Equity Markets Product Catalogue - Natixis

Transcription

This document is exclusively intended for a client base consisting of professionals or qualified investors.
It should not be transmitted without the prior written consent of Natixis.
Equity Markets Product Catalogue
EQUITY MARKETS
CORPORATE & INVESTMENT BANKING / INVESTMENT SOLUTIONS / SPECIALIZED FINANCIAL SERVICES
Product Catalogue
Equity Research
Macro Economic Research
Cash Research
Transverse Research
Equity Quantitative Research
Flow (Conv. bonds & Derivatives) Research
ETF Research
5
7
11
13
15
28
Global Execution Services
Cash Execution
Global Alpha Trading
Market Making
21
24
25
Equity Flow Derivatives
Flow Products
Equity Finance Products
Equity Financing Solutions
29
31
51
Equity Solutions
Income Products
Growth Products
Market Neutral Products
Portfolio Protection Structures
Fund-linked Structures
Multi-Asset Structures
56
60
66
68
72
76
Equity Capital Markets
ECM
Corporate Broking
Corporate Derivatives
79
83
85
Equity Research
Macro Economic Research
Cash Research
Transverse Research
Equity Quantitative Research
Flow Research
ETF Research
Equity Research:
http://equity.natixis.com/NetIs/af/aspx/actions.aspx
Macro Research:
http://cib.intranet/ebusiness/recherche/rechercheeco/accueil.aspx
Macro-Economic Research (I)
A team headed by Patrick Artus
Product Description
Flashes
Flashes
• Flashes
provide commentary and analysis on all market and
economy related subjects, covering both structural aspects and the
latest developments
• R
elated subjects include Flash – Economy and Flash - Markets
• D
aily, most of them written by Patrick Artus, himself
Economy
Economy
• T
hese publications cover the main macroeconomics topics of the
day:
- Eco
Hebdo provides a weekly summary of the latest developments.
Only available in French
- S
pecial report is an occasional publication offering a brief analysis
of a current development
- G
lobal Immo is a quarterly review of the global property market
Market Strategy / Market Asset Allocation
• Market
Strategy publications analyse the exchange
rate, foreign exchange and credit markets:
- Daily
Round-up (daily)
- M
arket Weekly News (weekly)
- Natixis
Emerging markets (monthly)
- Weekly Commodities (weekly)
- Relative
Value (weekly)
- Natixis
Exchange Rate (monthly)
- Hedge
Fund Trends (monthly)
- Inflation
Linked (monthly)
- Macro
Credit Quantitative (monthly)
- Quant
Tool Box (occasional)
- Weekly Forex (weekly)
5
Market Strategy
Equity Research
Macro-Economic Research (II)
Market Technical Analysis
Product Description
Market Technical Analysis
• Provide
Short Term and Middle Term/Long Term technical analysis on Fixed
Income, forex, commodities and equities:
- F
ixed Income Technical (daily & weekly)
- F
orex Trends (daily & weekly)
- E
quity Index Futures (daily)
- C
ommo Technical weekly
Monthly
• T
hese publications use (periodically updated) scenarios and key economic
indicators to examine the situation in major countries and economic regions:
- Financial
forecasts
Monthly
- E
urozone
- U
nited States
- U
nited Kingdom
- S
weden
- O
PEC
- E
merging Asia
- J apan
Equity Solutions
- L
atin America
Indicators
• T
hese publications provide analysis and tools for measuring the economic
performance of a country or region:
- N
atixis leading indicator of France (monthly)
- C
ountry Wrap-up (quarterly)
- E
conomic indicators (occasional)
Indicators & Academic
Publications
- Forecasts Tables (monthly)
• This category presents detailed analysis on economic subjects of all kinds:
- Working documents (occasional)
- S
pecial papers (occasional)
6
STRATEGIES AND PRODUCTS ARE INDICATIVE ONLY AND DO NOT CONSTITUTE AN OFFER OR SOLICITATION
Academic Publications
Cash Research
Strategy
Product Description
Strategy Morning News
Strategy Morning News
• 3
-4 page notes commenting a specific economic event or any modification in
sector rating or entry/exit in the recommended stock list
• No precise periodicity
Trends Weekly
• Focus
report on one equity strategy topic judged relevant by
equity cash strategy (sovereign debt crisis, theme rotation)
and sector performance implications
• Weekly
Weekly Midcaps
• Report
highlighting a dedicated equity strategy for the
midcaps space, actionable calls (buy / sells) on midcaps
names, future Natixis events
Weekly Midcaps – Trends Weekly
• Weekly
Monthly Review
• Summary
of main market relevant news with in depth
analysis of sector performances and an SRI angle
• Monthly
Report and Action Note
• W
ide range of publications ranging from global strategy
(themes of the year, sector and geo allocation) to specific
topics (inflation, end of QE 2, € / $, Japan) implication on
sector ratings and stock selection
• No precise periodicity
Cross Asset Allocation
Report and Action Note, M&A Selector, Cross Asset
• M
onthly view on equity allocation vs. Natixis portfolio
model. Report developed by Patrick Artus global macro
team with other Natixis strategy teams as Cash, Bonds,
Commodities etc…
• Monthly
M&A Selector
• Q
uant filter crossed with analysts views on the future
probable candidates to M&A activity
• Monthly
7
Contact: Sylvain Goyon +33 01 58 55 04 62
Equity Research
Cash Research (I)
Product Description
What’s new & Sector Mail
What’s new?
• Internal Document geared document geared to the Sales
force as an introduction to the Cash Morning Meeting
• Daily mail - 7:55 am
Sector Mail
• N
ews analysis for 23 sectors covered by Equity Markets,
geared to specialised buy-side analysts and portfolio
managers
• Daily mail - 8:30 am
Morning News
Morning News
(1 large caps and 1 Small & Midcaps)
• Compilation
of 3-4 page notes commenting on events
impacting the 335 companies covered by Equity Markets
sector analysts
Equity Solutions
• Daily mail – 8:45 am
Weekly Preview
• C
ompilation of analysts’ projections for upcoming sales and
earnings reports
• Weekly mail – Thursday
Contact: Francois Digard +33 01 58 55 03 40
8
Weekly Preview
(1 large caps and 1 Small & Midcaps)
Cash Research (II)
Product Description
Company Action Notes and Reports
Company Action Notes and Reports
• F
undamental research reports from 8 to ‘n’ pages reflecting
sector analysts’ main convictions on 335 companies covered by
Equity Markets sector analysts
• No precise periodicity - mail or hard copy
Sector Review
Sector Review
• A
ction notes and reports from 8 to ‘n’ pages to highlight the
main themes for the 23 sectors and sub-sectors covered by
Equity Markets sector teams
Weekly Preview
Stock Guides (1 large caps and 1 Small & Midcaps)
• Compilation of stock-market and financial data for:
- 185 Large caps (Facts & Figures) and
- 150 Small & Midcaps (Monthly Midcaps
covered by Equity Markets sector analysts
• Monthly hard copy -1st day of the month
Contact: Francois Digard +33 01 58 55 03 40
9
10
Equity Solutions
Equity Research
Cash Research
Socially Responsible Investing - SRI
Product Description
SRI Daily Watch
SRI Daily Watch
• 1
5 pages of analysis on ESG financial subjects that are relevant to
SRI investors, irrespective of their SRI processes (niche, thematic
or mainstream), feeding a database accessible from a very simple
online search engine
• Daily mail – 1:00 pm
Thematic Reports / SRI notes
Thematic reports / SRI notes
• R
eports focusing on specific Environmental – Social – Governance
(ESG) Issues (no precise periodicity - mail or hard copy), E.g. “BP
Macondo seminar feedback: thought… action!” (December 2010)
Monthly Market Review (in cooperation with the
Strategy team)
Monthly market Review /
Company or Sector Reports
• Carbon market comment & Focus on relevant SRI trends
• Monthly mail - 1st week
Company or Sector Reports (in cooperation with
the Sector teams)
• R
eports highlighting SRI themes on companies or sectors covered
by Equity Markets, e.g. Lufthansa “Defensive in a cyclical sector”
Contact: Orith Azoulay +33 01 58 55 52 05
11
Equity Research
Cash Research
Transverse Research: Event-Driven
Morning Mail
Product Description
Morning Mail
• C
ompilation of news and events on announced public deals or any market talk
involving pan-European equities
Pre-event Research
Pre-event Research
• A
ction notes and reports on potential sector consolidation, M&A operations,
disposals, spin-offs, break-ups including strategic review, event rationale,
stand alone and market valuation, deal dynamics such as shareholder
structure, financials terms, transaction impact, sensitivity analysis
Long / Short
Equity Solutions
• No precise periodicity- mail or hard copy
Long / Short
• S
trategy implemented on pan-European companies, based on fundamental
valuation, strong catalysts and basic technical analysis when available
Contact: Gael Kessler +44 20 3216 9412
12
• No precise periodicity – average one per month – mail or hard copy
Equity Quantitative Research (I)
Quantitative Models
Product Description
Sharpe Select
Sharpe Select
• R
eport providing Sharpe Ratio evaluation in order to rank baskets
with regard to investors’ expected performance and risk for
particular geographical areas, sectors, assets
• 1st report 02/12/2010 – mail or hard copy
Dividend Forecasting
Dividend Forecasting
• Dividend
modelling and strategy proposals for products based
on their value, highlighting different types of risk such as
concentration risk, using the Gini coefficient (calculates degree
of inequality in revenue distribution in a company), correlation
between the spot and dividend, using a normalized indicator and
dividend volatility
• 1st report 05/03/2011
Market Predictor
Market Predictor
• M
odel providing highly reliable predictions of equity market
trends. Market Predictor model based on quantization technique
combined with generation of multidimensional Markov chains,
aims to detect several market cyclical effects which reflect
psychological effects presence and systematic behaviours of
market players
• 1st report 05/11/2010 and Daily mail – 7:00 am
Contact: Adil Reghai +33 01 58 55 55 12 / Adel Ben Haj Yedder +33 01 58 55 11 24
13
Equity Research
Equity Quantitative Research (II)
Quantitative Models
Product Description
Model
(Market
Hidden Markov
Discoverer)
Hidden Markov Model
Regime
• M
odel providing market regime levels and changes. HMM
applied to finance and more specifically to VIX brings valuable
information for pricing and hedging purposes. It can also be
applied successfully to asset allocation
• 1st report 07/16/2009 and Daily mail - 7:00 am
Hidden Markov Model
Hidden Markov Model (Sector Recommendation)
• R
eport identifying regime level changes for 10 sectors and 49
sub sectors via 578 stocks in the STOXX Europe 600®
Equity Solutions
• Monthly 1st week – mail or hard copy
Kaizoji: Market Bubble Detector
Kaizoji
• 1st report 01/24/2011 and Daily mail – 7:00 am
Contact: Adil Reghai +33 01 58 55 55 12 / Adel Ben Haj Yedder +33 01 58 55 11 24
14
• T
ool for detecting financial bubbles. The statistic used
measures dispersion of performances with a fixed starting
date for a large universe of assets. It shows explosive
behaviour when a bubble is building up and dissipative
behaviour during market crashes
Convertible Bond Research
Product Description
Daily Convertibles News
Convertible Daily News
• 5 page document compiling:
- A
n analysis of last trading sessions in New York and Tokyo, a
Convertible Bonds press review
- A
selection of main share upgrades/downgrades and the schedule
of incoming release
New Issue Flash
New Issue Flash
• R
eports on new Convertible Bonds issues in Europe (>€100M)
including:
- C
onvertible Bonds valuation on the basis of issue terms
- M
ain elements Equity/Credit
- O
pinion on Convertible Bonds
• No precise periodicity – mail or hard copy
Special Focus and Thematic
Special Focus and thematic
• Provide a deep analysis of:
- A specific Convertible Bonds or sector
- Term sheets’ clauses analysis (takeover bid, dividends protection...)
