Structured Notes 2013 Year End Review

2013

Year end review

Structured

NoteS

outLooKIndustry executives share their opinions on 2013’s biggest story and try to predict what’s in store this year. Page 3

top 10 StorieSA look at the 10 biggest stories that appeared on the newslet-ter’s front pages last year. Page 4

aSSet cLaSS breaKdowNWhile other note categories lost market share, investors couldn’t seem to get enough securities linked to stocks. Page 5

top 10 NoteSThe year’s largest notes were tied to Libor, constant-maturity swaps and the Dow Jones

Industrial Average. Page 5

moNthLy SaLeS treNdSWhile global sales dropped to the lowest in a decade, in the U.S., equity-linked volume pushed last year’s issuance above 2012’s. Page 6

Noteworthy imageSWhat would a structured note prospectus look like, distilled to one image? Take a look. Page 7

Quiz Six structured notes, with four different valuations for each. Can you guess which is correct? Page 7

top 100 u.S. Note hoLderS The 100-biggest holders of the largest structured notes that have been issued in the U.S. since 2010. Page 8

a cLoSer LooK at hoLderSAn in-depth look at who holds the U.S. structured notes in our sample and which underlyings and maturities they prefer. Page 9

raNKiNgS by aSSet cLaSSOur tables rank issuers in Europe and the U.S., showing who climbed a few rungs from 2012 and who dropped a few. Pages 10, 11

coNteNtS

year iN reviewBy RIChARD BEDARD

The story of 2013 that had the biggest impact can’t be pinned to a time, place or person. Rather, it was the steady and seemingly inexorable rise in major stock markets around the globe. Plenty of struc-tured note investors gladly went along for the ride: They bought one-year autocall-ables tied to everything from U.S. Steel Corp. to Lululemon Athletica Inc., 20-year securities that pay monthly coupons if major stock indexes don’t plummet, and a variety of other products.

The stock gains helped take the sting out of other not-so-favorable trends. Interest rates began the year near record lows. Volatility was subdued, with the VIX Index in 2013 about 50 percent below its long-term average. Bank risk improved, reducing funding costs. Thus issuers found themselves squeezed in trying to create alluring terms on notes, whether in coupons or buffers or leveraged gains.

They still found ways to wring out yield, such as by pushing out maturities. About 5 percent of U.S. equity-tied notes had maturities of 10 years or longer, compared with less than 2 percent in 2012. Banks also turned to selling notes that tracked baskets of stocks, with returns based on the worst performer. By July, issuance of such “worst of” securities had almost doubled from the year before.

Apart from equity-tied notes, the issu-ance picture was generally grim. Rate-linked sales dropped — who wanted to get caught on the wrong side of the Fed’s eventual withdrawal from monetary easing? Commodity-tied notes fared badly, as the price of grains and precious metals tumbled. Globally, there were also declines in the volume of securities linked to credit and inflation.

Beyond the ebb and flow of sales num-bers, regulatory issues again weighed on the industry. In the U.S., banks complied

with the Securities and Exchange Com-mission’s request that they begin disclos-ing the initial value of their securities. That allowed investors, for the first time ever, to see exactly what that $1,000 note they just bought was worth at the moment it changed hands.

In Europe, regulators considered similar measures, as they also pushed for greater transparency. The International Organization of Securities Commissions published a report in April containing proposals that aimed to improve sales practices and disclosures.

In the end, some banks decided is-suing structured notes wasn’t worth it. Rabobank Groep closed its equity de-rivatives unit in March and Royal Bank of Scotland Group Plc announced in June it was shuttering its structured products business.

Bloomberg Brief Structured Notes

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Quiz answers from page 7: 1.(a) 2.(d) 3.(a) 4.(c) 5.(b) 6.(d)

a guide to our data* U.S. notes are securities issued in the U.S. that are registered with the SEC.** Global notes exclude U.S. securities and also “variable-principal redemption” notes, such as reverse convertibles.*** European notes are issued in Europe and exclude “variable-principal redemption” notes, such as reverse convertibles.

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01.09.14 www.bloombergbriefs.com Bloomberg Brief | Structured Notes 2

outLooK

what was this year’s biggest story? what do you think will be the biggest surprise of 2014?

Shane Edwards, global head of equities structuringUBS AGA: 2013 will be regarded as a great year for equities. Japan was the standout market in terms of returns and international attention. Also interesting: the pronounced outperformance of developed versus emerging market equities. In 2014, we expect a continuation in demand for yield products, but a preference for floating-rate cou-pons rather than fixed-income. We may see demand increase for growth-oriented products, if the momentum in equities and economic recovery continues.

