The structured products sector in figures

Transcription

1 The structured products sector in figures The Factbook First half 2014

2 Dear Reader Figures give us a nutshell version of events in the world of finance just as in sport. To find out who has won, you only have to look at the result. Whether you have been following the rises and falls of the markets closely or have only given them an occasional glance, the Factbook provides you with a concise summary of important key figures on the overall market, market share and individual product classes as well as other interesting facts about the structured products market. This is all presented in the DDV s usual clear way. After all, transparency is one of the association s main concerns, especially for retail investors. We hope you find the Factbook an interesting and enjoyable read. Dr Hartmut Knüppel CEO and Member of the Board of Directors 2

3 Contents THE STRUCTURED PRODUCTS MARKET IN GERMANY Product classification 4 Market volume 10 Market performance 10 Market volume by product category 12 Market volume by underlying 13 Market volume by risk category 14 Market share by market volume 16 Number of investment and leverage products 19 Trading turnover by exchange 20 Exchange turnover by product category 22 Exchange turnover by underlying 23 Market share by exchange turnover 24 Performance of structured products 30 THE STRUCTURED PRODUCTS MARKET IN EUROPE EUSIPA the European umbrella association 35 EUSIPA Derivatives Map 36 Market volume 38 Exchange turnover 40 DEUTSCHER DERIVATE VERBAND DDV in brief 42 Members and sponsoring members 43 Governing bodies 44 Publications 46 3

4 The challenge to devise a clear and simple structure spanning the entire range of structured products The Deutscher Derivate Verband (DDV), the German Derivatives Association, has launched a number of initiatives to make investment and leverage products more comprehensible and transparent. By doing so, the Association is playing an important role in the wider effort to protect retail investors. We felt it was essential to provide a clear and simple structure spanning the full range of structured products one that retail investors could easily follow. To this end, the DDV reached agreement with its members and sponsoring members on a uniform product classification system the Derivatives League. This gives investors an overview of the most important and most frequently traded types of structured products and their main characteristics from safe Uncapped Capital Protection Certificates through to more speculative Knock-Out Warrants.

5 Product classification the DDV Derivatives League Investment products with capital protection (100 percent) To ensure that investors were able to understand our product classification system, we decided to base it on a real-life scenario. The Derivatives League explains how different types of structured products work by comparing the basic categories to the positions of a football team, in each case reflecting the level of market risk involved. There are defensive and offensive positions that match the opportunity / risk profile of each structured product. That makes it easier to compare their main characteristics and the associated benefits and disadvantages or opportunities and risks. Uncapped Capital Protection Certificates With Uncapped Capital Protection Certificates, the issuer promises to repay the nominal amount to the investor at maturity. In addition, there is the potential for attractive returns depending on the performance of one or several underlyings. Capital Protection Products with Coupon Capital Protection Products with Coupon are interest-bearing securities with various additional conditions attached. The amount of interest may depend on the performance of the underlying asset. At final maturity the bonds offer 100 percent capital protection. The structured products market in Germany Product classification 5

6 Investment products without capital protection (< 100 percent) Credit Linked Notes Credit Linked Notes offer a means of investing in a borrower s credit rating. The amount of interest and the capital repayment are dependent on the borrower s credit rating. As long as the borrower does not experience a credit event, the investor will receive interest payments and, when the note matures, the nominal value. If a credit event does occur, however, the note is repaid early. In this case, interest payments cease, and the amount repaid may be significantly below the nominal value. Reverse Convertibles With Reverse Convertibles, interest is paid regardless of the performance of the underlying asset. The type and the amount of the repayment at final maturity depend on whether the value of the underlying asset is equal to, above or below the strike price on the valuation date. If the value of the underlying asset at the valuation date is at least equal to the strike price, the investor receives the nominal value. If the value of the underlying asset is below the strike price, the investor receives either the value of the underlying assets or the underlying assets themselves. Discount Certificates Discount Certificates give a discount on the current price of the underlying. This discount provides a cushion against potential falls in the price of the underlying. In return, investors accept a cap on profits from potential price rises, and they do not receive any dividends 6 The structured products market in Germany Product classification

7 Express Certificates With Express Certificates, movements in the price of the underlying are monitored at specific intervals (e. g. annually) and compared with the initial price. If, at one of the reference dates, the price is higher than the initial price, the investor receives the nominal value of the certificate plus a predefined additional amount before the end of the term. If the price is not higher than the initial price at the reference date, the process is repeated in the next period taking double the additional amount as a basis, and so on. If the price falls, a cushion generally absorbs any price falls up to a predefined value. It is only if the price falls below this predefined value that losses will arise, as they would with a direct investment in the underlying asset. Bonus Certificates Bonus Certificates pay a bonus amount at final maturity if the underlying does not reach or breach the specified barrier in the relevant monitoring period. The investor does not receive any dividend payments. Tracker Certificates Tracker Certificates offer exposure to the movements in the price of an underlying instrument. This means that with just one Tracker Certificate, investors can put their money into an asset class, sector or region, optimising and diversifying their portfolio. Outperformance / Capped Outperformance Certificates With Outperformance Certificates, if the price of the underlying asset goes up, investors receive a return equal to a pre-specified multiple of the return on the underlying asset. Capped Outperformance Certificates offer investors the opportunity for leveraged profit from a rise in the price of the underlying above the strike price within a specified range. The profit is limited by a cap. With products of this type, the investor s exposure to potential losses below the strike price is limited to any loss in the underlying. There is no entitlement to a dividend. The structured products market in Germany Product classification 7