- Topics e.g. Impact of Solvency II on Convertible Bonds...
• No precise periodicity – mail or hard copy
Contact: Celine Clari +33 01 58 55 82 50 / Jean De Rochebouet +33 01 58 55 11 8
15
Equity Research
Options Research (I)
Regular publications
Product Description
Daily Morning Mail
Daily Morning Mail
• Information and analysis of indices and equities, macro and stock news, tech
analysis of indices and event-driven news flow, options market activity
• Daily mail
Mid-Week Report
Mid-Week Report
• Reporting by sectors for equities volatility with a publications schedule
Equity Solutions
• Weekly mail
Weekly Derivatives
Weekly Derivatives
• S
ynthetic and weekly overview of volatility movements for indices and equities
at short and long maturities, sector approach, macro analysis of fixed income and
equity markets, index technical analysis, structured product pricing
Contact: Gilles Leclerc +33 01 58 55 12 81 / Geoffrey Babiarz +33 01 58 55 83 68
16
• Weekly mail
Options Research (II)
Sectors & Thematic
Product Description
Tactical Derivatives: single stock or indexes
Tactical Derivatives: Single stock or Index
• S
ingle stock equity (micro) or index (macro) investment cases,
transverse volatility research, technical analysis resulting in one
or several strategy proposals on the underlying or on spreads on
different underlyings
• Opportunistic - mail and hard copy
Sector Overview
Sector Overview
• A
nalysis and sector report from a volatility perspective combined
with sector vision from the equities research bureau. Idea
suggestions (2 to 3) born of this sector approach
• Weekly mail
17
Equity Research
ETF Research
Regular Publications
Zoom ETF: Flash and Action Note
Product Description
Zoom ETF
• Following
our Equity Strategy specialists’ sector outlook &
perspectives, this Flash is aiming at suggesting which ETF shall
be bought or sold by the client
• N
o precise periodicity. Depends on Equity Cash Research Action
Note and Reports
ETF Mapping
ETF Mapping
• A
product catalogue mapping available ETF on European countries
and European indices
18
Equity Solutions
• Every quarter, following Macro Research Publications
19
Cash Execution
Market Making
20
Cash Execution Offer (I)
Product Description
Algorithmic execution
Product Brochure
available upon request
• In-house
algorithms with a proven track record: vwap, twap, participate,
close, iceberg, hunt, Dark pools, value etc
• Direct Market Access (DMA)
• Direct Capital Access (DCA)
• Direct Strategic Access (DSA)
Program trading
• A
Program is a list of orders to be executed a priori with the same
execution strategy
• Proposed Strategies:
Pre-trade Analysis/Specific View
- Index Rebalancing, Portfolio re-weighting
- L
ists: VWAP, POV, Implementation Shortfall, Target Open / Close
• Technological services:
- Various files integration (FIX, CSV, Bloomberg, Excel,…)
- Pré-Trade & Post-Trade Analysis
• Various benchmarks
• Global and Specific Views are provided
• Illiquid, risky or main lines are underlined and a specific trading
strategy can be discussed (estimated time to trade before the
auction, market impact,…)
Contact: Sebastien Yousri +33 01 58 55 05 09
21
Equity Research
Cash Execution Offer (II)
Product Description
Pair trading – Market-making Single stocks & ETF
• Dedicated teams for each activity
• A comprehensive customized range
Customized single order execution
• Institutional and corporate dealing thanks to a 14 pan-European traders-dealers team:
- 7
dedicated to Institutional
- 3
dedicated to Corporates providing Corporate liquidity and share buy back
- 4
dedicated Program Traders
Order routing
• Dedicated to retail network and small asset managers
Smart order router
Equity Solutions
• Access to a broad spectrum of alternative platforms
Our Offer
We provide clients with Broad Access to Equity Offer
- Direct access or via external brokers
- Algorithmic or voice execution
- Long standing markets and alternative platforms
- Institutional, corporate and retail network clients
>> 50 specialist team
Contact: Sebastien Yousri +33 01 58 55 05 09
22
>> High value-added tailor made services
Cash Execution Offer (III)
Execution Product Marketing
Product Description
Contact
CSA Management (Commission Sharing Agreement)
• A
rrangements that allows a distinction between the portion of commissions
paid for order execution services and the portion paid for investment
support services, in particular investment research
• T
he CSA must provide that the firm responsible for order execution services
shall pay the portion of the brokerage fees relating to investment research
to the third party selected by the investment manager
Contact Magaly Laborie:
+33 01 58 55 92 66
General e-mail address:
[email protected]
Unbundling
• Client paying investment research by cheque
European Markets Trend – CAC 40 focus
Best Execution Analysis
• Providing clients Best Execution evidence on demand
• M
onitoring regulation, technological and competitive developments
(emergence of new MTFs, Systematic Internalizers, dark pools)
• Publication on regular bases of a “Market watch”
• Managing the broker relationship (broker reviews, commissions…)
• Reviewing of execution policy and execution venues
Trade Cost Analysis –
Institutional Report Analysis
Trade Cost Analysis – TCA
• F
ollowing growing regulatory scrutiny on best execution, reduced liquidity
and liquidity fragmentation, cost of trading evaluation emerged as a new
priority
• In-house Equity Market – Cash Equity TCA tool features:
- P
erformance calculation against up to 10 benchmarks: Participate, VWAP,
TWAP, Implement shortfall, …(mono/multi venue)
- D
aily automatic process applied to every single deal traded for Institutional
(cash) Client
- A
nalysis and investigation of best/worst performance to implement best
practice and enhance trading tools
Source: Natixis, Bloomberg
23
Contact: Jean Philippe Gourdon +33 01 58 55 82 56
Equity Research
A Facilitator for the whole Equity Market Division
• Trades up to 6 month positions
“Don’t fight Market Cycle, mono strategy
approach underperforms market. Why?
• An expert team able to:
- D
igest market information
- P
erceive hidden information
• A
key internal added value for all Equity Capital Market Pole Traders
and Salespeople to be used for:
- A more adjusted market pricing
- A better assessment of market or underlying risk
Risk recycling for the whole floor – short term
• P
rovides all of our Equity Capital Markets Pole Market operators with
fluidity and “market backup”
Global Alpha Track Record
Equity Solutions
Third Party Asset Management (to be developed)
• Asset Management expertise to be offered to external clients
Source: Natixis
Contact: Sebastien Boucher +33 01 58 55 12 01
24
Event Driven Awareness and Special Situation
Product Description
Market Making
Product Description
Convertible Bonds
• Primary deals trading
• M
arket maker to provide liquidity on secondary market on a various number of
Asian and European convertible bonds
• C
ross-selling with volatility trading team: find convertible bonds owned by clients
to provide volatility to the trading desk
Contact: Julien Majoux
+33 01 58 55 11 39
Index & Options Derivatives
• L
iquidity provider for institutional clients and Equity Market internal trading desks
on Eurex options on Euro STOXX 50® and Dax
Contact: Sylvain Botbol
+33 01 58 55 80 30
Solutions Products – Primary and Secondary Markets
• Providing
daily liquidity on secondary market on each equity structured products
issued and traded by Natixis Equity Markets (EMTN, warrants, certificates, OTC)
• D
ealer activity: issuing structured equity notes by Natixis SA or Natixis Structured
Products on primary market
Contact: Eric Valezy
+33 01 58 55 07 44
ETF
• A liquidity provider:
- P
roviding continuous liquidity on European listed ETFs on various trading
benchmarks
- C
overage includes European/US equity indices and emerging markets. The
next step will be to broaden our scope adding commodity and fixed income
underlyings
- O
ffering borrowing and lending capacities, leveraging the strong setup of the
equity finance desk
• An « Authorized Participant »:
- N
atixis is an « Authorized Participant » with the main European ETF issuers
(iShares, Lyxor, db-x, Amundi, Easy ETF, Source, SPDR and Ossiam.
- T
his status enables Natixis to create and redeem any ETF directly with the
issuer at the NAV
Contact: Isira Perera +33 01 58 55 84 11
25
26
Equity Solutions
Equity Research
27
Flow Products
Delta One Products
Delta One Financing Solutions
28
Convertible Bonds
Primary and secondary
Primary Convertible Bonds
European Markets Trend – CAC 40 focus
• In 2011 Natixis was ranked No. 1 for convertible issues
by transaction number and by amount
• In 2011, Natixis was ranked No. 3 overall in France by
number of lead-managed transactions
• cf. ECM section
Primary: Pricing Example
Secondary Market
Soitec 6.25% 2014
Secondary Convertible Bonds
• Issue date: 01/09/2009
• C
onvertible bonds are bonds that may be converted at the
request of their holders into shares (of the issuing company),
at a predetermined ratio at maturity. Conversion is thus initiated
by the investor
• Equity spot: EU6.384
• Issue/Redemption price: par/par
• Issuer Call: 130%/at par, after 3Y
• Size: EU150M
• A
s a convertible bond embeds a call Option on the company’s
Equity, convertibles carry much lower rates of interest than
traditional debt and are therefore a cheap way for companies
to raise debt
• Convertible bonds’ holder risk exposure:
- E
quity (Delta)
- Volatility (Vega)
- M
aturity of the bonds (Thêta)
- Interest rate (Rhô)
- C
redit spread (Ksi)
Final terms
Option sensibility
Bond sensibility
- C
urrency
• Coupon : 6.25%
• Premium : 32.5%
• Nominal CB : EU8.55 (Ref price EU6.45)
• Size EU150M (17 543 860 cb x EU8.55)
• Ratio 1/1
• If all investors were hedged, they would had to sell
11M shares on the 01/09/2009
• P
otential dilution, if conversion: 17.5M new shares
(20% of outstanding)
Source: Bloomberg
29
Contact: Olivier Lasserre +33 01 58 55 24 03
Equity Research
Options and Volatility Products
Product Description
Long call vs. Short call
Vanilla Options (Put/Call) on Indexes or Stocks
• A
n option is the right to buy or sell an asset (the underlying
asset) at a price defined in advance (strike price) and in a date
(European option) or until a date (American option) defined in
advance
Long put vs. Short put
• V
anilla option strategies, which allows an hedging of a large part
of the classical asset management portfolio needs, and which
could be split in two families : directional strategies and volatility
based strategies
• Available on Listed and OTC markets
Var Swaps on Indexes
• O
n OTC markets, it allows to buy, sell or hedge risks associated
with the magnitude of a volatility or index movement
• Available on OTC markets
Correl Swaps on Indexes
• O
n OTC markets, it allows to buy, sell or hedge risks associated
with the observed average correlation of a collection of
underlying products
Equity Solutions
Light Exotics on Indexes or Stocks
• U
nlike Vanilla Options, exotic options are more complex as
they may include other components and complex payoffs. e.g.