Marc El Asmar, global head of sales in cross-asset solutionsSociete Generale SAA: 2013 was a good year for structured products, particularly for listed products and credit-linked products. Basically, anything with a coupon was well received. People were looking for yield. Next year the focus will be on rising rates, on when and by how much they will go up. Investors will be looking for products to hedge or take advantage of that. Keep an eye on longevity-based trades [longevity bonds pay a coupon based on “survivor-ship” of a population group], as we expect see more of that.

Mathias Strasser, chief executive officerWallStreetDocs Ltd.A: From an automation perspective, we’ve seen issuers focusing to streamline the offering process. This trend continues to be driven by cost pressures and regulatory requirements. For 2014, I expect further convergence in regulatory requirements between Europe and the United States. I also expect that the fast-growing use of mobile devices will be felt in the structured products space. This will affect the way investors access information about structured products and how deals are marketed.

Tom Layton, director of structured productsRaymond James & Associates Inc.A: The biggest story for our clients has been the shift to a rising interest rate environment. The dramatic interest rate move in May and June caused investors to re-think fixed-income allocations. Our firm has positioned certain structured products as an attractive alternative. It’s tough to say what would be the biggest surprise, but we feel investors have put less attention on credit risk over the past year as equity markets rallied. If rates rise quickly and/or equities pull back, we could see focus quickly shift to mitigating both credit and market-related risk.

Serge Troyanovsky, managing director and head of retail distribution in North AmericaBNP Paribas SAA: The biggest story of 2013 is the performance of equity markets. We saw many structured products follow the lead. In addition, we have also seen a change in focus from income-generating structures to more growth-oriented. This is reflective of the more bullish outlook on the equity markets. I think that the biggest surprise in 2014 will be investors buying more notes that use bespoke strategies, that come from a research-based basket of equities, or a dynamic index designed to adjust its exposure based on market conditions.

Josef Mehkri, head of institutional and private banking salesSEB ABA: We saw investors move away from a focus only on credit to look at more equity products as they wanted to benefit from the rally in equities. There is a lot less juice left in credit as spreads have tightened. European high yield has tightened a lot; some banks predict it could come in by a further 100 basis points. Next year, an increase in rates driven by the Fed could be a double-edged sword. Investors in existing notes will suffer mark-to-market losses, while higher rates will allow new notes to be issued with more attractive coupons.

U.S.

EUROPE

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top 10 StorieS

1) EQUITY NOTE SALES SIGNAL POSSIBLE “GREAT ROTATION” Bullishness about stocks, and losses on bonds, made equity-tied notes the year’s biggest bet. In the U.S., such securities (including reverse convertibles) accounted for almost four-fifths of all issuance.

2) FIXED-INCOME FLIGHT SENDS SALES TO 11-YEAR LOW Sales of rate-tied products were poor all year long. For one, the low interest rate environment made coupons on the securi-ties unappealing. Also the possibility that rates would soon start to rise damped enthusiasm for fixed-income notes.

3) LOWEST VOLATILITY SINCE 2007 REDUCES NOTE RETURNS Low volatility bedeviled investors seeking high coupons on structured notes. The VIX Index averaged less than 15 for the year and ended above 20 on only three days, in June and October.

4) LIBOR-TIED NOTE SALES JUMP ON EXPECTED RATE RISE The Federal Reserve’s plans for the stimu-lus taper – when would it begin and by how

much?– kept investors guessing for much of the year. Note buyers responded by pur-chasing more products tied to Libor where coupons would adjust when rates climbed.

5) INVESTORS SEEK LONGER MATUR-ITIES TO BOOST YIELDS Low interest rates, declining funding costs for banks and less stock volatility hurt note terms. One way issuers responded: they extended maturities to create some yield.

6) ETN ASSETS SURGE ON DIVI-DENDS, HIGHER LIQUIDITY U.S. exchange-traded note holdings had soared about 34 percent by September, while structured note sales were down slightly at the time. Some investors fa-vored ETNs for being more liquid and able to access stock dividends.

7) COMMODITY-TIED NOTE SALES SLUMP TO NINE-YEAR LOW Issuance of notes tied to commodities fell sharply. Gold and silver were victims of Fed Chairman Ben S. Bernanke’s plan to slow bond purchases, while other materi-als such as copper suffered as growth in China’s economy slowed.

