France: 96% of maturities deliver positive yields, three percent return capital loss

SRP reviewed more than 1,000 products maturing or expiring early in France during 2022.

France: historical performance of structured products (2017 - 2022)

A recent study conducted by Structured Retail Products (SRP) focusing on the French market found that 96% of all products that matured – or were redeemed early – generated positive returns for investors in 2022.

SRP analysed more than 1,000 products that delivered an average annualised return of 6.9% during 2022, slightly down from the previous year (2021: 7.7%).

The average term to maturity was 1.9-years, while more than 75% of products paid out a return of above five percent, against 85% in 2021. Three percent of the analysed products had a negative capital return.

Autocalls made up 82% of all maturing products in the period. They ran for an average term of 1.5- years and produced an average annualised return of 8.0%, compared to 8.1% in 2021. More than two-thirds of autocalls delivered an annualised return equal to or above six percent.

Structures that matured organically returned on average 2.3% pa. The 1,011 products that were analysed collected an estimated €12.5 billion ($13.2 billion) during their initial subscription. Approximately €3.2 billion was invested in 271 products that delivered annualised returns of between six and eight percent while a further €4.7 billion was tied in 240 products which returned annualised coupons of between four and six percent.

Some 49 products worth an estimated €200m provided annualised returns of more than 15%.

The average annualised return for maturing products during the past six-years is 6.2% with a low of 5.7% seen in 2018 and a high of 7.7% in 2021. The highest median return, at seven percent, was registered in 2022.

The highest average annualised returns, at 8.50%, came from products linked to a decrement index (2021: 7.7%), which were responsible for 17% of the redeemed notional. Their call rate was 31%, similar to products linked to a single stock and those linked to benchmark indices (30% and 27%, respectively), and their average duration was 1.28-years.

The outperformance of the decrement-linked products was due to the higher concentration of indices exposed to the oil and energy sectors which were performance standouts in 2022.

One such product was Performance Oil and Gas Janvier 2021

IF, a 10-year autocall which was issued via Société Générale and linked to the iStoxx Europe 600 Energy ex Coal GR Decrement 50 EUR Index. It offered an early redemption coupon of 9.85% per quarter, and duly obliged on 4 January 2022 – at the first time of asking – returning 139.40% after just one-year.

Products linked to benchmark indices, which collected 39% of the redeemed notional delivered a coupon of 4.65% pa on

France: market share & annualised return by underlying type

average and products linked to a worst-of basket of stocks returned 7.44% pa. The latter included Athéna Daily sur Panier Worst of Juin 2022, another product from Société Générale, which was linked to the shares of Stellantis and BNP Paribas and returned 132.5% of the nominal invested after just six months.

Certi Plus Advanced New, which was issued on the paper of BNP Paribas, was one of 242 reviewed products on a single stock that held 10% of the notional invested. It was linked to the share of Tesla and returned 136.10% after one-year.

Ninety percent of analysed products sat in the yield enhancement category. They claimed 75% of the notional in 2022 and delivered an average annualised coupon of 7.29%. Returns for capital protected products and credit-linked notes (3.88% and 2.65% pa, respectively) were also positive, but participation products fared less well during the year, returning -1.07% on average.

France: annualised return by underlying type

The highest call ratio was seen at the beginning of the year, with 39% of all autocall products redeeming early in January. For most of 2022, the trend was downward, with an absolute low reached in October when just three percent of all autocalls saw their knockout feature triggered.

However, since then markets have picked up, with the call ratio for December at six percent – a growth which has continued in the new year (January 2023: 18%).

The returns shown do not take into account management fees in the case of a life insurance or investment contract, or custodial fees in the case of an investment in a securities account. In addition, returns exclude entry/arbitration fees in the case of a life insurance or investment contract, as well as the subscription fee in the case of an investment in a securities account and social and tax levies.