Barrier, Asian, ratchet:
- S
imple Knocks (Put Down and In, Call Up and Out
- D
ouble Knocks (Double Knock In, Double Knock Out…)
- L
ook back Options
Contact: Olivier Lasserre +33 01 58 55 24 03
30
- Autocalls
Equity Finance Overview
What is a Delta One activity
elta One products – reporting to the flow derivatives entity - are equity derivatives with a linear, symmetric payoff profile which
D
closely track their underlying asset performance.
Natixis Delta One Team
A team of Sales and Traders based in Europe, US and Asia.
Delta One scope of skills
• Stock Financing Optimization (REPO, Security Lending, Total Return Swap, Future and Synthetic).
• Yield Enhancement (REPO, Security Lending, Total Return Swap, Future, Synthetic, Certificate and Scrip Dividend management).
• S
ynthetic Exposure or Hedging on stocks, indices and funds (REPO, Security Sending, Total Return Swap, Future, Synthetic,
Certificate, Dividend Swap and ETF).
Why such a positive trend on Delta One activity?
• Banks continue to reduce their proprietary desks activities and monitor carefully their VaR consumption.
• B
y using collateralized financing type of products, a Delta One Team ensures very competitive price level for customers while not
impacting Natixis & Groupe BPCE liquidity.
• B
y consequence, banks propose Delta One products solutions to their clients which offer recurring revenues and less risk
consumption.
Our scope of expertise goes from standard products to more complex solutions
Stock Financing Optimization
• This activity enables customers to monetize their stock holding at a competitive price while keeping the exposure.
• Yield Enhancement embedded in collateral financing allows the Delta One Team to offer better pricing than any other team.
Delta One Team provides
• Financing for worldwide stocks, while being particularly aggressive on Euro and US stocks.
• Financing from overnight to 8 years, while keeping an effective monitoring of the re-use of the stocks.
Yield Enhancement
• Delta One Team’s worldwide structure offers various and competitive Delta One Yield Enhancement Solutions to our clients.
• D
elta One Team’s large scope of expertise enables to provide our clients with “taylor-made” tax solutions.
• A broad range of products is available.
Natixis Delta One Sales
Olivier Lasserre +33 (1) 58 55 24 03 / Philippe Quiniou +33 (1) 58 55 81 65 / Lydia Linan +33 (1) 58 55 11 20 /
Sandrine Guirao +33 (1) 58 55 83 18 / Christian Nucci +33 01 58 55 05 76
31
Equity Research
Equity Finance Overview
Our scope of expertise goes from standard products to more complex solutions (continued)
Synthetic Exposure or Hedging
• D
elta One Team has the capacity to offer client long/short Synthetic Exposure to any underlying: stocks, baskets, indices,
funds and also dividends.
• Products: REPO, Security Lending, Total Retrun Swap, Future, Synthetic, Certificate, Dividend Swap and ETF.
Scope of products
• C
ertificate
• Security Lending
• S
crip Dividend
• Total Return Swap (TRS)
• D
ividend Swap
• Future
• E
TF
• Synthetic (Put/Call Combination)
Clients
• Asset Managers
• P
rivate Banks
• Insurance Companies
• M
arket Makers
• Hedge Funds
• C
orporates
• Family Offices
• P
ension Funds
• High Net Worth Individuals
Expertise & products
Delta One Products
Stock Financing Optimization
(collateral upgrade and specific REPO)
Yield
Enhancement
Synthetic Exposure
or Hedging
Equity Solutions
Delta One Expertise
REPO
Security Lending
Total Return Swap (TRS)
Future/Forward
Synthetic (Put/Call Combination)
Certificate
N/A
Scrip Dividend
N/A
Dividend Swap
N/A
N/A
ETF
N/A
N/A
product adapted
N/A
(on dividend)
N/A product non adapted
32
• REPO
Security Lending
1. What is a Security Lending?
• A
Security Lending (or “prêt-emprunt”) is an OTC contract which implies a temporary transfer of securities from a lender to a
borrower duly collateralised by acceptable assets (cash, stocks or other assets) agreed between the parties.
• Asset is the principal of the transaction and collateral can be cash or securities (with usually a haircut).
• T
he borrower will benefit from beneficial ownership (dividends, corporate actions…) but he is under a contractual obligation to
make equivalent payments to the lender. The lender surrenders its rights of ownership (voting rights).
• The borrower is obliged to return the securities, either on demand, or at the end of any agreed term.
• A
Security Lending within Delta One activity can be used for Stock Financing Optimization, Yield Enhancement, and Synthetic
Exposure or Hedging.
2. The Structure
Asset (principal)
Interest, If cash collateral
LENDER
BORROWER
Rental Fees
% Dividends / Corporate actions
Cash / Securities (collateral)
Initial CF
Final CF
3. Key Features
• Portfolio Optimization: Stock Financing Optimization and Yield Enhancement.
• Portfolio Hedging: Short position coverage when it is legally feasible.
• L
egal documentations: AFTI (Association Française des Professionnels du Titre) / HL 1987 / OSLA (Overseas Securities Lending
Agreement) / GMSLA (Global Master Securities Lending Agreement) / EMA (European Master Agreement) / CPMA
33
Equity Research
Security Lending
4. Example
• C
ontext: A non-French resident (beneficial owner) client is holding 1,000,000 shares of Total (FP FP) and is entitled to a
withholding tax of 15%. Natixis will offer to the client the opportunity to enhance his dividend in addition to a financing deal
of thirty-day.
• P
arameters:
Duration is from 04/20/11 to 05/20/11 (30 days)
Spot price €42
Euribor 1 month rate: 1.116%
Dividend: €1.14 // retrocession rate: 98% // payment date: 05/11/2011
• A
ll-in calculation:
Commission rate * 42 000 000 * (30/360) = (1.14 * 1,000,000) * (98% - 85%)
Commission rate = 4.2343%
At the maturity of the contract, Natixis will pay €148,200 to the client (i.e. €4,940 per day during 30 days).
Initial CF
Stock loan (5% of haircut)
Natixis
Client
- €44,100,000
€44,100,000
Payment date
Dividends
€1,140,000
Dividends retrocession (85%
- €969,000
Final CF
Interest on cash
Fee (all-in)
Stock return
Total
• Cash flow (client is the lender of the Stock):
€969,000
€41,013
€41,013
- €148,200
€148,200
€44,100,000
- €44,100,000
€63,813
€1,076,187
Client
2% dividend
€22,800
98% dividend
Interests on cash
€41,013
Interests on cash
Total
€63,813
Total
Source: Natixis Structuration
€1,117,200
€41,013
€1,0760187
34
Natixis
Equity Solutions
• P&L (net of cash interests) of this transaction: Client will receive 98% of the dividend amount and Natixis will receive 2%.
REPO (Sale & Repurchase Agreement)
1. What is a REPO?
• A
REPO (sale and repurchase agreement or “pension livrée”) is an OTC contract between two parties whereby one party sells
to the other a security at a specified price with a commitment to buy back the security at a future date and at a specified price.
• T
he principal of the transaction is the cash leg (REPO is usually motivated by the desire to borrow cash) and the underlying is the
collateral (a haircut is usually applied).
• O
ther structures of REPO exist (less standard) as tri-party REPO (a custodian bank or international clearing organization, the triparty agent, acts as an intermediary between the two parties of the REPO).
• A
REPO within Delta One activity implies Yield Enhancement, Stock Financing Optimization and Synthetic Exposure or
Hedging.
2. The Structure
Cash (principal)
Interest on cash
SELLER
BUYER
REPO
Reverse REPO
Rental
% Dividends / Corporate actions
Assets (collateral)
Initial CF
Final CF
3. Key Features
• Stock Financing Optimization, Yield Enhancement and Synthetic Exposure or Hedging tool.
• REPO can be traded through fixed rate and floating rate.
• Legal documentations: AFTB (Association Française des Trésoriers de Banques) / GMRA (Global Master Repurchase Agreement).
35
Equity Research
REPO (Sale & Repurchase Agreement)
4. Example
• C
withholding tax of 15%. Natixis will offer to the client the opportunity to enhance his dividend in addition to a financing
deal of thirty-day.
• P
arameters:
Duration is from 04/20/11 to 05/20/11(30 days)
Initial spot price: €42 and final forward price: €42.0389 [42 * (1+1.116%) ^ (30/360)]
Dividend: €1.14 // retrocession rate: 98% // Payment date: 05/11/2011
Natixis
Client
Cash leg
- €42,000,000
€42,000,000
Payment date
Dividends
€1,140,000
Final CF
Cash leg return
Dividends retrocession (85%)
Total
- €969,000
€969,000
€42,038,900
€42,038,900
- €148,200
€148,200
€61,700
€1,078,300
Client
2% dividend
€22,800
98% dividend
Interests on cash
€39,060
Interests on cash
Total
€61,860
Total
€1,117,200
Equity Solutions
Natixis
-€39,060
€1,078,140
36
Initial CF
• Cash flow (client is buyer of the REPO):
Total Return Swap (TRS)
1. What is a Total Return Swap?
• A
Total Return Swap (TRS) is a bilateral OTC contract enabling the client to benefit from a funding by Natixis (usually Euribor
rate + spread) in exchange of an underlying return (single stock/index) and potentially Yield Enhancement.
• No dividend risk for both parties, usually long duration contract and ISDA agreement is needed.
• A
TRS within Delta One activity implies Yield Enhancement, Stock Financing Optimization and Synthetic Exposure or
Hedging.
2. The Structure
Cash
FINANCING
CLIENT
Stocks
TRS
Performance if positive underlying performance
Euribor + Spread
% dividends
CLIENT
Performance if negative underlying performance
3. Key Features
• Objectives: Stock Financing Optimization, Yield Enhancement and Synthetic Exposure or Hedging.
• Legal documentation: AFTB (France) or ISDA (international) agreement needed (+ CSA with margin call).
• C
ash flow structure: Cash flows can be exchanged at the end of the contract (if short-term maturity) or can be reseted during the
contract (if long-term maturity). Dividends can be paid at the payment date or at the next reset date.
• T
imetable: Usually long-term duration but period can be very flexible (from 1 week to 8 years). Natixis’ taxes guidelines require
at least a 2 months minimum duration, depending on client’s profile.
• Risks: No dividend risk for both parties but counterparty risk (except with a CSA contract).
• Other types of strategies:
- Leverage: Get exposure to an underlying without buying it – this generates leverage.
- Portfolio Hedging: Hedge an exposure by implementing a short strategy while keeping the position in the stock.
- Financing for monetary funds: Natixis is buying the TRS from the fund and selling an asset to it in return for a funding spread.
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Equity Research
Total Return Swap (TRS )
4. Example
• Context:
A non-French resident (beneficial owner) client is holding 1,000,000 shares of Total (FP FP) and is entitled to a
withholding tax of 15%. Natixis will offer to the client the opportunity to enhance his dividend in addition to a thirty-day
financing deal.
• P
arameters:
Spot price at the beginning: €42 and at the end: €41
• Cash Flows (client is the TRS buyer):
Client
Cash leg
- €42,000,000
Payment date
Dividends
€1,140,000
Retrocession (85%)
- €1,117,200
€1,117,200
Final CF
Interests on cash legs
- €79,422
€79,422
Stocks return
€41,000,000
- €41,000,000
Equity performance neutralization
- €1,000,000
- €1,000,000
€102,222
€1,037,778
Total
€42,000,000
2% dividend
Client
€22,800
98% dividend
Interests on cash
€79,422
Interests on cash
Total
€102,222
Total
€1,117,200
Equity Solutions
Natixis
-€79,422
€1,037,778
38
Initial CF
Natixis
Future (on both Single Stock and Index)
1. What is a Future?
• A
Future is a listed exchange traded contract enabling to buy or sell a specific underlying (single stock or index) at a predetermined price on a given date in the future.
