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Structured Investment Solutions
AUGUST 2019
CORPORATE PROFILE
Market Securities LLP (“MSLLP”) was established in 2002 in strategic partnership with Kyte Broking Ltd, based on experience and knowledge gained throughequity derivatives and energy markets.
MSLLP is a fully independent intermediary owned by its founding partners who are dedicated to providing customers with first class broking services and actsas Appointed Representative of the Kyte Broking Ltd.
In 2013, the founders of MSLLP established Market Securities (Dubai) Limited (“MSD”) in the DIFC and in 2015 acquired Kyte Broking Limited.
Market Securities (Dubai) Limited (“MSD”) is regulated by the DFSA and authorised to deal in investments as well as advise on and arrange investments.
For the purpose of this profile, MSLLP and MSD will collectively be referred to as “Market Securities”.
Market Securities has offices in London, New-York, Paris, Geneva, Hong Kong and Dubai.
Market Securities has expanded its skill and experience to a variety of products and the business now covers multi-asset brokerage services on a range oflisted and OTC derivatives & securities.
Market Securities is today specializing in a broad range of financial products including Cash Equity, Equity Derivatives, Foreign Exchange, Futures & Options,Fixed Income, Interest Rates, Structured Products and Commodities markets.
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MARKET SERVICES
Execution
Market Securities provides execution services across a wide range of asset classes. The premier goal of Market Securities Brokerage Execution desk is to enhance our clients' fund performance by:
Providing aggregated and timely market information
Accessing the markets anonymously
Risk Management
Broker-Assisted Execution
Electronic Trading and DMA
Research
The Research & Analytics Team includes award winning professionals that have provided highly profitable strategies.
We offer our clients absolute performance strategies on equity markets and global indices.
We use our extensive experience in the asset management industry to bring absolute return strategies on:
Global Indices (including currencies, commodities and interest rates)
Equity Pair-Trades
Macro Pair-Trades
Single stocks and event driven strategies
Our Research Team provides a wide range of analysis :
Cash Equity
Fixed Income / IR
Commodities
FX
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ASSET CLASSES
Structured Products: Structured Solutions is a division dedicated to tailor-made investments and structured products for institutional clients and qualifiedinvestors.
Cash equities: Full equity trading execution in North America, Europe, Asia and some of Latin America, single stocks, basket / program trading, pairs, ETFs,switch trading.
Equity Derivatives: Our existing network of major interbank dealers and market-makers gives us access to the pool of liquidity that will provide our clientswith the best possible opportunities. We have teams in Single Stock Options, Index Derivatives, Delta One products and Exotics.
Fixed Income: Execution capabilities across EuroNext LIFFE, Eurex, CBOT/CBOE and CME fixed income derivative products, providing excellent liquidity forLIFFE and EUREX option products.
Exchange Traded Funds: Direct access to ETF creation and redemption with aggressive pricing on secondary market
Cash Bonds: The coverage is Sovereign and Corporates Bonds Europe, MEA, CIS, LATAM.
FX Options: Market Securities provides its customers with value added execution, trade ideas and research services on a variety of products ranging fromvanillas to exotics across most currency pairs. Clients have access to increased liquidity from a large network of market makers and dealers whilst protectingtheir anonymity via the CCP model.
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STRUCTURED SOLUTIONS
In-house structuring capabilities and cross-asset expertise
Partnering with major banks in development of customised indices
Independent approach with outsourced hedging
Bespoke investment solutions based on risk-return requirements
Market price optimisation via major trading desks
Efficient secondary market
Multi-geographical coverage
An independent financial engineering team specialising in the construction of bespoke investment solutions for
institutional clients.
