Natixis plans capped buffered enhanced return notes tied to S&P 500 Low Volatility Target Beta

By Sheri Kasprzak

New York, April 12 – Among the more interesting offerings from Tuesday’s structured products action, Natixis US Medium-Term Note Program LLC announced plans to price zero-coupon capped buffered enhanced return notes linked to the S&P 500 Low Volatility Target Beta index.

The notes are due May 1, 2019 and are guaranteed by the New York branch of Natixis.

The index is designed to track the return of a strategy that overlays a dynamic exposure on the existing S&P 500 Low Volatility index to get a target realized beta of 1 with the S&P 500 index.

These particular securities pay at maturity par plus 125% of the index return, capped at 30%, assuming the final index level is greater than the initial index level. Investors receive par if the index declines by the buffer amount or less and will lose 1% for every 1% the index declines beyond the buffer, which is expected to be 10% to 15% and will be determined at pricing.

Pricing is expected for April 26.

Wells Fargo brings large deal

One of the biggest offerings announced Tuesday came from Wells Fargo & Co., which priced $65.41 million of zero-coupon buffered enhanced return securities with capped upside and buffered downside linked to the S&P 500 index.

The securities are due June 13, 2018 and pay par of $1,000 plus 1.5 times the index return, subject to a maximum settlement amount of $1,261 per $1,000 of notes, assuming the final index level is greater than the initial index level. Investors receive par if the index declines by 15% or less and will lose 1.1765% for every 1% decline beyond 15%.

Wells Fargo Securities LLC was the agent for the deal.

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