8 Leverage Products without Knock-Out Warrants Warrants provide leveraged exposure to rising (call) and falling (put) prices in an underlying. The price is influenced not only by movements in the underlying, but also by other factors such as volatility or the (residual) term. If the price of the underlying at maturity is below (call) or above (put) the strike price, investors lose their entire capital. Constant Leverage Certificates Constant Leverage Certificates provide leveraged exposure to both rising (long) and falling (short) prices in an underlying asset. They have no fixed term and are based on a strategy index that reflects the percentage daily change in the underlying using a constant factor. The size of the factor determines the amount by which the strategy index leverages the daily price change in the underlying. Leverage Products with Knock-Out Knock-Out Warrants Like Warrants, Knock-Out Warrants also provide leveraged exposure to rising (call) and falling (put) prices in an underlying. Knock-Out Warrants track the movements of the underlying on a one-to-one basis. This largely eliminates the impact of volatility. If the knock-out barrier is breached, investors generally lose all their invested capital. 8 The structured products market in Germany Product classification

9 DERIVATIVE SECURITIES INVESTMENT PRODUCTS Without Capital Protection ( <100 % ) With Capital Protection (100 %) Capital Protection Products with Coupon Uncapped Capital Protection Certificates LEVERAGE PRODUCTS Reverse Convertibles Credit Linked Notes Express Certificates Discount Certificates Without Knock-Out Tracker Certificates Bonus Certificates Warrants Outperformance / Capped Outperformance Certificates With Knock-Out Knock-Out Warrants Factor Certificates The structured products market in Germany Product classification The Derivatives League: DDV s product classification 9

10 Market performance since 2004 Development of the structured products market in Germany since December 2004 (in EUR billion) D M J S D M J S D M J S D M J S D M J S D M J S D M J S D M J S D M J S D M J The structured products market in Germany Market performance

11 Market performance during the course of the year Development of the structured products volume in Germany since June 2013 (in EUR billion) Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Market volume for 17 issuers (16 issuers to March 2014) 2013 Estimate for market as a whole 2014 The structured products market in Germany Market performance 11

12 Market volume by product category in June 2014 Category Market volume Market volume adjusted for price changes Number of products 000 in % 000 in % # in % Investment Products Uncapped Capital Protection 11,489, ,464, , Certificates Capital Protection Products 39,983, ,960, , with Coupon Credit Linked Notes 4,241, ,229, Reverse Convertibles 6,850, ,896, , Discount Certificates 4,279, ,281, , Express Certificates 4,530, ,545, , Bonus Certificates 2,603, ,590, , Tracker Certificates 4,812, ,764, , Outperformance / 94, , Capped Outperformance Certificates Other investment 897, , products without capital protection 79,782, ,724, , Leverage Products Warrants 674, , , Constant Leverage 249, , , Certificates Knock-Out Warrants 737, , , ,661, ,732, , Total 81,444, ,457, ,044, The structured products market in Germany Market volume by product category Other investment products without capital protection 1.1 % Bonus Certificates 3.2 % Credit Linked Notes 5.2 % Discount Certificates 5.3 % Express Certificates 5.6 % Tracker Certificates 5.9 % Reverse Convertibles 8.4 % Uncapped Capital Protection Certificates 14.1 % Knock-Out Warrants 0.9 % Warrants 0.8 % Constant Leverage Certificates 0.3 % Outperformance and Capped Outperformance Certificates 0.1 % Capital Protection Products with Coupon 49.1 %

13 Market volume by underlying in June 2014 Category Market volume Market volume adjusted for price changes Number of products 000 in % 000 in % # in % Investment Products Indices 14,340, ,291, , Equities 17,750, ,821, , Commodities 1,099, ,058, , Currencies 102, , Interest rates 45,710, ,674, , Investment funds 778, , ,782, ,724, , Investment products by underlying Investment funds 1.0 % Commodities 1.4 % Indices18.0 % Equities 22.2 % Currencies 0.1 % Interest rates 57.3 % Leverage Products Indices 614, , , Equities 811, , , Commodities 176, , , Currencies 39, , , Interest rates 19, , , Investment funds ,661, ,732, , Leverage products by underlying Currencies 2.4 % Interest rates 1.2 % Commodities 10.6 % Equities 48.8 % Indices 37.0 % Total 81,444, ,457, ,044, The structured products market in Germany Market volume by underlying 13

14 Market volume by risk category in June 2014 Market volume of investment and leverage products by risk category Market volume in percent Risk category 1 Risk category 2 Risk category 3 Risk category 4 Risk category 5 Each structured product can be assigned to a risk category ranging from 1 (conservative) to 5 (speculative). At the end of June 2014, 95 percent of all the structured products purchased by investors were in the defensive risk categories 1 and 2. Their exposure to market risk is therefore lower than in the case of equities and most equity and property funds. May 2014 June 2014 Sources: EDG Risk Report and DDV market statistics, 7 July The structured products market in Germany Market volume by risk category

15 Market volume by risk category in June 2014 Comparison of risk categories for equities and equity-based structured products Market volume in percent Risk category 1 Risk category 2 Risk category 3 Risk category 4 Risk category 5 The risk associated with many structured products is often much lower than that of the underlying equities. The EDG Risk Report charts the distribution of equity-based structured products across the different risk categories in terms of volume and compares the results with the distribution of risk for the corresponding underlyings. Over three quarters of all structured products by volume are invested in risk categories 1 and 2, while the corresponding underlyings can be found in risk categories 2 to 5. Underlying equities Equity-based structured products Sources: EDG Risk Report and DDV market statistics, 7 July 2014 The structured products market in Germany Market volume by risk category 15

