Published on 2/1/2011 in the Prospect News Structured Products Daily.
Analysis of structured products issuance for 13 months through January 2011
Columns are amount in billions of dollars, count of deals, percentage of total in dollars.
Issuer
| 1/2010 | 2/2010 | 3/2010 | 4/2010 | 5/2010 | 6/2010 | 7/2010 | 8/2010 | 9/2010 | 10/2010 | 11/2010 | 12/2010 | 1/2011
|
AB Svensk Exportkredit | 0.256 | 0.125 | 0.092 | 0.141 | 0.119 | 0.067 | 0.111 | 0.120 | 0.125 | 0.108 | 0.315 | 0.191 | 0.294
|
ABN Amro Bank NV | 0.011 | 0.002 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
|
Bank of America Corp. | 0.783 | 0.660 | 0.679 | 0.597 | 0.718 | 0.605 | 0.669 | 0.438 | 0.524 | 0.553 | 0.403 | 0.271 | 0.613
|
Bank of Montreal | 0 | 0 | 0 | 0.050 | 0 | 0 | 0 | 0 | 0.001 | 0.004 | 0 | 0.008 | 0.025
|
Barclays Bank plc | 3.302 | 0.665 | 5.253 | 1.067 | 0.389 | 0.285 | 0.492 | 6.545 | 2.705 | 4.469 | 1.583 | 0.331 | 4.053
|
CMT Linked Trust Units Series 2010-01 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.013 | 0 | 0 | 0 | 0 | 0
|
Citigroup Funding Inc. | 0.179 | 0.071 | 0.181 | 0.107 | 0.112 | 0.088 | 0.182 | 0.069 | 0.349 | 0.195 | 0.309 | 0.353 | 0.460
|
Commonwealth Bank of Australia | 0 | 0 | 0.120 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
|
Credit Suisse AG, Nassau Branch | 0.144 | 0.052 | 0.160 | 0.446 | 0.135 | 0.074 | 0.095 | 0.062 | 0.131 | 0.168 | 0.132 | 0.145 | 0.140
|
Deutsche Bank AG, London Branch | 0.132 | 0.227 | 0.195 | 0.100 | 0.287 | 0.073 | 0.160 | 0.119 | 0.166 | 0.162 | 0.589 | 0.197 | 0.317
|
Eksportfinans ASA | 0.228 | 0.202 | 0.086 | 0.337 | 0.074 | 0.053 | 0.105 | 0.153 | 0.140 | 0.219 | 0.105 | 0.512 | 0.387
|
Federal Home Loan Banks | 0.075 | 0.095 | 0.148 | 0.065 | 0.040 | 0 | 0.040 | 0.010 | 0 | 0.080 | 0.035 | 0.110 | 0.095
|
Freddie Mac | 0.050 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.025 | 0.063 | 0.050 | 0
|
Goldman Sachs Group, Inc. | 0.203 | 0.219 | 0.310 | 0.398 | 0.240 | 0.275 | 0.168 | 0.169 | 0.150 | 0.334 | 0.275 | 0.118 | 0.062
|
HSBC Bank USA, NA | 0 | 0.021 | 0.020 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
|
HSBC USA Inc. | 0.197 | 0.190 | 0.110 | 0.163 | 0.267 | 0.038 | 0.057 | 0.082 | 0.192 | 0.209 | 0.117 | 0.145 | 0.082
|
JPMorgan Chase & Co. | 0.219 | 0.363 | 0.270 | 0.476 | 0.479 | 0.153 | 0.363 | 0.204 | 0.161 | 0.317 | 0.781 | 0.199 | 0.427
|
JPMorgan Chase Bank, NA | 0 | 0.022 | 0 | 0 | 0.019 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
|
Morgan Stanley | 0.224 | 0.624 | 0.656 | 0.473 | 0.364 | 0.307 | 0.519 | 0.421 | 0.608 | 0.325 | 0.130 | 0.282 | 0.402
|
Nomura America Finance, LLC | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.006 | 0.009 | 0.010