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TRADE PROCESS
Structuration & Engineering
Choosing the right underlying/s based on the risk requirements
Choosing the right structure type
Calibrating the price based on the choice of issuers
Finding an appropriate and most efficient wrapper type
Research
Selecting Issuers
Drafting a Term Sheet
Putting chosen banks into competition to further reduce the costs
Checking the validity of the price
Issuance & Product Lifecycle Management
Hedging the product with an issuer/s
Working with issuer/s on wrapping the product
Delivering via Euroclear/Clearstream
Managing lifecycle of the product
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COMPREHENSIVE FACTSHEETS AND KFDs
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AUTOMATED INDEPENDENT PRICING TOOL
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AUTOMATED BACK-TESTING
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CUSTOM INDEX CAPABILITIES
✓ RationaleGrowth in semiconductors has been mainly driven by smartphones. Trends like artificial intelligence and autonomous vehicles willdrive growth that is expected to be bigger than smartphones. Rising manufacturing costs will put pressure on smaller chipmakers thus a more conservative investment strategy has to be developed.
✓ Definitions & Objectives
The Commerzbank MSDL Semi-Conductors 10% Risk Control Index (the “Index”) – a volatility target strategy index that represents the performance of the Commerzbank Semi-Conductor Basket Index(the “Sub-Index”), multiplied by a participation factor (P-Factor). The objective of the Index is the increase of the Sub-Index value with an adjusted level of risk.
The Commerzbank MSDL Semi-Conductor Basket Index (the "Sub-Index") is a rules-based index, which provides exposure to a fixed basket of 10 US Semi Conductor shares. The objective of the Sub-Index is to invest in an equally weighted basket of the 10shares (AVGO UQ, AMD UQ, INTC UQ, MXIM UQ, MU UQ, NXPI UQ, QCOM UQ, SWKS UQ, TXN UQ, XLNX UQ) calculated in USD where the net dividends are reinvested.
The P-factor is a multiplier, expressed as a percentage, depending on the daily realised volatility (the "Realised Volatility") of the Commerzbank MSDL Semi-Conductor Basket Index and a fixed risk control level of 10.00%. The risk control level indicates that if the realised volatility is below the risk control level, the P-factor exceeds 100%, and if the realised volatility is above the risk control level the P-factor falls below 100%. The P-factor ranges from 0% to a maximum of 200% and will be adjusted for each Index Calculation Date.
✓ Methodology
Stock Selection Criteria : Static basket
Re-Balance Frequency : None
Vol Target : 10%
Vol Window : 60 Days
Synthetic Dividend : 3.50%
Max Exposure : 200%
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CUSTOM INDEX CAPABILITIES
0.97
0.99
1.01
1.03
1.05
1.07
1.09
KEY INDICATORS:
❖ Annualised Volatility : 10.81%
❖ Annualised Performance : 7.98%
❖ Absolute Performance : 6.42%
❖ Sharpe Ratio : 0.49
❖ Max Drawdown : (6.29%)
PRICING:
❖ 2Y ATM CALL : 5.33%
❖ 3Y ATM CALL : 5.65%
❖ 5Y ATM CALL : 5.85%
❖ 7Y ATM CALL : 7.30%
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LIFE-CYCLE MANAGEMENT PLATFORM
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AUTOMATED PRODUCT REPORTING
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BLOOMBERG CONTRIBUTION
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GLOBAL MACROECONOMIC RESEARCH
Bloomberg’s Top Forecaster of the U.S. economy 2012, 2013, 2014, 2015 and 2016 (Christophe Barraud, Chief Economist)
Bloomberg’s Top Forecaster of the Eurozone economy in 2015 (Christophe Barraud, Chief Economist)
Daily: Macro Brief: Morning report which gathers the main macro news items that are likely to affect the markets (U.S., Asia and Europe).
Weekly Data Preview: A note that provides forecasts and comments by Christophe Barraud on American and European figures.
Diversified business lines and security of counterparty
Quarterly: Macroeconomic scenario: Presentation giving the views of the department on the world economy.
Occasional: Depending on the importance of certain events, the Research Department produces specific report (e.g. ahead of the U.S.
employment report, a central bank meeting, or at the time of risky situations such as the Greek crisis).
