Live structured products linked to the AMD share in the US market are currently due to deliver an annualised return of 16.2%, according to SRP’s StructrPro tool.

In our latest StructrPro spotlight, we focus on Advanced Micro Devices (AMD), the US semiconductor company who this week announced it is to create almost 300 jobs in Ireland over the next four years as part of a US$135m investment in its adaptive computing research, development and engineering operations in the country.

With the help of SRP’s StructrPro tool, we analysed how structured products linked to the AMD share performed in the US market, where it is in the top-10 for single-stock underlyings.

One hundred and five live products currently provide a gain

Our sample portfolio comprises 368 structured products linked to AMD as a single underlying. Of these, 112 are still live and 256 have matured.

One hundred and five live products currently provide a gain. As of 16 June, their average annualised return was set at 16.15% with a structured product payoff of 108.27%, against an underlying level of 115.79%.

Seven live products are showing a mark to market loss.

The best live performer is Goldman’s Leveraged Buffered Note (40057FF82) that sold US$762,000 at inception. The three-year product is due to mature on 12 February 2024, offering 150% participation in the rise of the share, capped at 81%. Its spot level on 16 June 2023 was 130.03%.

Another live product that is performing well are J.P. Morgan’s Contingent Income Autocallable Securities (48133E249), which struck at US$88.10 on 22 July 2022 and sold US$14m. This product has 11 quarterly autocall points, the first three of which were narrowly missed. However, thanks to its European barrier of 50%, contingent coupons of 4.3125% (17.25% pa) were paid for each of those three quarters. Its next coupon is due on 24 July, but with the AMD share closing at US$112.11 on 21 June – 27% above its initial level – the likelihood is there that the product will have its knockout option triggered by then. Its current spot StructrPro is 136.3%.

Some 221 out of 256 maturing products in our sample provided a gain. The average return for those products was 7.42% pa, with an average time to maturity of 0.57-years.

One hundred and five products paid a coupon of between 10% and 12.5%; 44 paid a coupon of between 12.5% and 15%; and 12 paid a coupon of 20% or more.

The highest return came from UBS Financial Services’ Return Optimization Securities (90285C852), which struck on 17 February 2021 at US$89.94. One year on, the share had increased by 25% and since the product offered 300% participation in the rise of the AMD stock, this was more than enough to reach the maximum overall return of 146.8%.

Thirty-three of the maturing products returned a loss.

More than 33% of products in our portfolio (live and matured) were issued on the paper of J.P. Morgan Chase, offering an annualised return of 11.7% on average. Structured issued via UBS and RBC are currently delivering 9.1 and 9.9% pa, respectively, while Barclays, which was responsible for 11% of all AMD-linked issuance, provided an average annualised return of 15.8%.

Bank of Montreal was the only issuer whose products delivered a negative return (-14.9% pa), however, their market share was less than one percent.

The above chart, which uses StructrPro's market index algorithms shows that the performance of AMD-linked structured products has been broadly in line with the overall structured product universe on the SRP US database. However, since October 2022 the value of AMD’s portfolio has increased, closing on 144.42% on 16 June, compared to 126.35% for the structured products index. The purple line shows the increase in AMD products as the stock becomes a more popular underlying.

The SRP US database lists 149 live structured products worth US$205m that are linked to AMD as a single stock. Of these, 58 products (US$79m) had a strike date in 2023.

The StructrPro structured product and lifecycle service provides deep analysis on the US structured products market. It is jointly run by SRP and FVC and covers some 70,000 products issued in recent years. Performance analysis can be seen at an individual product level and on portfolios of multiple products. The application shows results for both matured and live products for any portfolio in the US market.