|
Royal Bank of Canada | 0.068 | 0.139 | 0.165 | 0.176 | 0.086 | 0.136 | 0.102 | 0.081 | 0.148 | 0.122 | 0.124 | 0.087 | 0.290
|
Royal Bank of Scotland NV | 0 | 0.007 | 0.016 | 0.016 | 0.013 | 0.011 | 0.010 | 0.033 | 0.005 | 0.004 | 0.023 | 0.018 | 0.016
|
SunTrust Banks, Inc. | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.001 | 0.002 | 0 | 0.004
|
UBS AG | 0.204 | 0.080 | 0.206 | 0.116 | 0.195 | 0.217 | 0.378 | 0.156 | 0.343 | 0.201 | 0.383 | 0.398 | 0.194
|
Union Bank, NA | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.034 | 0.009 | 0 | 0
|
Wells Fargo & Co. | 0.019 | 0 | 0.018 | 0.011 | 0 | 0.022 | 0.020 | 0.032 | 0.048 | 0.026 | 0.043 | 0.061 | 0.001
|
Wells Fargo Bank, NA | 0.031 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
|
Westpac | 0 | 0.075 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
|
Total | 6.325 | 3.838 | 8.685 | 4.738 | 3.538 | 2.402 | 3.470 | 8.707 | 5.796 | 7.555 | 5.425 | 3.486 | 7.872
|
|
| Q1/2010 | Count | Q2/2010 | Count | Q3/2010 | Count | Q4/2010 | Count | Q1/2011 | Count | YTD | Count | Total | Count | Last 12 months | Count | YTD Share
|
AB Svensk Exportkredit | 0.473 | 50 | 0.326 | 37 | 0.356 | 37 | 0.614 | 77 | 0.294 | 22 | 0.294 | 22 | 2.064 | 223 | 1.808 | 200 | 3.73%
|
ABN Amro Bank NV | 0.012 | 29 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.012 | 29 | 0.002 | 2 | 0.00%
|
Bank of America Corp. | 2.122 | 64 | 1.921 | 78 | 1.631 | 54 | 1.227 | 44 | 0.613 | 21 | 0.613 | 21 | 7.513 | 261 | 6.730 | 241 | 7.79%
|
Bank of Montreal | 0 | 0 | 0.050 | 2 | 0.001 | 1 | 0.012 | 20 | 0.025 | 35 | 0.025 | 35 | 0.088 | 58 | 0.088 | 58 | 0.32%
|
Barclays Bank plc | 9.221 | 762 | 1.740 | 597 | 9.741 | 301 | 6.383 | 290 | 4.053 | 91 | 4.053 | 91 | 31.138 | 2041 | 27.835 | 1795 | 51.49%
|
CMT Linked Trust Units Series 2010-01 | 0 | 0 | 0 | 0 | 0.013 | 1 | 0 | 0 | 0 | 0 | 0 | 0 | 0.013 | 1 | 0.013 | 1 | 0.00%
|
Citigroup Funding Inc. | 0.431 | 40 | 0.308 | 43 | 0.600 | 32 | 0.857 | 35 | 0.460 | 7 | 0.460 | 7 | 2.657 | 157 | 2.479 | 147 | 5.84%
|
Commonwealth Bank of Australia | 0.120 | 2 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.120 | 2 | 0.120 | 2 | 0.00%
|
Credit Suisse AG, Nassau Branch | 0.355 | 69 | 0.656 | 84 | 0.289 | 88 | 0.445 | 132 | 0.140 | 35 | 0.140 | 35 | 1.884 | 408 | 1.740 | 382 | 1.78%
|
Deutsche Bank AG, London Branch | 0.554 | 57 | 0.460 | 64 | 0.445 | 52 | 0.948 | 79 | 0.317 | 28 | 0.317 | 28 | 2.724 | 280 | 2.592 | 269 | 4.03%
|
Eksportfinans ASA | 0.516 | 45 | 0.464 | 26 | 0.399 | 18 | 0.836 | 28 | 0.387 | 9 | 0.387 | 9 | 2.602 | 126 | 2.374 | 106 | 4.92%
|
Federal Home Loan Banks | 0.318 | 22 | 0.105 | 8 | 0.050 | 4 | 0.225 | 11 | 0.095 | 3 | 0.095 | 3 | 0.793 | 48 | 0.718 | 43 | 1.21%