16 Market share by market volume of investment and leverage products Investment and leverage products Market share by market volume in percent Issuer June 2014 March 2014 Difference Deutsche Bank Helaba DZ BANK Commerzbank HypoVereinsbank LBBW BayernLB UBS RBS Société Générale HSBC Trinkaus BNP Paribas NordLB Vontobel WGZ BANK Goldman Sachs Citi BNP Paribas 1.4 % NordLB 1.3 % HSBC Trinkaus 1.4 % Société Générale 2.2 % RBS 2.5 % UBS 2.5 % Bayern LB 3.7 % LBBW 9.3 % HypoVereinsbank 10.0 % Vontobel 1.2 % WGZ BANK 1.2 % Goldman Sachs 0.9 % Citi 0.3 % Deutsche Bank 18.1 % Helaba 15.7 % DZ BANK 14.8 % Commerzbank 13.6 % 16 The structured products market in Germany Market share by market volume

17 Market share by market volume of investment products Investment products Market share by market volume in percent Issuer June 2014 March 2014 Difference Deutsche Bank Helaba DZ BANK Commerzbank HypoVereinsbank LBBW BayernLB UBS RBS Société Générale NordLB HSBC Trinkaus BNP Paribas WGZ BANK Vontobel Goldman Sachs Citi HSBC Trinkaus 1.3 % NordLB 1.3 % Société Générale 2.1 % RBS 2.5 % UBS 2.5 % BayernLB 3.8 % LBBW 9.5 % HypoVereinsbank 10.2 % BNP Paribas 1.2 % WGZ BANK 1.2 % Vontobel 1.2 % Goldman Sachs 0.9 % Citi 0.1 % Deutsche Bank 18.0 % Helaba 16.0 % DZ BANK15.0 % Commerzbank13.3 % The structured products market in Germany Market share by market volume 17

18 Market share by market volume of leverage products Leverage products Market share by market volume in percent Issuer June 2014 March 2014 Difference Commerzbank Deutsche Bank DZ BANK BNP Paribas HSBC Trinkaus Citi Société Générale UBS RBS Vontobel HypoVereinsbank Goldman Sachs LBBW Helaba WGZ BANK BayernLB NordLB Vontobel 3.7 % RBS 3.8 % UBS 4.8 % Société Générale 6.0 % Citi 6.2 % HSBC Trinkaus 6.4 % BNP Paribas 6.5 % DZ BANK 8.0 % HypoVereinsbank 3.0 % Goldman Sachs 2.5 % Commerzbank 26.2 % Deutsche Bank 22.9 % 18 The structured products market in Germany Market share by market volume

19 Number of investment and leverage products Number of products from June 2013 to June 2014 Month Structured investment products Structured leverage products with capital protection without capital protection without knock-out Uncapped Capital Protection Certificates Capital Protection Products with Coupon Credit Linked Notes Discount Certificates Express Certificates Bonus Certificates Tracker Certificates Reverse Convertibles Outperformance / Capped Outperformance Certificates Warrants Constant Leverage Certificates with knock-out Knock-Out Warrants Jun , , ,287 2, ,307 4,455 1, ,943 1, , ,450 Jul , , ,217 2, ,075 4,458 1, ,629 1, ,839 1,029,453 Aug , , ,638 2, ,278 4,512 1, ,411 1, ,271 1,081,345 Sep , , ,170 2, ,341 4,500 1, ,226 1, ,668 1,013,786 Oct , , ,199 2, ,326 4,360 2, ,264 1, ,453 1,094,386 Nov , , ,773 2, ,313 4,154 3, ,910 1, ,879 1,147,962 Dec , , ,984 2, ,364 4,123 2, ,928 1, ,327 1,043,638 Jan , , ,154 1, ,888 3,892 2, ,409 1, ,908 1,167,998 Feb , , ,075 1, ,994 4,091 2, ,198 1, ,133 1,205,303 Mar , , ,850 1, ,447 4,097 2, ,687 1, ,641 1,118,081 Apr , , ,041 2, ,038 4,115 2, ,621 2, ,891 1,161,241 May , , ,648 2, ,862 4,167 2, ,554 2, ,322 1,191,110 Jun , , ,658 1, ,323 4,207 2, ,579 2, ,161 1,096,079 Total Jun , , , ,161 1,096, , ,309 The structured products market in Germany Number of investment and leverage products 19

20 Trading turnover by exchange Trading turnover June 2012 to June 2014 Stuttgart Exchange Frankfurt Exchange Stuttgart Exchange Frankfurt Exchange 000 Number of orders 000 Number of orders 000 Number of orders 000 Number of orders June ,369, ,136 1,357, ,741 June ,243, ,000 1,214, ,472 July ,434, ,458 1,251, ,378 July ,011, ,461 1,114, ,608 August ,479, ,738 1,270, ,799 August ,193, ,696 1,225, ,416 September ,476, ,251 1,434, ,431 September ,102, ,459 1,215, ,109 October ,175, ,803 1,175, ,572 October ,441, ,327 1,332, ,821 November ,192, ,541 1,232, ,550 November ,486, ,367 1,271, ,708 December ,715, , , ,408 December ,173, ,284 1,215, ,757 January ,628, ,887 1,543, ,871 January ,127, ,403 1,748, ,300 February ,468, ,237 1,311, ,300 February ,343, ,275 1,415, ,142 March ,242, ,696 1,237, ,937 March ,524, ,708 1,577, ,275 April ,472, ,856 1,400, ,601 April ,232, ,110 1,202, ,055 May ,504, ,557 1,476, ,268 May ,093, ,100 1,078, ,597 June ,243, ,000 1,214, ,472 June ,950, ,928 1,009, , The structured products market in Germany Trading turnover by exchange