• K
ey features: Dividend risk for both parties but no counterparty risk (margin is paid through margin call during the total duration
of the contract) and usually short term duration contract.
• A
Future within Delta One activity implies Yield Enhancement, Stock Financing Optimization, and Synthetic Exposure or
Hedging.
• T
he pre-determined price is:
FUTURES PRICE = SPOT STOCK PRICE * [1 + (r * tx/360)] – % DIVIDEND * [1 + (r * ty/360)]
with r = short-term interest rate (typically Euribor)
tx = Number of days remaining until expiration
ty = Number of days between dividend payment and contract expiration
2. The Structure
Client is short stocks and long Futures
1. At the beginning
Future @ F0
Future @ F0
Stock Exchange
Stocks @ S0
Initial margin deposit
Stocks @ S0
Cash
Clearing House
CLIENT
Initial margin deposit
1. During
Daily margin call
Clearing House
Daily margin call
CLIENT
1. At the end
Stocks @ ST
Payoff: F0 - S0
39
Final daily margin call
Stock Exchange
Cash
Clearing House
Stocks @ ST
CLIENT
Final daily margin call
Payoff: F0 - S0
Equity Research
Future (on both Single Stock and Index)
4. Key Features
• S
trategies:
- P
ortfolio Optimisation (holding a stock): Yield Enhancement and possibly Stock Financing Optimization.
- P
ortfolio Hedging (holding a stock): Hedge an exposure by implementing a short strategy while keeping the position
in the stock. The investor can hedge his position through selling Futures.
- Leverage (without holding a stock): Get exposure to an underlying without buying it – this generates leverage.
- Product mainly used for Yield Enhancement and possibly Stock Financing Optimization.
• Legal documentation: No legal documentation needed.
• R
isks: Futures bear no counterparty risk. We trade via a clearing house and are subject to initial deposit and daily margin
calls. Clearing house (Bclear, Eurex…) is acting as a central counterpart and implies anonymity. The client must have a
clearer through its Custodian Agent. Futures bear dividend risk for both parties.
4. Example
• C
deal of thirty-day.
• P
arameters:
Duration is from 04/20/11 to 05/20/11(30 days)
Spot price at the beginning: €42 and at the end: €41
• Future price calculation: €42 * [1+ (1.116% * 30/360)] – (€1.14 * 98%) * [1+(1.116% * 9/360)] = €40.92
Natixis
Client
Cash leg
- €42,000,000
€42,000,000
Payment date
Dividends
€1,140,000
- €969,000
€969,000
Final CF
Cash leg return
€42,038,900
€42,038,900
- €148,200
€148,200
€61,700
€1,078,300
Initial CF
Total
Equity Solutions
• Cash Flows (client is long Future):
Natixis
Client
2% dividend
€22,800
98% dividend
Interests on cash
€39,060
Interests on cash
Interests on 2% dividend
Total
€6
€61,860
Total
€1,117,200
-€39,030
€312
€1,078,452
40
Synthetic (Put/call combination)
1. What is a Put/Call Combination?
• A
Synthetic (Put/Call Combination) is an option strategy (OTC or listed) which gives a long Synthetic Equity Exposure (buy
a call and sell a put with the same strike and the same maturity) or short Synthetic Equity Exposure (buy a put and sell a call
with the same strike and the same maturity).
• F
lexible maturity and various strategies (Yield Enhancement, Stock Financing Optimization and Synthetic Exposure or
Hedging).
2. The Structure
Profit/loss
Long equity exposure: Buy Call/Sell Put
Long Synthetic
Equity Exposure
Buy Call
Sell Put
Stock
K
Profit/loss
Short equity exposure: Buy Put/Sell Call
Long Synthetic
Equity Exposure
Stock
K
But Put
Sell Call
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Equity Research
Synthetic (Put/call combination)
4. Key Features
• Underlying: Synthetic is based on single stocks and indices.
• Timetable: From 2 weeks to 4 years on single stocks / from 3 months to 8 years on indices.
• Legal documentation: ISDA + CSA if OTC options combination. No contract if listed options.
4. Example
• C
ontext: A non-French resident (beneficial owner) client is holding 500,000 shares of Total (FP FP) and is entitled to a
deal of 142 days.
• P
arameters:
Reference price: €39.70
Swap Euribor 1 month rate: 1.40%
Dividend: €0.57 // retrocession rate: 97% // payment date: 09/22/2011
Client sells put / buy call (put over): €0.6309
Strike price (exercise): €40
• Cash Flows (the client buys a call and sells a put):
Stocks
Final CF
Exercise
Dividends
- €19,850,000
€42,000,000
- €315,450
€315,450
€285,000
Total
€20,000,000
- €20,000,000
€61,700
€1,078,300
Equity Solutions
Payment date
PCC
Client
Natixis
3% dividend
Interests on cash (pcc+stocks)
Total
€8,550
€111,358
€11
€119,919
Client
97% dividend
€276,450
Interests on cash (pcc+stocks)
- €111,358
Total
€366
€165,458
42
Initial CF
Natixis
Certificate
1. What is a Certificate?
• A
Certificate is a listed medium term note with an ISIN code fully linked to an equity underlying performance (dividend payment
included).
• C
haracteristic of Certificate:
- S
ubject to Natixis credit risk.
- U
sually for short-term duration.
- N
o legal contract is needed.
- S
ettlements instructions: Euroclear and domestic accounts for the assets.
• A Certificate within Delta One activity implies Yield Enhancement and Synthetic Exposure or Hedging.
2. The Structure
Step 1: Initial Flows (Certificate/Stock/Cash)
cate
Certifi
CLIENT
Cash
Certificate Price = Stock Spot Price
Stock
Cash
BROKER
Step 2: Step 1: Initial Flows (Certificate/Stock/Cash)
cate
Certifi
CLIENT
Cash
Certificate Price = Stock Spot Price + Premium*
Stock
Cash
BROKER
* The Premium is realized under specific circumstances described in the Certificate Final Terms
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Equity Research
Certificate
4. Key Features
• Risks:
- B
eing a note, subject to Natixis credit risk.
- Issued by Natixis Structured Products Ltd, Jersey and guaranteed by Natixis (S&P: A ; Moody’s: Aa3 ; Fitch: A+ - long
term ratings as of 17/02/2012).
• Liquidity:
- C
an be traded at any time.
- P
rice made by Natixis market making.
- L
isted on the Luxembourg Stock Exchange.
• Legal documentation:
- N
o legal master agreement needed.
• Equity portfolio return:
N
o economic exposure to the underlying for the client.
C
lient is benefiting from the Yield Enhancement embedded by the premium return.
The client purchases the Certificate with the net cash proceeds from the sale of the stock
Asset is replaced by a debt security.
• Investment profile:
- S
uggested investment duration: between 1 month and 3 months.
- N
otional: minimum €5 million / maximum depending on Certificate notional amount (defined by Natixis).
4. Example
• C
ontext: A non-French resident (beneficial owner) client is holding 500,000 shares of Total (FP FP). Client wants to
enhance his dividend via a premium return Certificate during one week period.
• P
arameters: Trade period is from 05/16/2011 (initial price €40.555) to 05/23/2011 (final price €39.49).
Natixis issues a Certificate for a notional amount of €20,277,500 (€40.555 * 500,000).
Dividend: €1.14
Equity Solutions
• P
remium Calculation:
Premium: €1.12005 (€1.14 * 98.25%)
Redemption/Unwind price: €40.61005
• Cash flow (client buys Certificates):
Natixis
Client
Stocks
- €20,277,500
€20,277,500
Payment date
Certificates
- €20,277,500
€20,277,500
Final CF
Stocks
Initial CF
Dividends
Certificates
Total
€570,000
€19,745,000
- €19,745,000
- €20,305,025
€20,305,025
€9,975
€560,025
• P
&L (net of cash interests) of this transaction: Client will receive 98.25% of the dividend amount and Natixis will receive
1.75%.
44
-
Dividend Swap
1. What is a Dividend Swap?
• A
Dividend Swap is a contract whereby the parties agreed to exchange a pre-agreed dividend level, the fixed leg (level traded)
versus the realized dividend (confirmed) paid by the company for an agreed period.
• D
ividend Swap for the year n is from Decembern-1 to Decembern, objective is hedging or trading for the client and an ISDA
agreement is needed.
2. The Structure
Hedging for the client
Realized (paid) dividend
Long Dividend Swap
Fixed Leg (level traded)
CLIENT
Short Dividend Swap
and long stock
Hedging for the client
Fixed Leg (level traded)
Short Dividend Swap
Realized (confirmed) dividend
CLIENT
Long Dividend Swap
and short stock
• T
he buyer of a Dividend Swap (long Dividend Swap) will profit if the underlying delivers a higher dividend amount than the
fixed leg of the swap.
• T
he seller of a Dividend Swap (short Dividend Swap) will profit if the underlying delivers a lower dividend amount than the
fixed leg of the swap.
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Equity Research
Dividend Swap
4. Key Features
• Maturity is from Decembern-1 to Decembern (Dividend Swap is for the year n).
• Legal documentation: ISDA agreement is needed if OTC structure / none if listed product (Eurex).
• Underlying: single stocks and indices.
• Hedging: with a Dividend Swap short position, client freezes the amount of dividend.
• T
rading: Dividend Swap trading (short position if you expect a drop in dividend and long position if you expect a rise in
dividend) offers a direct exposure to the coming dividends paid by an underlying (stock or index).
• T
here are some listed dividend Futures which also offers a direct exposure to the dividends paid by an underlying (for
example SX5E : Index and components). As listed instruments (Eurex), they have the same features as a standard Future
contract (deposit/daily margin call …).
4. Example
Hedging: A client is holding 500,000 shares of Total (FP FP) and wants to freeze a level of dividend for 2010
• A
t trade date:
- N
atixis agrees to buy from the client 500,000 Dividend Swap Total 2010 at a level of €2.18 (fixed leg). The client is
therefore seller/short Dividend Swap. No cash flow is exchanged at this stage.
- R
ealized dividend by Total 2010 is €2.28.
• A
t maturity of the Swap (17/12/10):
- C
lient pays the realized dividend to Natixis: €2.28.
- N
atixis pays the fixed leg: €2.18.
• C
ash flow: Client pays €50,000 to Natixis (500,000 * 0.10).
Short Dividend Swap -> Long Stocks -> Fixed Leg
Trading: A client wants to take a long exposure on 500,000 Dividend Swap Total 2010
• A
t maturity of the Swap (17/12/10):
- C
lient pays to Natixis the fixed leg (level traded): €2.18
- N
atixis pays to the client the declared dividend (realized): €2.28.
• C
ash flow: Client receives €50,000 from Natixis (500,000 * 0.10).
Buy Dividend Swap -> Short Stocks -> Realized Dividend
46
Equity Solutions
• At trade date:
- N
atixis agrees to sell to the client 500,000 Dividend Swaps Total 2010 at a level of €2.18 (fixed Leg). The client is
therefore buyer/long Dividend Swap. No cash flow is exchanged at this stage.
