online Offer
- Increase of Non-Capital Protected and Auto-
callable products
- Class F Notes
USA
- Demand for yield enhancement structures
- Increase in medium term products
- Demand for domestic underlyings and multi-
asset momentum strategies
Mexico
- Increase in USD denominated products
- Bearish products – capped/uncapped puts,
digitals, bull bears
- Increase in short term products
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Tiago Fernandes
Global Head of Data
Structured Retail Products Limited
Direct: +44 (0)20 7779 8228
www.StructuredRetailProducts.com
6-8 Bouverie Street, London EC4Y 8AX
22Americas Wealth Management & Derivatives Conference 2017 © Copyright Structured Retail Products a division of Euromoney Global Limited 2017
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