|
Freddie Mac | 0.050 | 2 | 0 | 0 | 0 | 0 | 0.138 | 4 | 0 | 0 | 0 | 0 | 0.188 | 6 | 0.138 | 4 | 0.00%
|
Goldman Sachs Group, Inc. | 0.732 | 45 | 0.913 | 82 | 0.487 | 66 | 0.727 | 70 | 0.062 | 13 | 0.062 | 13 | 2.921 | 276 | 2.718 | 264 | 0.79%
|
HSBC Bank USA, NA | 0.041 | 2 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.041 | 2 | 0.041 | 2 | 0.00%
|
HSBC USA Inc. | 0.496 | 86 | 0.468 | 81 | 0.330 | 82 | 0.470 | 90 | 0.082 | 28 | 0.082 | 28 | 1.847 | 367 | 1.651 | 335 | 1.04%
|
JPMorgan Chase & Co. | 0.852 | 146 | 1.108 | 212 | 0.727 | 198 | 1.297 | 211 | 0.427 | 86 | 0.427 | 86 | 4.411 | 853 | 4.192 | 810 | 5.42%
|
JPMorgan Chase Bank, NA | 0.022 | 1 | 0.019 | 1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.041 | 2 | 0.041 | 2 | 0.00%
|
Morgan Stanley | 1.504 | 86 | 1.144 | 74 | 1.548 | 74 | 0.737 | 62 | 0.402 | 28 | 0.402 | 28 | 5.335 | 324 | 5.111 | 303 | 5.11%
|
Nomura America Finance, LLC | 0 | 0 | 0 | 0 | 0 | 0 | 0.014 | 3 | 0.010 | 3 | 0.010 | 3 | 0.024 | 6 | 0.024 | 6 | 0.13%
|
Royal Bank of Canada | 0.371 | 216 | 0.398 | 260 | 0.331 | 226 | 0.333 | 208 | 0.290 | 56 | 0.290 | 56 | 1.723 | 966 | 1.654 | 912 | 3.68%
|
Royal Bank of Scotland NV | 0.023 | 63 | 0.040 | 93 | 0.048 | 45 | 0.045 | 35 | 0.016 | 14 | 0.016 | 14 | 0.171 | 250 | 0.171 | 250 | 0.20%
|
SunTrust Banks, Inc. | 0 | 0 | 0 | 0 | 0 | 0 | 0.003 | 2 | 0.004 | 1 | 0.004 | 1 | 0.007 | 3 | 0.007 | 3 | 0.05%
|
UBS AG | 0.490 | 50 | 0.527 | 50 | 0.876 | 59 | 0.983 | 86 | 0.194 | 29 | 0.194 | 29 | 3.069 | 274 | 2.864 | 258 | 2.47%
|
Union Bank, NA | 0 | 0 | 0 | 0 | 0 | 0 | 0.043 | 2 | 0 | 0 | 0 | 0 | 0.043 | 2 | 0.043 | 2 | 0.00%
|
Wells Fargo & Co. | 0.037 | 6 | 0.034 | 7 | 0.100 | 20 | 0.129 | 25 | 0.001 | 1 | 0.001 | 1 | 0.301 | 59 | 0.282 | 56 | 0.01%
|
Wells Fargo Bank, NA | 0.031 | 2 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.031 | 2 | 0 | 0 | 0.00%
|
Westpac | 0.075 | 1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.075 | 1 | 0.075 | 1 | 0.00%
|
Total | 18.848 | 1846 | 10.679 | 1799 | 17.973 | 1358 | 16.466 | 1514 | 7.872 | 510 | 7.872 | 510 | 71.837 | 7027 | 65.512 | 6454 | 100.00%
|
|
Proceeds |
|
|
| 1/2010 | 2/2010 | 3/2010 | 4/2010 | 5/2010 | 6/2010 | 7/2010 | 8/2010 | 9/2010 | 10/2010 | 11/2010 | 12/2010 | 1/2011 |
|
Less than $1 million | 0.044 | 0.048 | 0.067 | 0.084 | 0.072 | 0.099 | 0.056 | 0.070 | 0.066 | 0.064 | 0.075 | 0.055 | 0.063 |
|
$1-1.99 million | 0.134 | 0.171 | 0.194 | 0.239 | 0.171 | 0.088 | 0.111 | 0.110 | 0.110 | 0.136 | 0.168 | 0.131 | 0.160 |
|
$2-2.99 million | 0.369 | 0.300 | 0.223 | 0.121 | 0.122 | 0.082 | 0.102 | 0.082 | 0.105 | 0.068 | 0.069 | 0.156 | 0.091 |