8) U.S. NOTES TIED TO EURO STOXX 50 SURGE ON VOLATILITY Concern about Europe faded as inves-tors took comfort in the European Central Bank president’s pledge to save the euro, whatever it took. Meanwhile the Euro Stoxx 50 Index’s volatility stayed higher than that for U.S. stock benchmarks, al-lowing issuers to create securities tied to the gauge that paid better returns.

9) GOLD PLUNGE RISKS LOSSES ON $1.1 BILLION OF NOTES A drop in the price of gold put in peril hun-dreds of millons of dollars of U.S. struc-tured notes. The precious metal declined for the first time since 2000, when it was trading at less than $280 an ounce.

10) BUYERS SNAP UP NOTES TIED TO SINGLE STOCKS Among the signs in 2013 of growing risk appetite: Investors bought a higher per-centage of notes tied to single stocks. The securities often had higher volatility than those linked to indexes, which meant issu-ers could offer more attractive features.

We took a look at all our front pages from 2013 and selected what we thought were the 10 stories that best captured the trends and is-sues for the year.

To view interactive feature click below.

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Equity, 75.3%

FX, 1.5%

Rates, 11.7%

Reverse Convertible, 3.8%

Commodity, 3.3%

Hybrid, 1.5%

Other, 3.0%

Source: Bloomberg LP

2013 U.S.

Equity, 64.3%

FX, 2.5%

Rates, 14.7%

Commodity, 6.7%

Reverse Convertible, 6.0%

Hybrid, 2.5%

Other, 3.2%


2012 U.S.

Credit, 53.8% Rates, 35.0%

Inflation, 2.4%

Other, 8.8%


2013 Global

Credit, 55.2%

Rates, 39.0%

Inflation, 2.8%

Other, 3.0%


2012 Global

Investors had a huge appetite for notes linked to stocks, while most other categories shrank. Commodity-tied fell by half, to 3.3 percent.

Sales were better distributed in 2012, with four categories over $2 billion (equity, rates, commodity, reverse convertibles), compared to two in 2013.

Market share dipped for notes in three major categories. On an absolute basis, credit-tied dropped 15 percent to $38 billion.

The rate-tied and credit-linked categories combined made up almost 95 percent of volume in 2012.

Top 10 U.S. Notes Top 10 Global Notes (Outside U.S.)

aSSet cLaSS breaKdowN

equity-tied Notes Soar in u.S. as credit-Linked drops globally

iSSuer deScriptioN amt. (mLN $) iSSuer deScriptioN amt. (mLN $)Bank of America 5 yr., tied to Dow Jones Industrial Average 284.5 Volkswagen Intl. Fin. NV Perpetual, fixed to floating rate over CMS 993.1Morgan Stanley 2 yr., fixed to floating rate 250.0 Cassa Depositi Prestiti 10 yr., floating rate over CMS 687.1Toyota 18 mo., fixed to floating rate 250.0 Palladium Securities 1 SA 10 yr., tied to CMS with cap, floor 655.6JPMorgan 5 yr., tied to JPMorgan commodity index 239.7 Landessparkas Olden. 4 yr., credit-linked note also tied to Euribor 506.9Bank of America 3 yr., tied to Euro Stoxx 50 Index 229.8 MAF Global Securities Perpetual, fixed to floating rate over CMS 500.0Bank of America 3 yr., tied to Euro Stoxx 50 Index 196.4 Banca IMI SpA 4 yr., fixed to digital coupon tied to Euribor 392.8BMO 1 yr., tied to Raymond James stock picks 185.0 Mediobanca SpA 6 yr., fixed to digital coupon tied to Euro Stoxx 50 270.4Morgan Stanley 3 yr., fixed to floating rate 175.0 Cie Financement Foncier 20 yr., fixed to CMS rate with cap 269.5Credit Suisse 1 yr., tied to Hang Seng China Enter. Index 171.4 Mediobanca SpA 5.5 yr., fixed to floating rate over Italy's CPI 261.9Bank of America 5 yr., tied to Dow Jones Industrial Average 166.3 Palladium Securities 1 SA 6.5 yr., tied to CMS with cap, floor 257.6

Source: Bloomberg LP Source: Bloomberg LP

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moNthLy SaLeS treNdS

Issuance in the U.S. started out the year strong, then immediately began to slide. Sales in April, June and July barely eclipsed $3 billion for each month. Then the rebound got under way, propelled by a large amount of stock-tied sales: $2.87 million in August, or more than 82 percent of the overall.