21 in 000 5,000,000 4,500,000 4,000,000 3,500,000 3,000,000 2,500,000 2,000,000 1,500,000 1,000, ,000 0 J J A S O N D J F M A M J Stuttgart Exchange 2012 to 2013 Stuttgart Exchange 2013 to 2014 Frankfurt Exchange 2012 to 2013 Frankfurt Exchange 2013 to 2014 The structured products market in Germany Trading turnover by exchange 21

22 Exchange turnover by product category from January to June 2014 Category Total exchange turnover Change on July to December 2013 Market share Number of orders Change on July to December 2013 Market share 000 % % 000 % % Investment Products Uncapped Capital 326, , Protection Certificates Capital Protection 542, , Pro ducts with Coupon Credit Linked Notes 115, , Reverse Convertibles 1,203, , Discount Certificates 4,110, , Express Certificates 439, , Bonus Certificates 3,022, , Tracker Certificates 1,880, , Outperformance / 86, , Capped Outperformance Certificates 11,726, , Leverage Products Warrants 3,111, , Constant Leverage Certificates 1,382, , Knock-Out Warrants 6,085, ,268, ,580, ,000, Total 22,307, ,481, Uncapped Capital Protection Certificates 1.5 % Express Certificates 2.0 % Capital Protection Products with Coupon 2.4 % Reverse Convertibles 5.4 % Faktor Certificates 6.2 % Tracker Certificates 8.4 % Credit Linked Notes 0.5 % Outperformance / Capped Outperformance Certificates 0.4 % Knock-Out Warrants 27.3 % Bonus Certificates 13.6 % Warrants 13.9 % Discount Certificates 18.4 % 22 The structured products market in Germany Exchange turnover by product category

23 Exchange turnover by underlying from January to June 2014 Category Total exchange turnover Change on July to December 2013 Market share 000 % % Investment Products Indices 5,014, Equities 5,632, Commodities 281, Currencies 5, Interest rates 255, Investment funds 44, Other 493, ,726, Leverage Products Indices 6,819, Equities 3,070, Commodities 424, Currencies 188, Interest rates 70, Investment funds Other 7, ,580, Total 22,307, Investment products by underlying Interest rates 2.2 % Commodities 2.4 % Other 4.2 % Indices 42.8 % Leverage products by underlying Currencies 1.8 % Commodities 4.0 % Equities 29.0 % Investment funds 0.4 % Equities 48.0 % Interest rates 0.7 % Other 0.1 % Indices 64.5 % The structured products market in Germany Exchange turnover by underlying 23

24 Market share by exchange turnover of investment and leverage products Issuer Exchange turnover First half of Market share in % Exchange turnover First half of Market share in % Difference in % 1 Deutsche Bank 6,007, ,214, Commerzbank 4,421, ,083, DZ BANK 1,679, ,796, BNP Paribas 1,655, ,540, UBS 1,234, ,410, HSBC Trinkaus 1,096, , Citigroup 1,092, , Vontobel 1,052, , RBS 753, ,034, Goldman Sachs 669, ,239, HVB / Unicredit 664, , Société Générale 615, , LBBW 409, , Lang und Schwarz 190, , Helaba 143, , LBB 111, , ING Bank 95, , Credit Suisse 72, , Deka Bank 52, , Raiffeisen Centrobank 45, , Issuer Exchange turnover First half of Market share in % Exchange turnover First half of Market share in % Difference in % 21 WGZ BANK 30, , BayernLB 25, , Merrill Lynch 21, , Barclays 18, , Leonteq 18, , Erste Bank 17, , ETI Securities 16, Morgan Stanley 13, , SecurAsset 12, , Santander GBM 11, , Erste Abwicklung 10, Interactive Brokers 9, , SEB 6, , JP Morgan Chase 5, , DWS GO 4, , Goldstein Structured 4, Products 37 Own issue 3, , AGV 3, Other issuers 9, , Total 22,307, ,745, The structured products market in Germany Market share by exchange turnover

25 LBBW 1.8 % Société Générale 2.8 % HVB / Unicredit 3.0 % Goldman Sachs 3.0 % RBS 3.4 % Lang und Schwarz 0.9 % Helaba 0.6 % LBB 0.5 % Other issuers 2.3 % Deutsche Bank 26.9 % Vontobel 4.7 % Citigroup 4.9 % HSBC Trinkaus 4.9 % UBS 5.5 % BNP Paribas 7.4 % Commerzbank 19.8 % DZ BANK 7.5 % Deutsche Bank was ranked first in terms of exchange turnover. Commerzbank followed in second place. DZ BANK occupied third place. BNP Paribas came fourth, and UBS fifth. These five issuers together accounted for two-thirds of the exchange turnover for the first half of the year. The structured products market in Germany Market share by exchange turnover 25

26 Market share by exchange turnover of investment products Issuer Exchange turnover first half of 2014 Exchange turnover first half of Market share in % 000 Market share in % Difference in % 1 Deutsche Bank 3,264, ,259, Commerzbank 1,793, ,163, DZ BANK 1,068, ,255, BNP Paribas 1,003, , HSBC Trinkaus 644, , Vontobel 588, , UBS 587, , Goldman Sachs 480, ,041, Société Générale 425, , LBBW 409, , HVB / Unicredit 308, , RBS 286, , Helaba 143, , Citigroup 126, , LBB 111, , Lang und Schwarz 103, , Credit Suisse 72, , Deka Bank 52, , Raiffeisen Centrobank 33, , WGZ BANK 30, , Other issuers 194, , Total 11,726, ,947, The structured products market in Germany Market share by exchange turnover