|
$3-4.99 million | 0.158 | 0.201 | 0.222 | 0.179 | 0.202 | 0.152 | 0.152 | 0.153 | 0.172 | 0.197 | 0.216 | 0.176 | 0.163 |
|
$5-9.99 million | 0.371 | 0.360 | 0.369 | 0.378 | 0.413 | 0.416 | 0.298 | 0.260 | 0.352 | 0.422 | 0.526 | 0.514 | 0.411 |
|
$10-14.99 million | 0.170 | 0.544 | 0.420 | 0.388 | 0.408 | 0.334 | 0.249 | 0.327 | 0.335 | 0.399 | 0.438 | 0.362 | 0.315 |
|
$15-$49.99 million | 1.600 | 1.309 | 1.357 | 1.292 | 1.422 | 0.706 | 1.027 | 0.937 | 0.919 | 1.397 | 1.391 | 0.841 | 1.419 |
|
$50 million and higher | 3.479 | 0.905 | 5.832 | 2.057 | 0.729 | 0.525 | 1.474 | 6.768 | 3.737 | 4.873 | 2.541 | 1.251 | 5.251 |
|
Total | 6.325 | 3.838 | 8.685 | 4.738 | 3.538 | 2.402 | 3.470 | 8.707 | 5.796 | 7.555 | 5.425 | 3.486 | 7.872 |
|
|
| Q1/2010 | Count | Q2/2010 | Count | Q3/2010 | Count | Q4/2010 | Count | Q1/2011 | Count | YTD | Count | Total | Count | Last 12 months | Count | YTD Share
|
Less than $1 million | 0.159 | 395 | 0.254 | 641 | 0.192 | 469 | 0.195 | 409 | 0.063 | 144 | 0.063 | 144 | 0.863 | 2058 | 0.819 | 1954 | 0.80%
|
$1-1.99 million | 0.499 | 420 | 0.499 | 428 | 0.331 | 268 | 0.436 | 321 | 0.160 | 116 | 0.160 | 116 | 1.924 | 1553 | 1.790 | 1445 | 2.03%
|
$2-2.99 million | 0.891 | 409 | 0.324 | 140 | 0.288 | 120 | 0.293 | 124 | 0.091 | 39 | 0.091 | 39 | 1.888 | 832 | 1.518 | 657 | 1.16%
|
$3-4.99 million | 0.581 | 150 | 0.533 | 144 | 0.478 | 129 | 0.589 | 155 | 0.163 | 44 | 0.163 | 44 | 2.344 | 622 | 2.186 | 580 | 2.07%
|
$5-9.99 million | 1.101 | 162 | 1.207 | 175 | 0.910 | 132 | 1.462 | 215 | 0.411 | 61 | 0.411 | 61 | 5.090 | 745 | 4.718 | 690 | 5.22%
|
$10-14.99 million | 1.135 | 101 | 1.130 | 100 | 0.912 | 77 | 1.198 | 100 | 0.315 | 27 | 0.315 | 27 | 4.691 | 405 | 4.520 | 390 | 4.00%
|
$15-$49.99 million | 4.265 | 164 | 3.420 | 138 | 2.883 | 113 | 3.629 | 140 | 1.419 | 50 | 1.419 | 50 | 15.616 | 605 | 14.016 | 546 | 18.03%
|
$50 million and higher | 10.216 | 45 | 3.311 | 33 | 11.979 | 50 | 8.665 | 50 | 5.251 | 29 | 5.251 | 29 | 39.423 | 207 | 35.943 | 192 | 66.70%
|
Total | 18.848 | 1846 | 10.679 | 1799 | 17.973 | 1358 | 16.466 | 1514 | 7.872 | 510 | 7.872 | 510 | 71.837 | 7027 | 65.512 | 6454 | 100.00%
|
|
Type |
|
|
| 1/2010 | 2/2010 | 3/2010 | 4/2010 | 5/2010 | 6/2010 | 7/2010 | 8/2010 | 9/2010 | 10/2010 | 11/2010 | 12/2010 | 1/2011 |
|
Basket of stocks | 0.032 | 0.028 | 0.100 | 0.018 | 0.004 | 0.004 | 0.028 | 0.003 | 0.041 | 0.037 | 0.028 | 0.006 | 0.010 |
|
Commodities | 0.720 | 0.190 | 0.493 | 0.514 | 0.607 | 0.357 | 0.648 | 0.260 | 0.408 | 0.516 | 1.115 | 0.449 | 0.771 |
|
ETF | 0.267 | 0.148 | 0.089 | 0.136 | 0.211 | 0.139 | 0.110 | 0.152 | 0.141 | 0.271 | 0.185 | 0.205 | 0.118 |
|