- R
ealized dividend by Total 2010 is €2.28.
Exchange-traded fund (ETF)
1. What is an ETF?
• A
n Exchange-traded Fund (ETF) is an open-ended fund which is traded on exchanges like stocks. An ETF tracks the performance
of an asset.
• E
TFs underlying can be equities, bonds or commodities. ETFs are traded on primary market (creation/redemption mechanism
at the Net Asset Value with the issuer) or on exchange and ETFs offer transparency, flexibility, cost-effectiveness, diversification,
and liquidity.
• E
TF within Delta One activity implies
1. Market making on European listed ETF.
2. ETF creation/redemption (Natixis is an Authorized Participant among major European issuers).
Mutual
Fund
+
Share
=
Exchange
Tarded Fund
1. Key Features
• An ETF tracks any equities, bonds or commodities underlying.
• Primary market:
- T
he creation/redemption mechanism operates within the primary market. The primary market allows Authorized Participants
(AP) to exchange baskets of securities or cash for ETF shares
- A
n AP is a financial institution with the ability to create and redeem ETF units directly with ETF issuers. Natixis is an Authorized
Participant among major European issuers.
- C
reation/redemption process takes place usually at the closing of ETF exchange and at the Net Asset Value (NAV).
- T
he NAV is the official valuation of the fund (usually, issuers use the closing price of underlying securities minus daily accruals
of the management fee or Total Expense Ratio, divided by the number of shares outstanding).
- As international exchanges close at different times, some global funds are unable to provide a same day NAV (T+1 basis).
• Benefits: Transparency, flexibility, cost-effectiveness, diversification, and liquidity.
47
Strategy
Objective
Controlling equity exposure
Manage large or unpredictable cash inflows
Reducing concentration / risk
Diversify away from a single security or asset class concentration
Strategic international exposure
Tactical investment to gain exposure towards global sector, regional or
Equity Research
Exchange-traded fund (ETF)
single country markets
Managing sector exposure
Investors have a wide selection of ETF to choose from to control the
sector and industry exposure of their portfolios
Shorting ETF
Hedging a portfolio
4. Example
• An investor wants to have an exposure to Russia trough DJ RusIndex Titans 10 (USD).
• An easy way to get this exposure is to buy shares of DJ RusIndex Titans 10 (USD) Lyxor ETF (ISIN: FR0010339457).
48
Equity Solutions
• O
ur market maker is able to 1/ make a price on this ETF and 2/ create ETF shares (if ETF shares aren’t sizeable enough on
the secondary market) and therefore trade at NAV:
- M
ake a price on ETF
- C
reate ETF shares (if ETF shares are not sizeable enough on the secondary market
- Trade at Net Asset Value
Scrip Dividend
1. What is a Scrip Dividend?
• A
Scrip Dividend is the option to receive dividends either in cash or in stock. If the client chooses to exercise the scrip option
(during the subscription duration), he will receive Nscrip stocks at the strike price (average stocks price during the reference
duration). If he doesn’t exercise, the client will receive cash at the payment date.
Nscrip = (N* dividends) / Reference price
with
N
scrip = number of shares received if you exercise the scrip option
N = number of shares hold by the client
( 201 ∑ (P ) - D (
20
Reference price = (100% - discount) *
i
i=1
with Reference period = 20 days before the AGM
• Natixis can manage Scrip Dividend with a broad range of products (REPO, TRS and term swap).
• N
atixis will freeze the profit for the client (i.e. neutralizing the stock price evolution) and offers a fixed percentage of dividends
amount.
2. The Timeline
• Veolia Environnement (VIE FP) example:
Ex date
23/05/2011
Reference period from
04/15/11 – 05/16/11
Scrip subscription duration
from 05/23/11 – 06/07/11
Reference price
Scrip Dividend
announcmenet
49
AGM
05/17/2011
Dividend payment
date 06/17/2011
Equity Research
Scrip Dividend
3. Example
• C
ontext: The client is long of 100,000 Veolia Environnement (VIE FP). Veolia offers a dividend of €1.21 with a scrip option
with 10% discount announced.
• P
arameters:
Average price during the reference period: €20.82
Reference price: €18.74
Nscrip : 6,456 stocks
Client’s profit
VIE FP < Reference price
VIE FP = €19
VIE FP = €21
€121 000.00 €
€122 664.00 €
€135 576.00
• C
ash flow
Without Natixis Scrip Dividend management: The client’s profit will depend on Veolia Environnement share price
performance evolution.
50
Equity Solutions
• With Natixis Scrip Dividend management : The client will freeze his profit at €134,414 (6,456 * 20.82).
Margin Loan
Margin Loan
Definition
• A
Margin Loan is a bilateral OTC contract enabling the client to benefit from a funding by Natixis (usually Euribor rate + spread)
secured by a pledged granted by a client over an equity underlying (single portfolio).
• A
Margin Loan is simply a loan collateralized by a pledge over an underlying. Pursuant to the pledge agreement, the client
remains the full owner of the underlying equity (no transfer of ownership), and is thus dully entitled to vote and to benefit from
the dividends.
• M
argin calls are posted on the pledged account in case of decrease of the pledge underling. Margin calls can be posted either by
transfer of additional pledged stocks, in cash or in other stocks to be agreed.
The Structure
Interest Rate
Cash
CLIENT
Pledge
Dividend
On the pledged underlying
• No transfer of ownership
• M
argin Calls are posted on the pledged
account either with underlying stocks, in cash
or in other stocks to be agreed
51
52
Equity Solutions
Equity Research
53
Equity Solutions
Income Products
Growth Products
www.equitysolutions.natixis.com
54
Income Products
An alternative to fixed-income Investments, offering a higher
return potential. The investor gets a high annual or quarterly
income. Capital can be at risk when Investment pays maximum
coupons, or partly/fully protected for risk-averse investors
55
Equity Research
Equity Incremental Autocall
Euro STOXX 50®, 1 year, Quarterly Autocall, 14% p.a.
Favourable Scenario
Product Description
Conditional coupon of 3.50% each quarter
• O
n each quarterly observation date, if the level of the index is
greater than its initial level, the product delivers a coupon of 3.50%
Memory effect on the coupons
• A
ll the coupons previously not delivered are received on the next
quarterly observation date if the level of the index is greater than
its initial level
Early redemption mechanism
Median Scenario
• If on any quarterly observation date (except the first one), the
level of the index is greater than its initial level, the capital is
immediately redeemed at 100%
Conditional protection of the capital at maturity
If during the investment period, there was no early redemption and :
• t he index level is above the protection barrier, the capital is entirely
redeemed at par at maturity
• t he index level has breached the protection barrier but the final
level is above its initial level, the product offers a 100% capital
back
• t he index level has breached the Protection barrier and the final
level is below its initial level, the capital will be impacted by the
negative performance of the index
Characteristics
Issuer
Natixis Structured Products Ltd.
Ratings
S&P: A ; Moody’s: Aa3 - as of 17/02/2012
Product
EMTN
Currency
EUR / USD
Coupon
3.50%
Protection Barrier
60%, Continuous monitoring
Coupon Barrier
60%, Quarterly observations
Autocall Barrier
Advantages
Disadvantages
•
•
•
•
• T
he capital is not guaranteed at maturity
• The maturity is undefined
uarterly conditional coupon of 3.50%
Q
Early redemption mechanism
Buffer protection up to 60%
Memory effect on the coupons
Contact: Michel Orban +33 01 58 55 11 45
56
Equity Solutions
Unfavourable Scenario
Equity Sweet Reverse Convertible
Euro STOXX 50®, 10%, 14 months, EUR
Highlights
Scenarios
• E
quity Sweet Reverse Convertible is designed for
investors who seek higher yield investment and would
like to monetise the volatility of the Euro STOXX 50®
Optimistic Scenario :
• T
he capital is 100% guaranteed at maturity, if the final
level of the index is equal or greater than 75% of its initial
level
• T
he coupon of 10% is fixed and payable regardless of the
Euro STOXX 50® performance at maturity
At maturity, if the index level is equal or greater than 75% of its
initial level, the investor will receive 100% of the nominal amount
and the unconditional coupon of 10%
Pessimistic Scenario :
At maturity, if the index level is lower than 75% of its initial level,
the capital will be impacted by the negative performance of the
index and the 10% coupon will be paid
Redemption at maturity :
100 % * [ SX5E Final / SX5E Initial ] + 10%
Characteristics
Issuer
Natixis S.A.
Ratings
Strike
100%
Strike Date
12 October 2010
Maturity
30 December 2011
Currency
EUR
Underlying
Euro STOXX 50® (SX5E)
Barrier Level
75%
Barrier Type
European
Coupon
10%
Payoff at maturity
Advantages
• U
nconditional coupon payable regardless of the Euro
STOXX 50® performance at maturity
• Buffer protection up to 75%
Disadvantages
• Maximum capital gain is capped to the coupon
• Capital is not protected at maturity
• T
he coupon may not be sufficient to compensate the
capital loss when there is a sharp decrease in the Euro
STOXX 50®
Contact: Michel Orban +33 01 58 55 11 45 / Olivier Cohen +33 01 58 55 11 42
57
Equity Research
Digitals
A 6.50% example
Scenarios
Highlights
• T
otal protection of your capital at the end of the product life
whatever the Euro STOXX 50® index evolution
• A
6.50% annual coupon if the Euro STOXX 50® index is equal
or greater than its initial level at its observation date
• B
oost your investments thanks to a product, offering a 3
times higher yield compared to 6 year Government Bonds
(currently 1.90%)
Maximum yield rate:
1.90%
6.50%
Characteristics
Natixis S.A.
Ratings
Issue Price
100%
Maturity
6 years
Currency
EUR
Underlying
SX5E
Coupon
6.50%
Payoff at maturity
Bullish trend : 6x 6.50% payable coupons
6 coupons paid and total capital reimbursed at
maturity
6.50% yield rate
Bell-shaped Trend : 4x 6.50% payable
coupons
Advantages
4x coupons paid and total capital reimbursed at
maturity
4.52% yield rate
• A
6.50% coupon in case of index stability or growth at each
annual observation date
Bearish Trend : no coupon paid
• Capital guaranteed at maturity
Equity Solutions
Issuer
Entire reimbursement of your initial capital (which is
not the case for a direct investment)
0 % yield rate
• T
he capital is only guaranteed at maturity. In case of
withdrawal during the product life, the price will be
correlated to market conditions and may be lower than the
initial capital
• T
he investor does not receive the dividends of the shares
comprising the index
Contact: Diana Chikova +33 01 58 55 80 42
58
Disadvantages
Growth Products
Investments providing exposure to Equity Markets, with some
capital protection. They are built to express directional bias on
equity underlying (bull or bear) They often incorporate leverage,
i.e. higher risk than traditional equities, so they can be sold with
full capital protection and minimal returns.
59
Equity Research
Example:
Vol Cap on Emerging Basket
Highlights
The Volatility Target Strategy
• V
ol Cap on Emerging Basket offers the opportunity to
benefit from the growth of emerging countries
• T
he Volatility Target Strategy on BRIC indices provides the
framework to adjust the risky allocation depending on the
total risk of the basket, the exposure to risky assets falling
when the historical volatility level is higher
Characteristics
Issuer
Ratings
Product
EMTN
Currency
EUR / USD
Coupon
3.50%
• T
he maximum allocation on BRIC indices is equal to 100%
and decreases when the realized volatility increases
• A
fall on equity markets goes with a higher level of volatility.