27 LBB 0.9 % Citigroup 1.1 % Lang und Schwarz 0.9 % Credit Suisse 0.6 % Helaba 1.2 % Deka Bank 0.4 % RBS 2.4 % HVB / Unicredit 2.6 % LBBW 3.5 % Société Générale 3.6 % Raiffeisen Centrobank 0.3 % WGZ BANK 0.3 % Other issuers 1.7 % Deutsche Bank 27.8 % Goldman Sachs 4.1 % UBS 5.0 % Vontobel 5.0 % HSBC Trinkaus 5.5 % BNP Paribas 8.6 % Commerzbank 15.3 % DZ BANK 9.1 % The structured products market in Germany Market share by exchange turnover 27

28 Market share by exchange turnover of leverage products Issuer Exchange turnover First half of 2014 Exchange turnover First half of Market share in % 000 Market share in % Difference in % 1 Deutsche Bank 2,743, ,954, Commerzbank 2,628, ,920, Citigroup 965, , BNP Paribas 652, , UBS 647, , DZ BANK 611, , RBS 466, , Vontobel 463, , HSBC Trinkaus 451, , HVB / Unicredit 356, , Société Générale 189, , Goldman Sachs 189, , ING Bank 91, , Lang und Schwarz 87, , Raiffeisen Centrobank 12, , Interactive Brokers 9, , Erste Bank 7, , Eigenemission 3, , Barclays Bank 1, , Leonteq , Other issuers , Total 10,580, ,797, The structured products market in Germany Market share by exchange turnover

29 ING Bank 0.9 % Goldman Sachs 1.8 % Société Générale 1.8 % HVB / Unicredit 3.4 % HSBC Trinkaus 4.3 % Lang und Schwarz 0.8 % Raiffeisen Centrobank 0.1 % Interactive Brokers 0.1 % Erste Bank 0.1 % Deutsche Bank 25.9 % Vontobel 4.4 % RBS 4.4 % DZ BANK 5.8 % UBS 6.1 % BNP Paribas 6.2 % Commerzbank 24.8 % Citigroup 9.1 % The structured products market in Germany Market share by exchange turnover 29

30 Performance of structured products The Deutscher Derivate Verband (DDV), the German Derivatives Association, supports the initiative of the European Derivatives Group (EDG AG) to publish indices for Uncapped Capital Protection Certificates, Bonus Certificates and Reverse Convertibles. The indices show the average performance of popular categories of structured products using a representative selection of products, so allowing direct comparisons with the performance of other financial products. This gives investors a transparent measure of how a particular type of structured product has performed in comparison to a direct investment. The movements of the indices for the various structured product categories in the first half of 2014 are shown alongside the EURO STOXX 50 equity index for comparison. This stock index is the most popular underlying in terms of the number of customer orders and volumes invested. 30 The structured products market in Germany Performance of structured products

31 Performance of Uncapped Capital Protection Certificates Capital Protection Index 1,150 Price (indexed) 1,100 1,050 1, January February March April May June July 2014 EURO STOXX 50 Capital Protection Index Retail investors who invest in Uncapped Capital Protection Certificates can rest assured that they are always on safe ground. Whether the underlying goes up or down, these more defensive investors will at least receive their original sum back at maturity. Since it was launched in 2006, the Capital Protection Index has performed considerably better than the EURO STOXX 50, with an annual return of 3.25 percent as compared with minus 1.29 percent. Source: EDG All indices for the various categories of structured products are protected by copyright. They may not be duplicated, distributed, reprinted or circulated in any other way without the express written permission of the EDG. The structured products market in Germany Performance of structured products 31

32 Performance of Reverse Convertibles Reverse Convertibles Index Price (indexed) 1,150 1,100 1,050 1, January February March April May June July 2014 EURO STOXX 50 Reverse Convertibles Index Regular interest payments on Reverse Convertibles ensure that investors continue to receive a steady income even in times of poor stock market performance. They also cushion any losses. However, investors only profit to a limited extent from upward movements in the equity markets; if the reference price is equal to or exceeds the strike price, the investor receives the nominal amount at maturity. Since it was launched in January 2009, the Reverse Convertibles Index has achieved an annual return of 5.74 percent, while over the same period the EURO STOXX 50 achieved an annual return of 4.49 percent. Source: EDG 32 The structured products market in Germany Performance of structured products

33 Performance of Bonus Certificates Bonus Index 1,150 Price (indexed) 1,100 1,050 1, January February March April May June July 2014 EURO STOXX 50 Bonus Index Bonus Certificates show their strengths mainly when the price of the underlying moves sideways or rises or falls only slightly. However, if the underlying rises very sharply they cannot generally keep up with its price trend. Since it was launched in January 2006, the Bonus Index has generated an average annual return of 1.93 percent. In the same period, the EURO STOXX 50 recorded a loss of 1.29 percent. Source: EDG The structured products market in Germany Performance of structured products 33

34 The structured products market in Europe As an investment class, structured products are a very recent phenomenon. Europe s first-ever structured product was a Tracker Certificate based on the DAX, the German blue-chip equities index. It was issued in Germany in Therefore, it should come as no surprise that the German structured products market is one of the biggest in Europe alongside the Swiss structured products market. The volume of structured products bought by investors is increasing in other countries, too, especially in Austria, Italy, France and Sweden. The respective associations in these countries also belong to the European Structured Investment Products Association (EUSIPA), the sector s European umbrella organisation.