Equity index | 1.342 | 1.308 | 1.303 | 1.811 | 1.269 | 0.889 | 1.558 | 1.024 | 1.328 | 1.455 | 2.422 | 0.985 | 1.624 |
|
Foreign exchange | 0.261 | 0.231 | 0.239 | 0.136 | 0.191 | 0.094 | 0.088 | 0.016 | 0.026 | 0.105 | 0.119 | 0.101 | 0.028 |
|
Fund | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
|
Interest rate | 0.323 | 0.442 | 0.510 | 0.427 | 0.297 | 0.159 | 0.194 | 2.206 | 0.227 | 0.229 | 0.468 | 0.317 | 0.264 |
|
Multiple/Other | 2.558 | 0.310 | 4.944 | 0.811 | 0.270 | 0.153 | 0.339 | 4.404 | 2.647 | 4.204 | 0.228 | 0.218 | 3.518 |
|
Single stock | 0.822 | 1.181 | 1.006 | 0.885 | 0.689 | 0.607 | 0.505 | 0.643 | 0.977 | 0.738 | 0.858 | 1.205 | 1.538 |
|
Total | 6.325 | 3.838 | 8.685 | 4.738 | 3.538 | 2.402 | 3.470 | 8.707 | 5.796 | 7.555 | 5.425 | 3.486 | 7.872 |
|
|
| Q1/2010 | Count | Q2/2010 | Count | Q3/2010 | Count | Q4/2010 | Count | Q1/2011 | Count | YTD | Count | Total | Count | Last 12 months | Count | YTD Share
|
Basket of stocks | 0.160 | 18 | 0.026 | 7 | 0.072 | 12 | 0.071 | 10 | 0.010 | 3 | 0.010 | 3 | 0.340 | 50 | 0.307 | 43 | 0.13%
|
Commodities | 1.403 | 122 | 1.477 | 115 | 1.316 | 95 | 2.080 | 165 | 0.771 | 51 | 0.771 | 51 | 7.048 | 548 | 6.328 | 491 | 9.79%
|
ETF | 0.504 | 124 | 0.486 | 136 | 0.403 | 112 | 0.661 | 129 | 0.118 | 23 | 0.118 | 23 | 2.172 | 524 | 1.905 | 471 | 1.50%
|
Equity index | 3.953 | 297 | 3.970 | 356 | 3.910 | 347 | 4.862 | 348 | 1.624 | 117 | 1.624 | 117 | 18.319 | 1465 | 16.977 | 1369 | 20.63%
|
Foreign exchange | 0.732 | 63 | 0.421 | 50 | 0.130 | 24 | 0.326 | 40 | 0.028 | 8 | 0.028 | 8 | 1.637 | 185 | 1.376 | 171 | 0.36%
|
Fund | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 1 | 0 | 1 | 0.00%
|
Interest rate | 1.275 | 97 | 0.883 | 106 | 2.628 | 54 | 1.014 | 53 | 0.264 | 21 | 0.264 | 21 | 6.063 | 331 | 5.740 | 307 | 3.35%
|
Multiple/Other | 7.812 | 80 | 1.234 | 93 | 7.389 | 70 | 4.651 | 106 | 3.518 | 33 | 3.518 | 33 | 24.604 | 382 | 22.046 | 370 | 44.69%
|
Single stock | 3.009 | 1045 | 2.182 | 935 | 2.125 | 644 | 2.801 | 663 | 1.538 | 254 | 1.538 | 254 | 11.655 | 3541 | 10.833 | 3231 | 19.54%
|
Total | 18.848 | 1846 | 10.679 | 1799 | 17.973 | 1358 | 16.466 | 1514 | 7.872 | 510 | 7.872 | 510 | 71.837 | 7027 | 65.512 | 6454 | 100.00%
|
|
Structure |
|
|
| 1/2010 | 2/2010 | 3/2010 | 4/2010 | 5/2010 | 6/2010 | 7/2010 | 8/2010 | 9/2010 | 10/2010 | 11/2010 | 12/2010 | 1/2011 |
|
ETN | 2.647 | 0.163 | 4.637 | 0.713 | 0.162 | 0.086 | 0.714 | 6.280 | 2.638 | 4.273 | 1.999 | 0.147 | 3.514 |
|
callable reverse convertible | 0.006 | 0.011 | 0.007 | 0.001 | 0.012 | 0.008 | 0.001 | 0.053 | 0.023 | 0.002 | 0.019 | 0.029 | 0.060 |
|
convertible/linked | 0.052 | 0.216 | 0.071 | 0.024 | 0.010 | 0.038 | 0.008 | 0 | 0.003 | 0.061 | 0.006 | 0.219 | 0.025 |