The Allocation Mechanism is based upon trends in recent
volatility, thereby capturing the market’s perception of nearterm risk. Finally, the level of risk in the Volatility Target
Strategy will decrease when the market’s perception of
risk is rising
• B
esides, the control of the underlying volatility with the
Volatility Target Strategy decreases the cost of a call which
is favourable with a low funding
• T
he product makes use of volatility as a risk indicator, and
responds objectively and automatically to any signals that
emerge over a pre-determined observation period
price as 4 years, USD, 100% capital guaranteed
Protection Barrier 60%, Continuous monitoring
Coupon Barrier
Autocall Barrier
The Allocation Mechanism
• O
n any rebalancing day, the proportion of the portfolio held
in Risk Asset will be set equal to:
Ticker
Underlying
Country
EWZ US
Ishares MSCI Brazil Index Fund
Brazil
RSX US
Market Vectors Russia ETF
Russia
INP US
Ipath MSCI India index ETN
India
FXI US
Ishares FTSE / Xinhua China 25
China
Advantages
Risk Asset Allocation =
Min (Maximum Risk Asset Allocation, Target Volatility /
Realised Volatility)
Equity Solutions
Basket
Redemption at maturity
• A
t maturity, the redemption amount is determined by a
daily algorithm process. On each day, the strategy is
recalculated depending on the Risk Asset Allocation, based
on the Realised Volatility
Disadvantages
• Re-allocation mechanism not preventive
Contact: Olivier Cohen +33 01 58 55 11 42
60
• T
he capital is fully redeemed by the issuer at
maturity
• Re-allocation of assets depending on risk levels
Example:
90% CPN Equity Worst of
World Indices, 3 years, USD, 110% participation
Highlights
Favourable Scenario
This is a growth product linked to the performance of three
indices (MSCI Brazil, Hang Seng China Ent Indx and S&P
500)
110% participation
• If the final levels of all indices are above a predefined
barrier of 90%, the product offers at maturity a capital
return of 90% plus 110% participation in the positive
performance of the worst performing index from 90% of
its strike
90% capital guaranteed to maturity
Median Scenario
• A
t maturity, if the final level of at least one index is at or
below the barrier, the product offers a minimum capital
return of 90%
Characteristics
Issuer
Ratings
Product Type
EMTN
Basket
See composition below
Currency
USD
Capital Guaranteed 90%
Maturity
3 years
Basket Composition
Ticker
Index
EWZ US
iShares MSCI Brazil Index Fund
HSCEI
Hang Seng China Ent Indx
SPX
S&P 500
Advantages
Disadvantages
• 110% participation on the worst performing index
• Capital is not totally guaranteed at maturity
• Capital gain is not capped
• T
he performance retained is the one of the
worst performing index
• A
t maturity, the repayment of the capital is protected
at 90% by the issuer
Contact: Olivier Cohen +33 01 58 55 11 42
61
Equity Research
Turbo note
Underlying, xx% indexation, xx months, CHF
Favourable Scenario
Product Description
xx% Leverage on the positive performance
• A
t maturity, if the underlying is above its initial level, you
receive xx% of the positive performance of the underlying.
This performance is capped at xx% (i.e. maximum
redemption is xx%)
Underlying performance on the downside
Median Scenario
• A
t maturity, if the underlying is at or below its initial level,
the capital will be impacted by the negative performance .
Capital is not guaranteed at maturity
Characteristics
Ratings
Product Type
EMTN
Maturity
xx months
Currency
xx
Underlying
xx
Cap
xx%
Indexation
xx%
Re-Offer
xx%
Equity Solutions
Issuer
Advantages
• Investor benefits from XX% of the underlying’s
positive performance but only risks XX% on the
downside
Disadvantages
• Capital is not guaranteed a maturity
• Capital gain is capped
62
• Short maturity
Example:
Outperformance Note
Nestlé, 170% gearing, 15 months, CHF
Product Description
Favourable Scenario
170% Gearing on the positive performance
• A
t maturity, if the stock is above its initial price, you receive
170% of the positive performance
Delivery of the Shares on the downside
• A
t maturity, if the stock is below its initial price, you will be
redeemed 1 share, which means you accept the downside
risk on NESN VX
Median Scenario
Characteristics
Issuer
Ratings
Product
Type
EMTN
Maturity
CHF
Currency
Underlying
Strike
15 months
Nestlé (NESN VX)
CHF TBD
170%
Advantages
• Investor benefits from 170% of the stock’s positive
performance
• Maximum potential gain in uncapped
Disadvantages
• Capital is not guaranteed at maturity
• If the share price closes at maturity below the
Strike price, the product offers a capital return
paid out in shares
Contact: Structuration Team +33 01 58 55 98 14 / 2842
63
64
Equity Solutions
Equity Research
Investments built to take advantage of non-directional Markets.
They can be designed to perform either in low volatility/flat
Markets or in very volatile ones. They can also include full or partial
capital protection.
65
Equity Research
Strangles
Highlights
Scenarios
• B
enefit from a bullish trend thanks to a full indexation to the
increase in the Euro STOXX 50® index (up to 50%)…
Highly bullish trend:
• …
but also from a bearish trend thanks to a full indexation to
the decline in the Euro STOXX 50® index (-50% in absolute
terms)
The index closes above 150% of its initial level at
maturity. You receive 90% of your capital and 100% of the
index increase up to 50%, i.e. 140%.
TRA: 6.96%
• 90% capital guarantee at maturity
Twin Win
Bearish trend:
Natixis S.A.
Ratings
Issue Price
100%
Maturity
5 years
Currency
EUR
Underlying
SX5E
Steep downward trend:
The index closes below 50% of its initial level at maturity.
You receive 90% at maturity
TRA: -2.09%
Advantages
Payoff at maturity
• 1
00% of the performance of the index taken in absolute
terms, either increase or decrease from -50% to +50%
• G
et 90% of your capital and 100% of the performance
of the Euro STOXX 50® index, taken in absolute terms, if
it finishes between 50% to 150% of its initial
• 90% capital guarantee at maturity 90%
Issuer
Equity Solutions
Characteristics
The index closes at 55% of its initial level at maturity. You
receive 90% of your capital and 100% of the decline of
the index taken in absolute value, i.e. 135%.
TRA: 6.19%
• If the index ends above 150% of its initial level, the
reimbursement is 90% of your capital and 100% of the
index increase up 50%, i.e. 140%
Disadvantages
• W
hatever the evolution of the Euro STOXX 50® Index,
your capital is guaranteed at 90% at maturity
• Reimbursement limited to 140%
• If the index ends below 50% of its initial level, your
capital is guaranteed at maturity
• Capital risk by 10% at maturity
Contact: Diana Chikova +33 01 58 55 80 42
66
• T
he investor does not receive the dividends of the shares
comprising the index
Investments designed to hedge or protect an Equity portfolio.
They are mainly structured with various put option combinations.
Also, Financing solutions are included.
67
Equity Research
Example:
Hybrids: 6 year Note boosted coupon Lock in
CMS 10 years / Euro STOXX 50®
Description
Favourable Scenario
Conditional coupon : 7% p.a. minimum
Each year, if the Euro STOXX 50® Index closes above 50% of its
initial level, the investor receives the best of:
• 7%
• CMS10Y + 3%
Lock-in effect : guaranteed Capital and coupons
On annual observation date, if the Euro STOXX 50® Index closes
above 120% of its initial level, the Lock-in effect is activated and:
Median Scenario
• 100% of the capital is guaranteed et maturity
• All the future coupons are guaranteed
Conditional capital protection at maturity
If the Lockin effect did not happened and the Euro STOXX 50®
Index closes above 50% of its initial price, the capital is entirely
redeemed at par
Otherwise, if the lockin effect did not happened and the Euro
STOXX 50® Index closes below 50% of its initial level, the
capital will be impacted by the negative performance of theEuro
STOXX 50® Index
Issuer
Natixis S.A.
Ratings
Maturity
6 years
Currency
EUR
Underlying
Euro STOXX 50 ® Index
(Bloomberg Ticker: SX5E Index)
Equity Solutions
Characteristics
CMS 10-year Index
(Bloomberg Ticker: CMS10Y Index)
Lock-in Level
120% of the Euro STOXX 50® initial level
Protection Barrier 60% of the Euro STOXX 50® initial level
60% of the Euro STOXX 50® initial level
Advantages
Disadvantages
•
•
•
•
• C
apital is not guaranteed at maturity
• The maximum return is limited to CMS10Y +3%
ncapped conditional coupon
U
Minimum conditional coupon of 7% p.a.
Lockin Effect: guarantees capital and future coupons
Buffer protection up to 50%
68
Coupon Barrier
Low-cost protection:
1 Year Euro STOXX 50® Timer Straddle - Euro STOXX 50® Vanilla Straddle
Highlights
Scenarios
Rationale:
• S
ell volatility on today’s high volatility levels via a Vanilla Straddle
Sale
• B
uy a Timer Straddle neutralises the position against high short
term volatility movements
- B
uy a Timer Straddle vanilla position allows a perfect
replication of the index without paying today’s volatility
- T
he Timer Straddle maturity depends on realised volatility to
come as far as client’s budget is concerned
• T
he position is hedged as long as the Timer Straddle has not
expired; No short term delta nor gamma
• M
onetisation of the spread between implied volatility and the
Timer Straddle budget volatility
• In an opposite scenario, when the Timer budget is almost
fully used, the position will be unwound (Timer exercise
and vanilla straddle buyback with a residual maturity)
Characteristics
• T
he Index is far from the strike low time value and intrinsic
values offset themselves
Format
OTC Option
Maturity
1 year
Currency
EUR
Underlying
Euro STOXX50® Index
(Bloomberg Ticker: SX5E Index)
• T
he Index is close to the strike the vanilla straddle residual
time value depends both on the ATM vol and remaining
maturity. Hence the position shall be wining if the residual
maturity is low and/or if there is a decrease of implied
volatilities
• P
roduct rationale relies on the assumption that realised
volatility will be lower than the budgeted so the Timer
effective maturity will be 1 year
Advantages
• Sale of implied volatilities (currently high)
• Perfectly hedged position till the Timer Straddle expiry
Disadvantages
• R
eturn capped to the spread between implied
and budgeted volatilities
• T
he Vanilla Straddle Buyback become necessary
in case of anticipated expiry of the Timer
Straddle
Contact: Michel Orban +33 01 58 55 11 45 / Arnaud Chaumont +33 01 58 55 11 02
69
70
Equity Solutions
Equity Research
Protected products linked to Mutual Funds or Hedge Funds,
that offer exposure to attractive investments, or easy access to
alternative assets, with a reduced risk
71
Equity Research
Example:
Fund Derivatives
ScenariOS
• U
pon 8 year maturity, the investor is entitled to receive
70% of the best performance recorded annually since
the beginning. The gains are acquired and protected
continuously
Optimistic scenario:
Optimistic case
Median scenario:
A moderate increase of the fund Expert Premium
If a recorded performance is positive, the investor receives
at the maturity date:
The full initial capital + 70% of the the best performance
recorded
• T
he best annual performance since inception
was recorded in year 5. It’s sets to 45%.