35 EUSIPA the European umbrella association EUROPEAN STRUCTURED INVESTMENT PRODUCTS ASSOCIATION Board of Directors General Assembly The European Structured Investment Products Association (EUSIPA) acts as the voice of the structured products sector in Europe. Its main focus is on structured securities such as certificates and warrants. EUSIPA works to bring about an attractive and fair regulatory framework for these financial products. The European umbrella association maintains close links with European policymakers and European securities regulators on every aspect of structured products. It provides expert advice and opinions. EUSIPA responds to initiatives of the European Parliament and regulatory proposals of the Commission. It sets out the sector s position on all issues that could have a significant impact on the European structured products sector. SETIPA Swedish Exchange Traded Investment Products Association Reinhard Bellet President of EUSIPA Roger Studer Vice-President of EUSIPA Walther Almquist SETIPA Jan Erftemeijer NEDSIPA Thibault Gobert AFPDB Dr Hartmut Knüppel DDV Dario Savoia ACEPI Jürg Stähelin SVSP Frank Weingarts ZFA Walther Almquist SETIPA Mag. Heike-Dietlind Arbter ZFA Jan Erftemeijer NEDSIPA Thibault Gobert AFPDB Klaus Oppermann DDV Dario Savoia ACEPI Roger Studer SVSP Secretary General Thomas Wulf, EUSIPA The structured products market in Europe EUSIPA 35

36 EUSIPA Derivatives Map Europe s structured products sector associations have reached agreement on a joint system for classifying and numbering structured investment products and leverage products. The result of this consultation is the EUSIPA Derivatives Map. Although the map is rather more detailed than the German Derivatives League, the main categories of the league nevertheless match those of the European product classification system. Europe Austria France Germany Italy Sweden Switzerland 1 Investment Products 1 Anlageprodukte 1 Prod. D'investissement 1 Anlageprodukte 1 Prodotti di investimento 1 Investeringsprodukter 1 Anlageprodukte 11 Capital Protection Products 11 Anlageprodukte mit Kapitalschutz 11 Prod. à Capital Garanti à l échéance 11 Anlageprodukte mit Kapitalschutz 11 Prodotti a capitale protetto 11 Kapitalskyddade produkter 11 Kapitalschutz 1100 Uncapped Capital Protection 1100 Kapitalschutz Zertifikate 1100 Capital Garanti 1100 Kapitalschutz Zertifikate 1100 Equity protection senza cap 1100 Kapitalskydd utan maxnivå 1100 Kapitalschutz-Zertifikat mit Partizipation 1110 Exchangeable Certificates 1110 Wandel-Zertifikat 1120 Capped Capital Protected 1120 Equity protection con cap 1120 Kapitalskydd med maxnivå 1200Discount-Zertifikat 1130 Capital Protection with Knock-Out 1140 Capital protection with Coupon 1199 Miscellaneous Capital Protection 12 Yield Enhancement Products 1199 Weitere Anlageprodukte mit Kapitalschutz 12 Anlageprodukte ohne Kapitalschutz 1199 Autres produits à Capital Garanti à l échéance 1130 Kapitalskydd med knock-out 1140 Strukturierte Anleihen 1140 Kapitalskydd med kupong 1199 Weitere Anlageprodukte mit Kapitalschutz 12 Produits de Rendement 12 Anlageprodukte ohne Kapitalschutz 1199 Altri prodotti a capitale protetto 12 Prodotti a capitale non protetto e condiz. prot Blandade Kapitalskyddade produkter 12 Avkastningsförbättrande instrument 1130 Kapitalschutz mit Knock-Out 1140 Kapitalschutz-Zertifikat mit Coupon 1199 Weitere Kapitalschutz- Zertifikate 12 Renditeoptimierung 1200 Discount Certificates 1200 Discount-Zertifikate 1200 Discount 1200 Discount-Zertifikate 1200 Discount 1200 Maxcertifikat 1200 Discount-Zertifikat 1210 Barrier Discount Certificates 1210 Discount-Zertifikat mit Barriere 1220 Reverse Convertibles 1220 Aktienanleihen 1220 Reverse Convertibles 1220 Aktien- / Indexanleihen 1220 Omvänd konvertibel 1220 Reverse Convertible 1230 Barrier Reverse Convertibles 1240 Capped Outperformance Certificates 1250 Capped Bonus Certificates 1230 Reverse Convertibles knock-in 1240 Sprint 1240 Sprint-Zertifikate 1240 Outperformance con cap 1250 Bonus Cappés 1250 Bonus con cap 1260 Express Certificates 1260 Express-Zertifikate 1260 Express-Zertifikate 1260 Express 1260 Autocall / Expresscertifikat 1299 Miscellaneous Yield Enhancement 1299 Autres produits de Rendement 36 The structured products market in Europe EUSIPA Derivatives Map 1230 Autokupong / Omvänd 1230 Barrier Reverse konvertibel med barriär Convertible 1260 Express-Zertifikat 1299 Blandade avkastningsförbättrande 1299 Weitere Renditeoptimierungs-Zertifikate instrument

