Fifty percent of all early redemptions in July were products linked to a single equity index.
More than 250 autocalls listed on the SRP France database have been early redeemed in July.
The products returned an estimated rollover capital of €1.8 billion (US$1.96bn) subscribed on the primary market plus approximately €130m paid as a coupon. This compares favourably to the €1.7 billion worth of early redemptions in June (from 350 products) although coupon payments, at an estimated €150m, were slightly higher back then.
The highest notional linked to early redemptions in 2023 to date was seen in May, when €2 billion became available for reinvestment, plus €150m in coupon payments (from 365 products).
In terms of notional, July’s early redemptions represented 2.7% of the total outstanding volume for autocalls in France.
Half of the products subject to early redemption were linked to a single index, which sold an estimated €1.4 billion at inception. They provided an average annualised coupon of 6.75% while their average term to maturity was 1.54-years.
Thirty-three of the autocalls on single indices were tied to the Eurostoxx 50, which sold around €375m during their initial subscription period. They returned on average a coupon of 5.2% pa while the annualised coupons for structures on the Euro iStoxx Equal Weight Constant 50, which provided an estimated rollover capital of €185m (from 12 products), stood at 6.20%.
At 11.2%, the average annualised coupon for the 53 products on single stocks that autocalled in July (€115m) was much higher than the coupons paid for their single index counterparts. The average term to maturity for these products was 1.20 years.
The highest volumes (€20m) were attached to the five products linked to the share of BNP Paribas, which registered average annualised coupons of 8.9%. Structures tied to share of Crédit Agricole (€11.5m) autocalled the most frequently – eight times in total. They paid average annualised coupons of up to 18.1%, boosted by two autocalls from Credit Suisse, SPLB2022-24FB and SPLB2022-23FZ, which both redeemed early after one-year, returning 39.4% pa and 23.2% pa, respectively.