|
downside protection | 0.114 | 0.084 | 0.159 | 0.146 | 0.094 | 0.120 | 0.097 | 0.038 | 0.035 | 0.078 | 0.304 | 0.005 | 0.095 |
|
increasing calls | 0.216 | 0.066 | 0.094 | 0.086 | 0.158 | 0.237 | 0.249 | 0.303 | 0.252 | 0.225 | 0.513 | 0.319 | 0.499 |
|
leveraged return | 0.945 | 0.430 | 0.638 | 0.530 | 0.488 | 0.234 | 0.469 | 0.165 | 0.382 | 0.317 | 0.392 | 0.386 | 0.987 |
|
leveraged return, downside protection | 0.009 | 0.003 | 0.046 | 0.018 | 0.008 | 0.044 | 0.007 | 0.002 | 0.031 | 0.092 | 0.022 | 0.088 | 0.105 |
|
leveraged return, partial downside protection | 0.659 | 0.428 | 0.512 | 0.407 | 0.660 | 0.590 | 0.569 | 0.604 | 0.383 | 0.713 | 0.542 | 0.516 | 0.296 |
|
other/NA | 0.753 | 1.288 | 1.535 | 1.948 | 1.183 | 0.532 | 0.590 | 0.381 | 1.093 | 1.160 | 0.969 | 0.847 | 1.375 |
|
range | 0.180 | 0.251 | 0.155 | 0.106 | 0.098 | 0.041 | 0.262 | 0.419 | 0.352 | 0.174 | 0.179 | 0.301 | 0.321 |
|
reverse convertible | 0 | 0.025 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
|
steepener | 0.073 | 0.063 | 0.070 | 0.109 | 0.096 | 0.068 | 0.114 | 0.016 | 0.003 | 0.013 | 0.021 | 0.040 | 0.016 |
|
trigger reverse convertible | 0.672 | 0.810 | 0.761 | 0.649 | 0.568 | 0.405 | 0.391 | 0.445 | 0.603 | 0.447 | 0.460 | 0.590 | 0.578 |
|
Total | 6.325 | 3.838 | 8.685 | 4.738 | 3.538 | 2.402 | 3.470 | 8.707 | 5.796 | 7.555 | 5.425 | 3.486 | 7.872 |
|
|
| Q1/2010 | Count | Q2/2010 | Count | Q3/2010 | Count | Q4/2010 | Count | Q1/2011 | Count | YTD | Count | Total | Count | Last 12 months | Count | YTD Share
|
ETN | 7.446 | 42 | 0.961 | 32 | 9.632 | 46 | 6.418 | 120 | 3.514 | 27 | 3.514 | 27 | 27.971 | 267 | 25.325 | 249 | 44.64%
|
callable reverse convertible | 0.024 | 13 | 0.021 | 11 | 0.076 | 34 | 0.050 | 39 | 0.060 | 25 | 0.060 | 25 | 0.231 | 122 | 0.225 | 118 | 0.76%
|
convertible/linked | 0.338 | 20 | 0.072 | 16 | 0.011 | 6 | 0.287 | 6 | 0.025 | 3 | 0.025 | 3 | 0.732 | 51 | 0.680 | 45 | 0.32%
|
downside protection | 0.357 | 31 | 0.359 | 40 | 0.170 | 22 | 0.386 | 18 | 0.095 | 5 | 0.095 | 5 | 1.367 | 116 | 1.253 | 107 | 1.21%
|
increasing calls | 0.376 | 32 | 0.481 | 48 | 0.804 | 56 | 1.058 | 82 | 0.499 | 32 | 0.499 | 32 | 3.219 | 250 | 3.002 | 237 | 6.34%
|
leveraged return | 2.012 | 160 | 1.253 | 134 | 1.016 | 84 | 1.095 | 82 | 0.987 | 40 | 0.987 | 40 | 6.363 | 500 | 5.419 | 435 | 12.54%
|
leveraged return, downside protection | 0.058 | 10 | 0.070 | 20 | 0.040 | 5 | 0.202 | 17 | 0.105 | 2 | 0.105 | 2 | 0.475 | 54 | 0.466 | 52 | 1.33%
|
leveraged return, partial downside protection | 1.599 | 194 | 1.658 | 223 | 1.556 | 209 | 1.771 | 222 | 0.296 | 47 | 0.296 | 47 | 6.881 | 895 | 6.222 | 831 | 3.76%