37 Europe Austria France Germany Italy Sweden Switzerland 13 Participation Products 13 Produits de Participation 13 Deltagandeinstrument 13 Partizipation 1300 Tracker Certificates 1300 Index- / Partizipations- Zertifikate 1310 Outperformance Certificates 1310 Outperformance- Zertifikate % ( % Bear) 1300 Index- / Partizipations- Zertifikate 1310 Outperformance- Zertifikate 1300 Benchmark 1300 Trackercertifikat 1300 Tracker-Zertifikat 1310 Outperformance senza cap 1310 Tillväxtcertifikat 1310 Outperformance- Zertifikat 1320 Bonus Certificates 1320 Bonus-Zertifikate 1320 Bonus 1320 Bonus-Zertifikate 1320 Bonus senza cap 1320 Bonuscertifikat 1320 Bonus-Zertifikat 1330 Outperformance Bonus Certificates 1310 Bonus-Outperformance- Zertifikat 1340 Twin-Win Certificates 1340 Twin Win 1340 Twin Win 1340 Winwincertifikat 1340 Twin-Win-Zertifikat 1399 Miscellaneous Participation 1399 Weitere Anlageprodukte ohne Kapitalschutz 13 Autres produits de participation 1399 Weitere Anlageprodukte 1399 Altri prodotti a cap non 1399 Blandade deltagandeinstrument oh. Kapitalschutz (< 100 %) protetto e condiz. prot Weitere Partizipations- Zertifikate 2 Leverage Products 2 Hebelprodukte 2 Prod. à effet de levier 2 Hebelprodukte 2 Prodotti a leva 2 Hävstångsinstrument 2 Hebelprodukte 21 Leverage Products without Knock-Out 21 Hebelprodukte ohne Knock-Out 21 Sans barrière désactivante 21 Hebelprodukte ohne Knock-Out 21 Prodotti a leva senza knock-out 21 Hävstångsinstrument utan stopp-loss 2100 Warrants 2100 Optionsscheine 2100 Warrants 2100 Optionsscheine 2100 Covered warrant 2100 Warranter 2100 Warrant 2110 Spread Warrants 2110 Cappés & Floorés 2110 Spread warrant 2110 Spread Warrant 2199 Miscellaneous Leverage without Knock-Out 22 Leverage Products with Knock-Out 2199 Weitere Hebelprodukte ohne Knock-Out 22 Hebelprodukte mit Knock-Out 2199 Autres prod. de levier sans barrière désactivante 22 Avec barrière désactivante 2199 Weitere Hebelprodukte ohne Knock-Out 22 Hebelprodukte mit Knock-Out 2199 Altri prodotti a leva senza knock-out 22 Prodotti a leva con knock-out 2199 Blandade hävstångsinst. utan stopp-loss 22 Hävstångsinstrument med stopp-loss 2200 Knock-Out Warrants 2200 Knock-Out Produkte 2200 Turbos 2200 Knock-Out Produkte 2200 Turbo 2200 Knock-Out warranter 2200 Warrant mit Knock-Out 2210 Mini-Futures 2210 Turbos illimités / infinis 2100 Mini future 2100 Mini Future 2100 Mini-Future 2230 Double Knock-Out Warrants 2299 Miscellaneous Leverage with Knock-Out 23 Constant Leverage Products 2300 Constant Leverage Certificate 2399 Miscellaneous Constant Leverage Products 2299 Weitere Hebelprodukte mit Knock-Out 23 Produkte mit konstantem Hebel 2230 Stability Warrants 2299 Autres produits de levier avec barrière 23 Prod. à effet de levier constant 2299 Weitere Hebelprodukte mit Knock-Out 23 Produkte mit konstantem Hebel 2299 Altri prodotti a leva con knock-out 2299 Blandade hävstångsinst. med stopp-loss 23 Instrument med konstant hävstång 2300 Faktor-Zertifikate 2300 Leverages & Shorts 2300 Faktor-Zertifikate 2300 Bull & Bear Certifikat 2300 Constant Leverage- Zertifikat 2399 Weitere Produkte mit konstantem Hebel 2399 Autres produits à effet de levier constant 2399 Weitere Produkte mit konstantem Hebel 2399 Blandade instrument 2099 Weitere Hebelprodukte med konstant hävstång The structured products market in Europe EUSIPA Derivatives Map 37

38 Market volume in Europe according to EUSIPA classification Investment and leverage products by product category in June 2014 (in EUR million) Germany Austria Switzerland EUSIPA 1 Investment Products 11 Capital Protection 51,472 44, Yield Enhancement 15,661 57, Participation 7,511 41, Various 5,139 2,880 79,783 12, , ,818 2 Leverage Products 21 without Knock-Out with Knock-Out Constant Leverage Various 1, ,171 12,920 Total 81,445 12, , ,738 In Germany, Austria and Switzerland the outstanding volume at the end of June 2014 was EUR billion. The market volume of investment products at the end of the second quarter of 2014 was EUR billion, while EUR 12.9 billion was invested in leverage products. 38 Structured products market in Europe Market volume in Europe

39 Market volume in Europe by country and quarter Investment products by quarter (in EUR million) Leverage products by quarter (in EUR million ) 250, , , ,000 50, ,000 12,500 10,000 7,500 5,000 2, Q2 Q3 Q4 Q1 Q2 Austria 12,900 12,600 12,500 12,300 12,400 Germany 86,886 85,877 84,196 84,512 79,783 Switzerland 124, , , , ,635 Total 224, , , , , Q2 Q3 Q4 Q1 Q ,154 1,287 1,497 1,581 1,662 12,102 6,754 11,820 10,712 11,171 13,333 8,129 13,405 12,380 12,920 Structured products market in Europe Market volume in Europe 39