Sales proved steadier in 2013 than the year before, when issuance ranged from $2.19 billion in December to $4.54 billion in March. There were five months of less than $3 billion of volume in 2012; last year there was only one. The size of the typical deal crept higher: $4.9 million on average, up from $4.79 million in 2012, after declin-ing from $6.27 million in 2011.

Global issuance, which excludes the U.S. and equity-linked notes, ticked lower almost every month, ending the year at $70.6 billion, the lowest since 2002. A jump to $7.59 billion in May turned out to be no more than a “false spring,” as sales resumed their decline in June. The $4.03 billion of volume in September was less than half the sales of the same month in 2008 — a time when Lehman Brothers holdings Inc. went bankrupt and the finan-cial system appeared to be coming apart — and the worst September since 2002.

DZ Bank AG was one of the few major issuers that gained sales, climbing to $18.1 billion from $17.1 billion, making the German bank No. 1 again. Those that fell included Deutsche Bank AG, UBS AG and Credit Suisse Group AG.

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U.S. Sales Recover After Sagging in Mid-Year

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1 2 3 4 5 6

Noteworthy imageS

a Structured Note prospectus made visualWe decided to distill the essence of a typical prospectus — with all its explanations, definitions, examples and risk warnings — into one simple word cloud. Below is what the offering document for Credit Suisse AG’s $4.44 million of leveraged buffered notes tied to the MSCI EAFE Index, sold on Nov. 15, looks like.

Quiz answers on pg 2.

I’m a 12-year callable range accrual, tied to Libor and the S&P 500, paying up to 7.4% annu-ally, and sold in August 2012 by Goldman Sachs.

a) 88.0

b) 91.4

c) 98.6

d) 97.3

I’m a 2-year note paying 19.5% or more if the rupee gains against the dollar, with 10% of principal at risk, sold by Bank of America in January.

a) 92.0

b) 85.0

c) 99.4

d) 97.0

I’m a 3-month reverse con-vertible, tied to Apollo Group, with a 15.5% annual coupon and 20% buffer, sold by JPMor-gan in May.

a) 96.2

b) 98.8

c) 90.9

d) 97.1

I’m a 9-year callable range accrual tied to Libor and the Russell 2000, paying up to 7.7% annually, and sold in May by Citigroup.

a) 82.2

b) 96.9

c) 90.9

d) 93.8

I’m a 5-year au-tocallable tied to Ford with a 7.5% annual contin-gent coupon and 33% buffer, sold in May by Barclays.

a) 97.2

b) 94.5

c) 88.7

d) 95.5

I’m a 1-year autocallable tied to the S&P 500, paying up to 7.56% annually, with no buffer, sold in April by Royal Bank of Canada.

a) 90.2

d) 95.6

c) 96.7

d) 98.0

Banks now disclose the inital value for their U.S. structured notes. Can you guess how much each of the following was worth in cents on the dollar?

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top 100 decLared hoLderS of LargeSt u.S NoteS

Name hoLdiNgS ($) # of NoteSAuto Owners Group 159,600,000 7FMR LLC 120,000,000 9Woodmen World Life Ins. Soc. 120,000,000 8Alfa Ins. Grp. 101,725,000 13Prudential of America Group 93,000,000 1Texas Permanent School Fund 80,000,000 5Wellesley Investment Advisors 67,243,000 2Credit Suisse AG 65,900,000 2Allianz Global Investors 61,337,483 8CareSource 60,500,000 13American Equity Invest. Life Ins. 38,500,000 2State Auto Property & Casualty 37,300,000 6Waddell & Reed Financial Inc. 35,300,000 1Mercury General Group 32,798,000 9American National Insurance Comp. 25,000,000 3Protective Life Insurance Group 24,000,000 1Principal Financial Group Inc. 23,940,000 3Toa Reinsurance Co. of America 21,500,000 11Valic Co. 20,753,000 9Berkley Ins. Co. 20,000,000 2EMC Insurance Company Group 18,000,000 3Miller Investment Trust 17,000,000 2Highmark Group 16,486,000 15AIC Holdings Group 14,607,000 8Citizens Group 13,250,000 3Kentucky Farm Bureau Group 13,000,000 4BCBS of Alabama Group 11,750,000 7Federated Investors Inc. 10,321,424 2Oppenheimerfunds Incorporated 10,273,061 2Allianz Asset Management AG 10,000,000 1Brinton Eaton Associates Inc. 10,000,000 1Modern Woodmen of Amer. 10,000,000 1Nationwide Fund Advisors 9,800,000 1MGIC Group 9,700,000 4Statistical Science Incorporated 9,582,000 1EMC Natl. Life Co. 9,000,000 3Landesbank Berlin Investment GMB 8,650,000 3Country Ins. & Fin. Svc. Group 8,227,000 5Portfolio Strategies Inc. 8,000,000 1IAT Reinsurance Company Group 7,868,000 5Arbella Insurance Group 7,000,000 2Deutsche Bank AG 7,000,000 1Greek Catholic Union of the USA 6,500,000 7Mackenzie Financial Corporation 6,268,000 1Berkley Regional Insurance Co. 5,000,000 2BSI SA 5,000,000 1Government Personnel Mutual Life 5,000,000 3Huntington Trust Company 5,000,000 2Goldman Sachs Group Inc. 4,195,000 2Donegal Group 4,127,000 3