|
other/NA | 3.575 | 244 | 3.663 | 317 | 2.064 | 272 | 2.975 | 325 | 1.375 | 106 | 1.375 | 106 | 13.653 | 1264 | 12.900 | 1206 | 17.47%
|
range | 0.587 | 41 | 0.245 | 16 | 1.033 | 44 | 0.654 | 45 | 0.321 | 23 | 0.321 | 23 | 2.840 | 169 | 2.660 | 155 | 4.08%
|
reverse convertible | 0.025 | 1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.025 | 1 | 0.025 | 1 | 0.00%
|
steepener | 0.207 | 23 | 0.273 | 38 | 0.133 | 9 | 0.074 | 10 | 0.016 | 5 | 0.016 | 5 | 0.702 | 85 | 0.628 | 81 | 0.20%
|
trigger reverse convertible | 2.243 | 1035 | 1.622 | 904 | 1.439 | 571 | 1.497 | 548 | 0.578 | 195 | 0.578 | 195 | 7.379 | 3253 | 6.707 | 2937 | 7.34%
|
Total | 18.848 | 1846 | 10.679 | 1799 | 17.973 | 1358 | 16.466 | 1514 | 7.872 | 510 | 7.872 | 510 | 71.837 | 7027 | 65.512 | 6454 | 100.00%
|
|
Tenor |
|
|
| 1/2010 | 2/2010 | 3/2010 | 4/2010 | 5/2010 | 6/2010 | 7/2010 | 8/2010 | 9/2010 | 10/2010 | 11/2010 | 12/2010 | 1/2011 |
|
Less than 1 year | 0.822 | 0.687 | 0.624 | 0.610 | 0.540 | 0.356 | 0.433 | 0.404 | 0.549 | 0.323 | 0.466 | 0.511 | 0.690 |
|
1 | 1.095 | 0.919 | 1.090 | 1.495 | 1.055 | 0.810 | 0.706 | 0.753 | 0.839 | 1.010 | 1.309 | 1.121 | 1.864 |
|
1.25 | 0.410 | 0.263 | 0.599 | 0.352 | 0.237 | 0.059 | 0.315 | 0.098 | 0.239 | 0.223 | 0.174 | 0.283 | 0.481 |
|
1.5 | 0.178 | 0.568 | 0.135 | 0.318 | 0.498 | 0.211 | 0.270 | 0.095 | 0.131 | 0.213 | 0.120 | 0.380 | 0.130 |
|
1.75 | 0 | 0 | 0.001 | 0.005 | 0.005 | 0.014 | 0.002 | 0.002 | 0.013 | 0.029 | 0 | 0.002 | 0 |
|
2 | 0.488 | 0.275 | 0.369 | 0.305 | 0.331 | 0.231 | 0.377 | 0.318 | 0.298 | 0.398 | 0.370 | 0.224 | 0.263 |
|
2.25 to 4.75 years | 0.124 | 0.147 | 0.150 | 0.134 | 0.165 | 0.191 | 0.125 | 0.212 | 0.235 | 0.284 | 0.264 | 0.221 | 0.282 |
|
5 | 0.118 | 0.082 | 0.203 | 0.183 | 0.101 | 0.210 | 0.131 | 0.097 | 0.150 | 0.196 | 0.166 | 0.126 | 0.180 |
|
5.25 to 9.75 | 1.630 | 0.093 | 2.583 | 0.547 | 0.079 | 0.057 | 0.079 | 4.026 | 2.542 | 4.104 | 0.335 | 0.144 | 3.242 |
|
10 | 1.003 | 0.149 | 2.115 | 0.220 | 0.155 | 0.107 | 0.269 | 2.317 | 0.073 | 0.101 | 1.149 | 0.017 | 0.328 |
|
10.25 to 14.75 | 0.053 | 0.015 | 0.019 | 0.022 | 0.018 | 0.020 | 0.008 | 0.012 | 0.299 | 0.042 | 0.148 | 0.109 | 0.096 |
|
15 | 0.233 | 0.178 | 0.258 | 0.188 | 0.165 | 0.056 | 0.253 | 0.122 | 0.225 | 0.228 | 0.141 | 0.289 | 0.196 |
|
Longer than 15 | 0.153 | 0.225 | 0.191 | 0.260 | 0.160 | 0.081 | 0.501 | 0.225 | 0.202 | 0.392 | 0.773 | 0.061 | 0.119 |
|
NA | 0.017 | 0.238 | 0.348 | 0.100 | 0.029 | 0 | 0 | 0.025 | 0 | 0.012 | 0.009 | 0 | 0 |
|
Total | 6.325 | 3.838 | 8.685 | 4.738 | 3.538 | 2.402 | 3.470 | 8.707 | 5.796 | 7.555 | 5.425 | 3.486 | 7.872 |