The investor receives the principal (its capital)
plus 70% of 45%, i.e. a total of 131.5%.
The TRA is 3.48%
Pessimistic case
Pessimistic scenario:
If no performance is found positive, the investor receives
at the maturity date:
The full initial capital
Decline of the Expert Premium fund
Advantages
Disadvantages
• The principal is guaranteed in full at maturity of 8 years
• T
he capital guarantee only benefits the investors who
invested only until 23 December 2011 and maintaining
the financial instrument until maturity, i.e. January 3,
2020
• T
he indexing to the Expert Premium fund’s performance
is done each year
• E
xpert Guaranteed Premium II is based on a formula for
repayment at maturity, which has only one mechanism
• D
escription of the reimbursement formula: Every year
we see the fund’s performance since Expert Premium
inception
• The
best annual performance since inception
was recorded in year 8. It’s sets to 118%.
The investor receives the principal (its capital)
plus 70% of 118%, i.e. a total of 182.6%.
The TRA is 7.82%
• A
ll annual performance since inception are
negative. The investor receives his entire capital.
The TRA is 0%
Equity Solutions
• U
pon 8 year maturity, the investor benefits from a full
capital guarantee. He is certain to recover at least all of
its investment
Significant increase of the Expert Premium fund
• Indexing to the Expert Premium fund’s performance is
partial, up to 70%
• T
he resale of the security on the secondary market
takes place at market value and the holder may record
a gain or loss on the initial invested amount
Contact: Christophe Hilaire +33 01 58 55 82 94
72
Highlights
Expert Premium Garantie II
Example:
Vol Cap Funds
Equiplus Europe Active Control 4: structured by Natixis
Highlights
Scenarios
• A
n example of structured product that reacts actively to
volatility on Euro STOXX 50®
The volatility of the Euro STOXX 50® index (DJES50) during
the previous month determines the extent to which the subfund will participate in or be exposed to this index in the
month ahead
• T
he extent to which the sub-fund tracks this renowned stock
market index is actively adjusted each month and also takes
account of how much volatility there has been in the most
recent period
High Volatility :
• T
he volatility of the stock market index during the previous
month determines the extent to which the sub-fund will be
exposed to or will participate in the index in the month ahead:
- C
alm (minor fluctuations): more exposure to the index
(maximum participation of 150%)
- T
urbulent (major fluctuations): less exposure to the index
(minimum participation of 25%)
Advantages
Lower Volatility :
• C
apital protection
• Limited volatility
Disadvantages
• Investment/Disinvestment delay as relies on historic
volatility
Payoff at maturity
• A
t maturity, you will receive 100% of the potential increase
(end value minus starting value divided by starting value)
in the calculated value
• T
his starts at 100 and is adjusted each month to take
account of movements in the index and also the extent of
the exposure to or participation in this index. The potential
increase will therefore not be the same as the potential
increase in value of the Euro STOXX 50® index
• The initial capital is 100% protected if held to maturity
Contact: Frank Cherbe +44 20 3216 9221
73
Equity Research
Example:
Prop Index Funds
Sérénité Premium
Risk perception indicator:
• T
he management approach known as ‘portfolio
insurance’ consists of regularly adjusting the distribution
of assets between an asset category considered ‘at risk’
(Sélection Premium) and another ‘not at risk’ category
with the aim of protecting the original capital at the
maturity date of 1st August 2019
• T
he risk perception indicator enables the fund manager to
detect any sharp changes in financial market trends
• If the value of the assets in Sélection Premium declines,
the fund’s exposure to these assets will be reduced
in order to protect the portfolio against any continued
equity market decline
• T
he fund manager optimises this management by
using a risk perception indicator when the at-risk asset
category is potentially exposed
• With the aid of this indicator, the Fund Manager is able to:
- A
dopt a defensive approach by reducing the proportion
of funds allocated to the At-Risk Asset Category
(Sélection Premium), in favour of a Not-At-Risk Asset
Category during perceived periods of ‘high risk’
• If the value of the assets in Sélection Premium increases,
the fund’s exposure to these assets will be increased
in order to derive maximum benefit, albeit temporarily,
from equity market growth
• T
he indicator is based on objective market parameters
which are continuously monitored by the fund
management teams. It determines the level of risk
perception on the part of financial markets
- Increase the proportion of funds in the At-Risk Asset
Category (Sélection Premium) during perceived periods
of ‘low risk’
Advantages
Disadvantages
• T
he bearer purchasing shares in the Investment
Funds benefits from a guarantee of the highest selling
price observed during the Subscription Period on the
Guarantee Maturity Date
• O
nly bearers who retain their shares until the Guarantee
Maturity Date benefit from the Capital Guarantee
• T
he bearer can participate partially in any possible
increase in the value of listed international companies
via possible returns from the At-Risk Category. This
Category is subject to continuous monitoring in terms of
its make-up and to a proactive asset selection approach
conducted by the Management Company
Equity Solutions
• In the light of the management technique used (portfolio
insurance) the Investment fund’s exposure to the AtRisk Asset Category can be reduced to zero up to the
maturity date. However, in this case, the Investment
fund will no longer benefit from any possible recovery
in the At-Risk Asset Category in question
• E
xposure to the At-Risk Category can become nil and
remain nil until the Guarantee Maturity Date, due
to Investment Fund monetisation with the view to
guaranteeing the capital. In this case, the Investment
Fund will no longer be in a position to profit from a
possible recovery in the At-Risk Category
• T
he investment strategy used by the Investment Fund
manager to guard against the effects of any rise in risk
and volatility by reducing exposure to the At-risk Category
as and when required, does not allow bearers to benefit
systematically and entirely from the rise in the value of
the At-Risk Category
Contact: Stephane Leve +33 01 58 55 81 33
74
Portfolio insurance’ management:
Highlights
Hybrid underlying allow you to build risk-diversified structures
which provides exposure to non-equity linked assets, such as
gold, inflation or interest rates, to optimize overall returns when
an asset-class consolidates over a long period of time.
Various Mutli-asset strategies can be structured.
75
Equity Research
Inflation Linked Hybrid Note
European Inflation ex Tobacco & Euro STOXX 50® / 5 years / EUR
A 100% CAPITAL PROTECTED PRODUCT
Favourable Scenario
Each year, the product pays a coupon depending on the year on
year European Inflation ex tobacco and on the performance of the
Euro STOXX 50®:
>> On
each annual observation date, if the level of the Euro STOXX
50® is equal to or greater than 75% of its initial level, and:
• If the YoY inflation is positive, the investor receives the
maximum between 4% and the YoY inflation
• Otherwise, in case of deflation, the investor do not receive
any coupon
• The investor do not receive any coupon
Median Scenario
>> On
each annual observation date, if the level of the Euro STOXX
50® is lower than 75% of its initial level:
>> A
t maturity, the capital is 100% protected, regardless the
performances of the inflation or the Euro STOXX 50®
Characteristics
Ratings
Capital Protection
100% capital protected at maturity
Currency
EUR
Maturity
5 years
Underlyings
HICP Ex-Tabacco Inflation
(Bloomberg Ticker: CPTFEMU Index)
Euro STOXX 50®
(Bloomber Ticker: SX5E Index)
Equity Solutions
Issuer
Conditional coupon MAX (4%; Inflation yoy)
Advantages
• U
ncapped coupon
• 100% capital protected
Disadvantages
• Potential minimum coupon of 4%
Contact: Stephane Leve +33 01 58 55 81 33
76
Description
77
ECM
Corporate Broking
Corporate Solutions
78
ECM
Equity Capital Raising for Corporates and Financial Institutions
Product Description
A High quality Track Record
Equity Capital Markets products designed for
Equity Issuers
• In 2011 Natixis was ranked No. 1 for convertible issues by
transaction number and by amount
• T
he Lazard-Natixis Equity Capital Markets team, a partnership
pooling expertise of Lazard and Natixis teams, offers to its
clients, both in France and internationally, financing solutions
and access to the equity market through the following
products:
• Initial Public Offerings (IPO):
First sale of stocks by a private company to the public
Objectives:
- Raising
equity share capital as a mean of organic and/or
external growth financing
- O
ptimisation of balance sheet structure: fund raising
leading to deleveraging
• In 2011, Natixis was ranked No. 3 overall in France by
number of lead-managed transactions
• A
mid cap expertise: Natixis ranked 1st in France, both in
volume and in number of issues, for IPOs lead-managed as
a Bookrunner since 2005
• A 10-year mid-caps expertise
Selected 2011 Track Record
- T
otal or partial monetization of shareholders’ participations
(VC, family, etc.)
- Acquisitions financing
- Increasing visibility
A 4-6 month process from preparation & documentation,
structuring, marketing (starting 1 month prior to pricing) to offer
& listing
Source: Bloomberg
79
Contact: Florent Mahe +33 01 58 55 92 44 / Benjamin Tran +33 01 58 55 02 27
Equity Research
ECM
Product Description
2011 Spin-off Track Record
Equity Capital Markets products designed for Equity
Issuers
• S
pin-off:
- Isolate a listed group’s business unit or subsidiary and create
two separate listed entities
• Objectives:
- R
efocusing of the parent company on its core business
- D
evelopment of an independent strategy for the split
subsidiary
- B
etter clarity of the independent structures for the investors
- R
edistribution policy of wealth to the shareholders
80
Equity
Equity Capital
Capital Markets
Markets
Equity Solutions
- B
etter visibility for the spun-out subsidiary
ECM
Product Description
Equity Capital Markets products designed for Equity Issuers
• Capital increases:
- 2
main structures may be considered: rights issue (pre-emptive rights for shareholders), Accelerated Bookbuilding (no preemptive rights)
- Objectives:
• Financing organic and/or external growth
• Financial structure optimisation
• Increasing free float and liquidity
- A 1-3 month process from preparation & documentation, structuring to the offer & listing of new shares
• Disposal of block of shares: Accelerated Bookbuilding
- O
bjectives:
• Sale of non-core listed or unlisted participation by companies
• Privatisation
• Sale of large/illiquid stake by institutional shareholders
- U
sually a few hour process
• Equity-linked products: convertible or exchangeable bonds issue (cf. convertible bond section in Flow Research)
- Issue of a debt product, combined with a conversion option in equity
• Existing mechanism to limit the dilution
- O
bjectives:
• Lower financing cost for the issuer: the embedded value of the option reduces the interest rate paid
• Diversification of financing sources: disintermediation and interest charges inferior to a bond of same maturity
• Opportunistic financing in a context of volatile markets
- A one month process from preparation, structuring, pricing to placement
81
Equity Research
ECM
Product Description
• Public Offers:
- V
arious possible Public Offers depending on the corporate situation:
Acquisition Public Offer (“OPA”): can be standard or simplified depending on the controlling acquisition stake
scenario (“OPAS”= Simplified Public Tender Offer or “Garantie de cours” = Standing Market Offer, i.e. with
guaranteed share price at the same level of the acquisition stake)
- E
xchange Public Offer: using shares to pay for the acquisition
- M
ixed Public Offer: using shares and cash to pay for the acquisition
- P
ublic Tender Offer followed by a compulsory Squeeze-Out (“OPR-RO”): acquiring the remaining shares, get 95% of
voting rights, squeeze-out remaining shareholders and delist company
• Objectives:
- C
onsolidation in some sectors: stakes of critical sizes
- J oining together two groups and synergies creation: earning and/or cost synergies
- C
ost opportunities: when the share price is under-valuated
82
Equity
Equity Capital
Capital Markets
Markets
Equity Solutions
Lazard-Natixis’ offer can meet any type of issuer’s need, whatever its size or sector, thanks to an integrated
distribution platform and a recognized know-how
Corporate Broking
Access to Corporate and Holdings secondary equity and derivative markets
Product Description
29 Liquidity Contracts end of 2011
Liquidity contracts: Heading for improved
liquidity
• L
iquidity is a continuous concern for issuers and investors
alike, not only for valuation reasons, but also in terms of
visibility, index membership, possibilities for derivative
products and potential use of secondary market offers
• H
igh service standards required during the implementation
of an accepted market practice by our dedicated team:
- A significant and measurable improvement in liquidity
- O
ngoing advice on the amount of funding to be allocated
- A
critical view of the results obtained through regular
reviews
- A responsive market watch
- T
he added value of a team experienced in stockmarket
issues (indices, roadshows, hedging)
Contact: Cedric Richard +33 01 58 55 90 60
83
Equity Research
Corporate Broking
Access to Corporate and Holdings secondary equity and derivative markets
Product Description
Share buybacks: a constantly updated range of solutions
• R
egulated execution is constantly changing and the solutions on offer, whether cash or derivatives, are tailored to new
opportunities for buying back shares for cancellation, hedging Stock Options, or the constitution of a stock of treasury shares
to finance subsequent external growth
• The most appropriate solutions are chosen among the following:
- D
irect buyback orders
- Independent buyback mandates
- Vanilla calls
- P
erformance calls (reproducing the conditions for allocating Stock Options to managers insofar as is possible).