Name hoLdiNgS ($) # of NoteSCharter Insurance Group 4,100,000 18FFVA Mutual Insurance Company 4,000,000 6Grange Mutual Casualty Group 4,000,000 3Mairs & Power Incorporated 4,000,000 6Mutual of Omaha Group 4,000,000 1Franklin Resources 3,950,000 2Investors Capital Advisory Svcs. 3,697,000 2Tricadia Holdings Group 3,650,000 11Physicians Professional Liab. RRG 3,295,000 3Pax World Management LLC 3,177,000 2First American Title Group 3,100,000 2Ameriprime Funds 3,098,000 5American National Financial Group 3,000,000 1Ameritas Mutual Holding Group 3,000,000 1GuideOne Insurance Group 3,000,000 2Marysville Mutual Insurance Co. 3,000,000 22Meridian Security Insurance Co. 2,650,000 2City National Bank 2,505,000 2Catholic Order of Foresters 2,500,000 5Guard Insurance Co. Group 2,500,000 3ProAssurance Ind. Co. Inc. 2,500,000 2Rockhill Ins Co. 2,500,000 1SPJST 2,500,000 3Van Enterprises Group 2,500,000 3Western Fraternal Life Assoc. 2,500,000 3National Farm Life Insurance Co. 2,375,000 5Sons of Norway 2,300,000 3American Eqty. Investment Life 2,250,000 2Texas Farm Bureau Mutual Group 2,250,000 4Viva Health Inc. 2,210,000 3Physicians Reciprocal Insurers 2,200,000 5Amerco Corporation Group 2,190,000 2Everett Mutual Group 2,100,000 5Thompson Investment Management 2,045,000 6Countrywide Ins. Co. 2,000,000 1EMC Reinsurance Company 2,000,000 1Grinnell Mutual Group 2,000,000 3North Star Company Group 2,000,000 2WesBanco Trust & Investments 2,000,000 3Pioneer 1,995,000 5Western National Mutual Group 1,850,000 2Florida Peninsula Ins. Co. 1,760,000 1Zazove Associates LLC 1,760,000 1Indiana Farm Bureau Group 1,700,000 1RLI Insurance Group 1,700,000 1Pilco Cos. Group 1,550,000 1Premier Fund Managers Ltd. 1,550,000 1Florida Family Ins. Co. 1,500,000 3Guaranty Income Life Insurance 1,500,000 3Transamerica Investment Services 1,500,000 1

We looked at who owns the largest U.S. SEC-registered structured notes, according to the most recent public filings. We examined the 1,000 biggest notes for each year from 2010 to 2013. We found $1.69 billion of declared holdings for 353 securities. The holdings in the table below are based on notional amounts of the securities, not current values. The last column shows the number of different securi-ties owned. Note: Because of data limitations, some figures may not be exact.


To view interactive feature click below.

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top hoLderS

a closer Look at holders ■ DoubleLine Capital LP, the

investment firm run by Jeffrey Gundlach that manages about $53 billion, dropped off our ranking after sitting atop the third-quarter holders’ table. The Los Angeles fund appears nowhere in our year-end top 100.

Last year, DoubleLine owned $200 million of two- to four-month securities, which were tied to Inves-co Ltd.’s PowerShares Senior Loan Portfolio exchange-traded fund and the iBoxx Liquid high yield Index, according to data compiled by Bloomberg from public filings. JPMorgan Chase & Co. sold the notes on May 14 and 15.

They each paid a 5 percent annual coupon and the gains of the underlying gauge above a break-even point, according to their prospectuses filed with the U.S. Se-curities and Exchange Commission. The notes all lost value, Bloomberg data show.

Loren Fleckenstein, an analyst at DoubleLine, didn’t return voicemails seeking comment.

