Macquarie Bank has recently launched a combination of two structured product concepts in Asia in order to enhance returns on equity-linked notes. The firm has started issuing worst-of range accrual notes in Hong Kong and Singapore to private banking and institutional clients. "This gives quite a kicker to the yield," said Matthew Long, head of equity derivative sales in the Lion City.
Long said Macquarie is issuing the notes because clients are looking for new variations of existing products given relatively low interest rates and volatility. In a typical structure, with a maturity of one or two years, buyers accumulate a coupon every quarter on the days the worst-performing equity share in a basket is above a designated strike price such as 91.5% of the initial spot level. The structure may be called if the worst-performing share is at 100% of the initial reference price on the selected quarterly call dates. Long said returns are targeted at 7-8% or higher, depending on the underlying names in the structure.