40 Exchange turnover in Europe according to EUSIPA classification Exchange turnover in Europe from January to June 2014 (in EUR million) Germany France Italy Netherlands Austria Sweden Switzerland EUSIPA 1 Investment Products 11 Capital Protection Yield Enhancement 5, , Participation 4, , Various , , ,201 6,590 22,267 2 Leverage Products 21 without Knock-Out 3, with Knock-Out 6,086 1, Constant Leverage 1, , Various 73 10,581 2,847 10,569 4, ,338 5,440 37,549 Total 22,308 3,069 12,972 4, ,539 12,030 59, The structured products market in Europe Exchange turnover in Europe

41 Exchange turnover in Europe by country and quarter Investment products by quarter (in EUR million) Leverage products by quarter (in EUR million) 15,000 25,000 12,000 20,000 9,000 15,000 6,000 10,000 3,000 5, Q2 Q3 Q4 Q1 Q2 H1 Netherlands Austria France Italy ,185 1,162 1,241 2,403 Sweden ,201 Switzerland 4,446 2,615 2,745 4,272 2,318 6,590 Germany 6,858 6,057 6,519 6,559 5,167 11,726 Total 13,013 10,098 11,169 12,884 9,383 22, Q2 Q3 Q4 Q1 Q2 H1 2,195 1,943 1,947 2,682 2,082 4, ,564 1,507 1,459 1,616 1,231 2,847 3,263 2,934 3,557 5,185 5,384 10,569 1,410 1,303 1,451 1,841 1,497 3,338 3,355 2,558 2,593 3,015 2,425 5,440 4,454 3,806 4,465 6,180 4,400 10,580 16,247 14,055 15,476 20,526 17,023 37,548 The structured products market in Europe Exchange turnover in Europe 41

42 DDV in brief The Deutscher Derivate Verband (DDV), the German Derivatives Association, is the industry representative body of the leading issuers of derivative securities in Germany. It represents approximately 90 percent of the German structured products market. The DDV serves as a political interest group in Berlin and Brussels. The association was established on 14 February 2008 and has offices in Berlin, Brussels and Frankfurt am Main. Political communication The active exchange of opinion with political decision-makers and supporting legislative initiatives count among the key tasks of the association. The DDV is a point of contact for politicians in all matters concerning the structured products industry; offering its expert knowledge, it actively contributes to the shaping of political opinion in both Germany and Europe. In addition, the association conducts intensive discussions with the regulatory authorities such as the Federal Financial Supervisory Authority (BaFin), the European Securities and Markets Authority (ESMA) and the International Organization of Securities Commissions (IOSCO). Media and public relations The DDV s media and public relations activities involve providing information on important aspects of the structured products market. The DDV provides comprehensive information for journalists, multipliers in the fields of politics and business, and individual investors. At the same time, there is always considerable interest in the Association s events, which act as a forum for the exchange of news and views. Other responsibilities The Association aims to improve the protection available to investors and to increase the transparency and comprehensibility of the sector s products. Together with its members and sponsoring members, the DDV strives to implement new standards across the sector. 42 Deutscher Derivate Verband DDV in brief

43 Members and sponsoring members Members Sponsoring Members As at: 30 June 2014 Deutscher Derivate Verband Members and sponsoring members 43

44 Board of Directors Management Stefan Armbruster is Managing Director at Deutsche Bank AG, responsible for the distribution and marketing of investment certificates and warrants. Jan Krüger is Head of the Retail Clients division at LBBW and is responsible for product management and the distribution and marketing of structured products and debt instruments to retail customers. Klaus Oppermann is Head of Public Distribution in the Corporates & Markets division at Commerzbank AG. He is responsible for the public distribution of securitised derivatives in Germany and other European countries. Dr Hartmut Knüppel is Chief Executive Officer and a Member of the DDV s Board of Directors. He is also a Member of the Board of EUSIPA, the sector s European umbrella association. Lars Brandau holds the position of Managing Director at the DDV. As Head of the Frankfurt Office, he is primarily responsible for the association s media and public relations activities. Christian Vollmuth also holds the position of Managing Director. As Head of the Berlin Office, he deals mainly with the legal and regulatory issues of the Association. Grégoire Toublanc is Head of Exchange Traded Solutions at BNP Paribas and is responsible for the distribution and marketing of structured products. Dr Hartmut Knüppel is CEO and Member of the Board of Directors at the Deutscher Derivate Verband (DDV). He has previously served in various roles in politics and industry. 44 Deutscher Derivate Verband Governing bodies

45 Strategic Board Dr Jürgen Amendinger UniCredit Bank AG Deputy Global Head of Private Investor Products Global Head of Corporate Investment Products Frank Burkhardt Société Générale S. A. Head of Global Markets Germany and Austria Serge Demolière Landesbank Berlin Member of the Board of Management Lars Hille DZ BANK AG Member of the Board of Managing Directors Philip Holzer Goldman Sachs International Partner Rainer Krick Helaba - Landesbank Hessen-Thüringen Member of the Board of Directors Torsten Murke BNP Paribas S. A. Head of Corporate and Investment Banking Michael Reuther Commerzbank AG Member of the Board of Managing Directors Carola Gräfin von Schmettow HSBC Trinkaus & Burkhardt AG Member of the Management Board Dirk Schmitz Deutsche Bank AG Managing Director Head of Coverage Germany & Austria Roger Studer Vontobel Group Head of Investment Banking Stefan Winter UBS Deutschland AG Member of the Executive Board Deutscher Derivate Verband Governing bodies 45