■ Insurers had the most hold-ings, Bloomberg data show. They owned $1.06 billion, or more than three-fifths, of the investments in our sample. They were followed by investment advisers ($542.7 million) and pension funds ($80 million). Only one investor occupied the pension fund category: the Texas Permanent School Fund, which owned four securities tied to the consumer price index and one linked to Libor.

■ It’s no surprise that the largest amount of holdings — 87 percent, or $1.47 billion — can be traced to U.S. institutions. After that though, the list becomes less obvious. In second place was Britain ($121.6 million), followed by Switzerland ($65.9 million) and Germany ($25.7 million).

— Kevin Dugan, Richard Bedard

Investors owned $438.6 million of notes linked to Libor. The Dow-Jones UBS Commodity Index (and its variations) was second-most popular, at $173.1 million in 10 holdings, while the consumer price index trailed with $144.7 million, though with 49 investments.

0 100 200 300 400 500

EMC

Constant-maturity swaps

Qualcomm

Google

International Paper

Consumer Price Index

Dow Jones-UBS Cmdty. Index

Libor

Millions of $ Source: Bloomberg LP

Most popular underlyings among $1.69 billion of declared holdings. The darker the color, the higher the number of investments. For example, notes linked to Qualcomm and EMC made up only one holding each, while those tied to Libor belonged to more than 180.

Most Popular Underlyings Include Libor, Inflation Index

Almost a third of the holdings, or 207, in our sample matured in 15 years. That compares with 102 coming due in 10 years and 99 maturing in 20 years. The average maturity for the investments was 11 and a half years. That’s about four times as great as the average for all notes issued in 2013.

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Points represent all 693 holdings in our sample, by size and maturity. Y axis uses a logarithmic scale.

Investors Prefer 15-Year Maturities Over 20-Year, 10-Year

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u.S. raNKiNgS by aSSet cLaSS

All Asset Classes

Sec-regiSteredStructured Note iSSuerS*

2013

raNK 2012 raNK

marKet Share

voLume uSd

(mLN)Bank of America 1 1 15.6% 6,328.2JPMorgan ⬆ 2 4 11.7% 4,721.7Barclays 3 3 11.0% 4,470.0Morgan Stanley ⬆ 4 8 10.5% 4,249.5Goldman Sachs ⬇ 5 2 9.3% 3,785.7HSBC ⬇ 6 5 7.8% 3,155.5RBC 7 7 7.6% 3,059.7Credit Suisse ⬆ 8 10 6.6% 2,655.4UBS ⬇ 9 6 5.9% 2,381.6Deutsche Bank ⬇ 10 9 3.8% 1,553.9Citigroup 11 11 3.8% 1,528.2Wells Fargo 12 12 1.7% 683.1Scotiabank ⬆ 13 17 1.5% 595.4Toyota ⬆ 14 16 1.2% 495.5SEK ⬇ 15 13 1.0% 405.5BMO ⬇ 16 15 0.8% 323.2Lloyds ⬆ 17 18 0.2% 60.9SunTrust ⬆ 18 19 0.1% 36.0Nomura ⬆ 19 — 0.0% 10.0CIBC ⬆ 20 — 0.0% 3.3totaL (JaN. 1 to dec. 31, 2013) 20 21 100.0% 40,502.2