Investment – Hedges – Divestment of strategic or financial shareholdings
• Investment: Shareholding acquisition mandates, access to the broker’s liquidity and to the full range of capacities offered by
our execution teams: single stocks, baskets of stocks, foreign markets, SRD, member buyer in the event of a public share
offering and acquisitions in offer periods
• H
edging: Full or partial insurance of a shareholding (purchases of puts, put spreads, tunnels), targeting outperformance,
futures contracts (call option sales, call spreads)
Contact: Cedric Richard +33 01 58 55 90 60
84
Equity
Equity Capital
Capital Markets
Markets
Equity Solutions
• D
ivestment: Direct disposal of securities on the market, independent irrevocable sales mandates, scheduled disposal
mandates, blocks
Corporate Derivatives
Derivative solutions for corporate clients
Product Description
Dilutive Share based Instruments hedging
Stake holding & Treasury shares Management
• H
edging of Stock-options’ plans:
Selling of hedging Calls
Acquisition, monetization, hedging or disposal of equity stakes
or treasury shares through:
• Hedging
of Free-shares’ plans:
Equity Swaps ; hedging Conditional Buy Programs
• P
urchase/Sale of optional strategies:
Calls, Puts, Calls spread, Puts spread, Collars…
• H
edging of Convertible bonds, Bonds with equity warrants
attached, Bonds with redeemable equity warrants etc.:
Selling of hedging Calls
• Equity Swaps / Protected Equity Swaps (embedded Put)
Using Derivatives as a way of financing
• Indexed bonds:
The redemption amount is linked to the performance of
the underlying asset, due to the embedded option
• F
orwards/ Prepaid forwards / Prepaid forwards with
protection (embedded Put)
• C
onditional Buy/Sell Programs:
Shares’ acquisition/disposal programs at improved price
conditions, on a given period of time, thanks to embedded
derivatives
Employee Share Ownership Plans Credentials
Shareholding schemes
• E
mployee Share Ownership Plans (ESOPs) with leverage
and/or capital guarantee:
- S
aving schemes provided by the company for its
employees at attractive conditions
- P
erformance motivation tool
- S
hareholding stabilization mechanism
• Management Buy-In schemes:
- Variable remuneration instruments
- S
trong performance incentive
- Way to retain key managers
Contact: Yves Aboudaram +33 01 58 07 38
85
Equity Research
DISCLAIMER
This document is for discussion and information purposes only. It is highly confidential and it is the property of Natixis. It should not be transmitted to any person
other than the original addressee(s) without the prior written consent of Natixis.
This document is a marketing presentation. It does not constitute an independent investment research and has not been prepared in accordance with the legal
requirements designed to promote the independence of investment research. Accordingly there are no prohibitions on dealing ahead of its dissemination.
The distribution, possession or delivery of this document in, to or from certain jurisdictions may be restricted or prohibited by law. Recipients of this document
are therefore required to ensure that they are aware of, and comply with, such restrictions or prohibitions. Neither Natixis, nor any of its affiliates, directors,
employees, agents or advisers nor any other person accept any liability to anyone in relation to the distribution, possession or delivery of this document in, to
or from any jurisdiction. This Document is only addressed to Investment Professionals as set out in Article 19 of the Financial Services and Markets Act 2000
(Financial Promotion) Order 2001 or to persons regarded as professional investors under equivalent legislation under a jurisdiction of the European Economic Area.
This document is not for distribution to retail client.
This document is communicated to each recipient for information purposes only and does not constitute a personalised recommendation. It is intended for general
distribution and the products or services described herein do not take into account any specific investment objective, financial situation or particular need of any
recipient. It should not be construed as an offer or solicitation with respect to the purchase, sale or subscription of any interest or security or as an undertaking
by Natixis to complete a transaction subject to the terms and conditions described in this document or any other terms and conditions. Any guarantee, funding,
interest or currency swap, underwriting or more generally any undertaking provided for in this document should be treated as preliminary only and is subject to a
formal approval and written confirmation in accordance with Natixis’ current internal procedures.
Natixis has neither verified nor independently analysed the information contained in this document. Accordingly, no representation, warranty or undertaking,
express or implied, is made to recipients as to or in relation to the accuracy or completeness or otherwise of this document or as to the reasonableness of any
assumption contained in this document. The information contained in this document does not take into account specific tax rules or accounting methods applicable
to counterparties, clients or potential clients of Natixis.Therefore, Natixis shall not be liable for differences, if any, between its own valuations and those valuations
provided by third parties; as such differences may arise as a result of the application and implementation of alternative accounting methods, tax rules or valuation
models.
Prices and margins are deemed to be indicative only and are subject to changes at any time depending on, inter alia, market conditions. Past performance and
simulations of past performance are not a reliable indicator and therefore do not predict future results. The information contained in this document may include
results of analyses from a quantitative model, which represent potential future events that may or may not be realised, and is not a complete analysis of every
material fact representing any product. Information may be changed or withdrawn by Natixis at any time without notice. More generally, no responsibility is
accepted by Natixis, nor by any of its holding companies, subsidiaries, associated undertakings or controlling persons, or any of their respective directors, officers,
partners, employees, agents, representatives or advisors as to or in relation to the characteristics of this information.
The statements, assumptions and opinions contained in this document may be forward-looking and are therefore subject to risks and uncertainties. Actual results
and developments may differ materially from those expressed or implied, depending on a variety of factors and accordingly there can be no guarantee of the
projected results, projections or developments. Natixis makes no representation or warranty, expressed or implied, as to the accomplishment of or reasonableness
of, nor should any reliance be placed on any projections, targets, estimates or forecasts, or on the statements, assumptions and opinions expressed in this
document. Nothing in this document should be relied on as a promise or guarantee as to the future.
It should not be assumed that the information contained in this document will have been updated subsequent to the date stated on the front page of this
document. In addition, the delivery of this document does not imply in any way an obligation on anyone to update the information contained herein at any time.
Natixis shall not be liable for any financial loss or any decision taken on the basis of the information contained in this document and Natixis does not hold itself out as
providing any advice, particularly in relation to investment services. In any event, you should request any internal and/or external advice that you consider necessary
or desirable to obtain, including any financial, legal, tax or accounting advice, or any other specialist advice, in order to verify in particular that the investment(s)
described in this document meets your investment objectives and constraints, and to obtain an independent valuation of such investment(s), and the risk factors
and rewards.
Options are not suitable for all investors. The risks of options trading should be weighed against the potential rewards. The Options Clearing Corporation has issued
some guidance in “Characteristics and Risks of Standardized Options”, it is available at http://www.theocc.com/about/publications/character-risks.jsp
Equity Solutions
Natixis may trade as principal in instruments identified herein and may accumulate/have accumulated a long or short position in such instruments or derivatives
thereof. Financial instruments referred to herein may involve a high degree of risk, may not be transferable or traded on any exchange and are intended for sale
only to sophisticated investors capable of understanding and assuming the risks involved. Prior to entering into any transaction related to such financial instruments
in the United States, any investor should first contact a US registered broker-dealer. In addition, investors should be aware that some of the financial instruments
referred to in this presentation can only be purchased in the United States from a US registered broker-dealer.
Natixis is authorized by the Autorité de Contrôle Prudentiel (ACP) as a Bank – Investment Services Provider. Natixis is regulated by the AMF in respect of its
investment services activities. Natixis is subject to the supervision of the ACP.
Natixis is authorised by the Autorité de Contrôle Prudentiel (ACP) in France and subject to limited regulation by the Financial Services Authority (FSA) in the United
Kingdom. Details on the extent of our regulation by the Financial Services Authority are available from us on request.
Natixis is authorised by the ACP and regulated by the BaFin (Bundesanstalt für Finanzdienstleistungsaufsicht) for the conduct of its business in Germany.
Natixis is authorised by the ACP and regulated by Bank of Spain and the CNMV for the conduct of its business in Spain.
Natixis, a foreign bank and broker-dealer, makes this presentation available solely for distribution in the United States to major U.S. institutional investors as defined
in Rule 15a-6 under the U.S. Securities Act of 1934. This document shall not be distributed to any other persons in the United States. All major U.S. institutional
investors receiving this document shall not distribute the original nor a copy thereof to any other person in the United States. Natixis Securities Americas LLC did
not participate in the preparation of this publication and as such assumes no responsibility for its content.
86
Equity
Equity Capital
Capital Markets
Markets
Natixis is authorised by the ACP and regulated by Bank of Italy and the CONSOB (Commissione Nazionale per le Società e la Borsa) for the conduct of its business
in Italy.
©Natixis 02/2012 - Photo credit: Shutterstock (Renkshot)
Natixis, Paris
47, Quai d’Austerlitz
75013 Paris
France
Tel: +33 1 58 55 91 93
Natixis, Frankfurt
Im Trutz Frankfurt 55
60322 Frankfurt am Main
Germany
Tel: +49 69 97 153 342
Natixis, London
Cannon Bridge House
EC4R 2YA London
United Kingdom
Tel: +44 2 53 26 9296
30, avenue Pierre Mendès France
75013 Paris
Tél : +33 1 58 32 30 00
www.equity.natixis.com
Natixis, Madrid
Paseo de Recoletos 79
28004 Madrid
Spain
Tel: +34 91 791 75 17
Natixis, Milan
Via Disciplini, 3
20123 Milano
Italy
Tel: +39 02 00 66 71 62
Natixis, Asia
Level 72, ICC
1 Austin Road West
Hong Kong
Tel: +852 39 00 86 86
Natixis, New York
1345 Avenue of the Americas
10105 New York
USA
Tel: +1 212 891 1903

Equity Markets Product Catalogue - Natixis

Transcription

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