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| Q1/2010 | Count | Q2/2010 | Count | Q3/2010 | Count | Q4/2010 | Count | Q1/2011 | Count | YTD | Count | Total | Count | Last 12 months | Count | YTD Share
|
Less than 1 year | 2.133 | 765 | 1.506 | 771 | 1.386 | 489 | 1.300 | 482 | 0.690 | 181 | 0.690 | 181 | 7.015 | 2688 | 6.193 | 2469 | 8.77%
|
1 | 3.104 | 481 | 3.360 | 394 | 2.298 | 335 | 3.440 | 391 | 1.864 | 150 | 1.864 | 150 | 14.066 | 1751 | 12.971 | 1565 | 23.68%
|
1.25 | 1.272 | 58 | 0.648 | 48 | 0.652 | 51 | 0.680 | 51 | 0.481 | 18 | 0.481 | 18 | 3.733 | 226 | 3.323 | 206 | 6.11%
|
1.5 | 0.881 | 124 | 1.027 | 152 | 0.497 | 122 | 0.713 | 99 | 0.130 | 26 | 0.130 | 26 | 3.247 | 523 | 3.069 | 488 | 1.65%
|
1.75 | 0.001 | 1 | 0.023 | 7 | 0.016 | 4 | 0.031 | 5 | 0 | 0 | 0 | 0 | 0.072 | 17 | 0.072 | 17 | 0.00%
|
2 | 1.133 | 121 | 0.868 | 104 | 0.993 | 115 | 0.992 | 120 | 0.263 | 27 | 0.263 | 27 | 4.248 | 487 | 3.760 | 452 | 3.34%
|
2.25 to 4.75 years | 0.420 | 72 | 0.491 | 98 | 0.573 | 84 | 0.769 | 98 | 0.282 | 27 | 0.282 | 27 | 2.535 | 379 | 2.411 | 365 | 3.58%
|
5 | 0.403 | 39 | 0.494 | 63 | 0.379 | 37 | 0.488 | 45 | 0.180 | 14 | 0.180 | 14 | 1.944 | 198 | 1.827 | 189 | 2.29%
|
5.25 to 9.75 | 4.307 | 37 | 0.682 | 36 | 6.647 | 24 | 4.583 | 41 | 3.242 | 17 | 3.242 | 17 | 19.461 | 155 | 17.830 | 143 | 41.18%
|
10 | 3.268 | 26 | 0.483 | 41 | 2.659 | 38 | 1.266 | 34 | 0.328 | 7 | 0.328 | 7 | 8.004 | 146 | 7.001 | 144 | 4.17%
|
10.25 to 14.75 | 0.088 | 33 | 0.059 | 18 | 0.320 | 15 | 0.299 | 65 | 0.096 | 14 | 0.096 | 14 | 0.862 | 145 | 0.809 | 129 | 1.22%
|
15 | 0.669 | 54 | 0.409 | 39 | 0.600 | 24 | 0.658 | 50 | 0.196 | 19 | 0.196 | 19 | 2.533 | 186 | 2.300 | 167 | 2.49%
|
Longer than 15 | 0.568 | 21 | 0.500 | 24 | 0.927 | 19 | 1.226 | 31 | 0.119 | 10 | 0.119 | 10 | 3.341 | 105 | 3.188 | 100 | 1.51%
|
NA | 0.602 | 14 | 0.129 | 4 | 0.025 | 1 | 0.021 | 2 | 0 | 0 | 0 | 0 | 0.776 | 21 | 0.759 | 20 | 0.00%
|
Total | 18.848 | 1846 | 10.679 | 1799 | 17.973 | 1358 | 16.466 | 1514 | 7.872 | 510 | 7.872 | 510 | 71.837 | 7027 | 65.512 | 6454 | 100.00%
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Criteria
• The tables include all dollar-denominated offerings sold in the U.S. as public or Rule 144A deals reported to Prospect News.
• Offerings are included in the time period in which they price.
• Amounts are based on the total sales price (face amount multiplied by the offering price).
• Each tranche is counted as a separate deal.
• Notes are included that convert into or are linked to one more stocks, indexes, commodities, currencies, interest rates or other assets. For interest rate deals, callables with no further structure are excluded.
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