Interest Rate-Linked


2013

raNK 2012 raNK

marKet Share

voLume uSd

(mLN)Goldman Sachs 1 1 20.8% 989.8

Morgan Stanley ⬆ 2 6 11.9% 564.1

RBC ⬆ 3 5 10.8% 511.6

Toyota ⬆ 4 9 10.4% 495.5

Barclays ⬇ 5 3 10.2% 482.7

Citigroup ⬆ 6 10 9.9% 471.9

JPMorgan ⬆ 7 8 9.6% 457.9

Wells Fargo ⬇ 8 7 6.0% 285.2

Scotiabank ⬆ 9 16 3.4% 163.4

HSBC ⬆ 10 11 2.3% 110.7

Bank of America ⬇ 11 2 2.0% 97.1

Lloyds 12 12 0.9% 40.9

SunTrust 13 13 0.8% 36.0

Deutsche Bank ⬆ 14 18 0.5% 26.1

Nomura ⬆ 15 — 0.2% 10.0

BMO ⬆ 16 17 0.1% 5.4

Credit Suisse ⬆ 17 — 0.1% 2.6

totaL (JaN. 1 to dec. 31, 2013) 17 18 100.0% 4,750.9

Equity-Linked


2013

raNK 2012 raNK

marKet Share

voLume uSd

(mLN)Bank of America 1 1 19.4% 5,911.5

Barclays ⬆ 2 6 11.0% 3,348.5

Morgan Stanley ⬆ 3 7 10.8% 3,302.9

JPMorgan 4 4 10.0% 3,049.4

HSBC ⬇ 5 3 8.9% 2,716.7

Goldman Sachs ⬇ 6 2 8.1% 2,468.0

Credit Suisse ⬆ 7 10 7.8% 2,365.1

RBC 8 8 6.7% 2,029.0

UBS ⬇ 9 5 6.6% 2,003.3

Deutsche Bank ⬇ 10 9 3.4% 1,048.1

Citigroup 11 11 2.6% 781.8

Scotiabank ⬆ 12 15 1.4% 430.6

Wells Fargo ⬇ 13 12 1.3% 395.3

SEK ⬇ 14 13 1.1% 328.2

BMO ⬇ 15 14 1.0% 316.7

CIBC ⬆ 16 — 0.0% 3.3

totaL (JaN. 1 to dec. 31, 2013) 16 16 100.0% 30,498.4* Based on data compiled by Bloomberg from SEC filings.

Commodity-Linked


2013

raNK 2012 raNK

marKet Share

voLume uSd

(mLN)

Barclays 1 1 27.4% 363.5

JPMorgan ⬆ 2 8 14.5% 192.7

Bank of America ⬇ 3 2 13.5% 179.2

Deutsche Bank ⬇ 4 3 11.4% 150.9

Morgan Stanley ⬆ 5 9 7.8% 104.2

Goldman Sachs 6 6 7.8% 103.0

SEK ⬇ 7 4 5.5% 73.0

UBS ⬇ 8 7 5.0% 66.3

Citigroup ⬆ 9 10 3.5% 46.9

HSBC ⬇ 10 5 2.2% 29.3

RBC 11 11 0.7% 9.6

Credit Suisse 12 12 0.5% 6.4

Wells Fargo 13 13 0.2% 2.7

totaL (JaN. 1 to dec. 31, 2013) 13 14 100.0% 1,327.5

1 2 3 4 5 6 7 8 9 10 11


europeaN raNKiNgS by aSSet cLaSSAll Asset Classes

Structured Note iSSuerS*

2013

raNK 2012 raNK

marKet Share

voLume uSd

(mLN)DZ Bank AG 1 1 28.9% 17,330.55LBBW ⬆ 2 4 8.9% 5,307.55Societe Generale SA ⬆ 3 5 7.5% 4,481.18Deutsche Bank AG ⬇ 4 2 7.4% 4,457.31Credit Agricole Groupe ⬆ 5 12 2.6% 1,565.39Nordea Bank AB ⬆ 6 19 2.6% 1,554.03Barclays PLC 7 7 2.4% 1,437.72BayernLB Holdings AG ⬆ 8 39 2.2% 1,332.49Standard Chartered PLC ⬆ 9 10 2.1% 1,275.45BNP Paribas SA ⬆ 10 13 1.9% 1,164.27Sparkassen- und Giroverband ⬆ 11 69 1.9% 1,109.21Porsche Automobil Holding SE ⬆ 12 — 1.7% 993.08HSBC Holdings PLC ⬆ 13 17 1.6% 968.59WGZ Beteiligungs GmbH ⬆ 14 26 1.6% 944.15JPMorgan Chase & Co ⬆ 15 23 1.6% 933.31Mediobanca SpA ⬆ 16 42 1.4% 859.24Credit Suisse Group AG ⬇ 17 9 1.4% 836.49DekaBank Deutsche Giroz. ⬆ 18 88 1.2% 734.30ING Groep NV ⬇ 19 8 1.2% 703.59Cassa Depositi e Prestiti ⬆ 20 76 1.1% 687.09totaL (JaN. 1 to dec. 31, 2013) 120 118 100.0% 59,924.52

Interest Rate-Linked


2013

raNK 2012 raNK

marKet Share

voLume uSd

(mLN)DZ Bank AG 1 1 27.5% 4,796.43Deutsche Bank AG 2 2 6.6% 1,154.27Sparkassen- und Giroverband ⬆ 3 63 6.1% 1,063.96Porsche Automobil Holding SE ⬆ 4 — 5.7% 993.08WGZ Beteiligungs GmbH ⬆ 5 13 5.4% 944.15Societe Generale SA ⬇ 6 5 5.3% 932.17Cassa Depositi e Prestiti SpA ⬆ 7 — 3.9% 687.09Barclays PLC ⬆ 8 19 3.9% 674.48Credit Agricole Groupe ⬆ 9 29 3.4% 600.49Intesa Sanpaolo SpA ⬇ 10 3 2.9% 503.37Muenchener Hypothekenbank ⬆ 11 35 2.7% 466.38HSBC Holdings PLC ⬆ 12 52 2.6% 454.18HSH Finanzfonds AoeR ⬇ 13 8 1.7% 298.21BNP Paribas SA ⬇ 14 6 1.7% 290.58Goldman Sachs Group Inc. ⬆ 15 76 1.6% 278.93Standard Chartered PLC ⬆ 16 61 1.5% 253.01ING Groep NV ⬇ 17 10 1.4% 251.05Banque et Caisse d'Epargne ⬆ 18 56 0.9% 164.28Kommunekredit ⬆ 19 — 0.9% 150.00BayernLB Holdings AG ⬆ 20 21 0.7% 130.64totaL (JaN. 1 to dec. 31, 2013) 69 82 100.0% 17,425.34

Credit-Linked


2013

raNK 2012 raNK

marKet Share

voLume uSd

(mLN)DZ Bank AG 1 1 36.8% 12,467.51LBBW 2 2 14.9% 5,030.79Societe Generale SA ⬆ 3 9 8.2% 2,765.21Deutsche Bank AG 4 4 5.8% 1,950.03Nordea Bank AB ⬆ 5 13 4.6% 1,554.03Standard Chartered PLC 6 6 2.7% 924.37JPMorgan Chase & Co ⬆ 7 16 2.5% 848.86BNP Paribas SA ⬆ 8 19 2.0% 693.16DekaBank Deutsche Giroz. ⬆ 9 43 2.0% 667.88Barclays PLC ⬇ 10 5 1.9% 642.00Credit Suisse Group AG ⬇ 11 7 1.8% 598.54UniCredit SpA ⬇ 12 8 1.6% 553.38Landessparkasse zu Olden. ⬆ 13 — 1.5% 522.18Credit Agricole Groupe ⬆ 14 18 1.5% 496.60ING Groep NV ⬇ 15 10 1.3% 452.55HSBC Holdings PLC ⬇ 16 15 1.3% 449.74VIS Finance SA ⬆ 17 23 1.2% 411.52Erste Group Bank AG ⬇ 18 11 0.8% 259.32Skandinaviska Enskilda Banken ⬆ 19 20 0.7% 248.39Banco Espirito Santo SA ⬆ 20 22 0.7% 238.56totaL (JaN. 1 to dec. 31, 2013) 63 54 100.0% 33,871.25

Inflation-Linked


2013

raNK 2012 raNK

marKet Share

voLume uSd

(mLN)Raiffeisen Landesbanken ⬆ 1 2 18.2% 295.62Mediobanca SpA ⬆ 2 11 18.1% 294.27LBBW ⬆ 3 6 15.9% 258.87Societe Generale SA ⬇ 4 3 8.7% 140.67BayernLB Holdings AG ⬆ 5 — 8.2% 133.06HSH Finanzfonds AoeR ⬆ 6 8 6.3% 102.36Deutsche Bank AG ⬇ 7 5 5.1% 83.25BNP Paribas SA ⬆ 8 13 4.7% 76.65Enel SpA ⬇ 9 7 4.0% 64.49Junta de Extremadura ⬆ 10 — 2.5% 41.33Sparkassen- und Giroverband ⬆ 11 16 2.0% 32.34Van Lanschot NV ⬆ 12 23 1.5% 24.64Banco Santander SA ⬆ 13 20 1.2% 20.00UK Financial Investments Ltd 14 14 1.0% 16.28Credit Mutuel-CIC Group ⬆ 15 — 0.8% 13.00Credit Agricole Groupe ⬇ 16 4 0.8% 12.28Banque et Caisse d'Epargne ⬆ 17 — 0.4% 6.65Volksbanken Holding eingetrag. ⬆ 18 27 0.2% 3.99Nordea Bank AB ⬇ 19 15 0.2% 2.65KBC Groep NV ⬇ 20 17 0.1% 1.37totaL (JaN. 1 to dec. 31, 2013) 21 34 100.0% 1,624.22

* Based on data compiled by Bloomberg that excludes variable-principal redemption notes.

1 2 3 4 5 6 7 8 9 10 11


Economy & Finance

Structured Notes 2013 Year End Review