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STRUCTURED SOLUTIONS TEAM
Danny SkutelisHead of StructuredSolutions
Email:[email protected]
Pulkit SangalSenior Associate
Email: [email protected]
Danny Skutelis has started his
professional career at Goldman
Sachs in London in a Fixed
Income Currency and
Commodities department on a
Macro Issuance Desk, responsible
for new index and tracker funds.
Goldman Sachs was followed by
UBS in London where Danny has
started in Alternative Investment
Strategies and moved into sales
to Russia/CIS. After almost 4
years with UBS, Danny was asked
to join one of the biggest Inter-
Dealer Brokers in the world –
Tradition in order to set up a
Russia/ CIS desk for a hybrid-
engineering subsidiary of the
company called TFS Structured
Products. After a rapid expansion
in Russia, Danny has driven the
company into GCC by setting up
a desk in Dubai office of
Tradition. As of November 2015,
Danny has established a
Structured Solutions Desk at
Market Securities Dubai a hybrid-
engineering boutique.
Pulkit Sangal is a Senior Associate
within the Structured Solutions
team at Market Securities
Structured Solutions (part of
Market Securities Dubai Ltd)
covering Institutions across the
Middle East. He began his career
at Commerzbank AG in Dubai as
a member of the Equity Markets
& Commodities division
representing the Private Banks
Sales team in the GCC for 2 years.
In his role at Commerzbank, Pulkit
was responsible for providing
tailored Cross Asset Investment
Solutions to regional institutions.
Pulkit has resided in the Middle
East for over 20 years; his
qualifications include the
Chartered Alternative Investments
Analyst (CAIA) designation and an
undergraduate degree in
Economics from the Symbiosis
School of Economics in Pune,
India.
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Shafiq Said has joined the
Structured Solutions team in
2017 as a Quantitative Research
and Structuring Analyst to further
strengthen our proprietary
research and pricing capabilities.
Shafiq has started his career at
BnP Paribas Cardiff, followed by
Bank CACEIS in France. Shafiq has
earned a double Masters degree
in Finance from EM Lyon Business
School and Universite Paris Ouest
Nanterre La Defense in 2016.
Shafiq is currently involved in
structuration of proprietary index
strategies, dispersion and
volatility trades and hedging
solutions for our institutional
clients.
Nikita has joined Structured
Solutions team in June 2018 as an
Execution Analyst to strengthen
our execution and identify
arbitrage opportunities for our
clients. Nikita has started his
career as a fixed income and
currencies sales-trader at
Commerzbank AG in Dubai.
Nikita brings a multicultural
experience having lived and
studied in Europe. Nikita is a MSc
Finance degree holder from Cass
Business School in London. Nikita
is currently involved in origination
of new transactions across Asian
markets.
Liam has joined Structured
Solutions team in August 2019 as
a Deal Origination Manager. Liam
has over 25 years of banking and
finance experience gained in
London, Dublin and Dubai and
has held senior structuring and
dealing positions with Barclays
Capital, HSBC Global Markets,
Emirates NBD and Burgan
Wealth(DIFC). Liam’s
specialisation includes structured
products, derivatives, commercial
property investment, corporate
treasury and wealth management
solutions. Liam holds a Degree in
Business Studies, CIMA Certificate
in Islamic Finance and is a CFA
Charterholder.
Shafiq SaidQuantitative Research and
Structuring Analyst
Email: [email protected]
Nikita MiagkovExecution Analyst
Email: [email protected]
Liam Fraher
Deal Origination Manager
Email: [email protected]
SUMMARY
Independent and unbiased approach to structuration
Superior delivery of engineering, execution and risk management services
Efficient and creative multi-national team
Partnership approach with clients and flexibility to deliver tailored solutions
Diversified business lines and security of the counterparty
Unbiased Macroeconomic research and top-down investment strategies
Automated Back Testing and Stress Testing Capabilities
Automated Independent Pricing Tool for the Clients
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DISCLAIMER
This material was produced by Market Securities (Dubai) Limited (“MSD”), a company regulated by the Dubai Financial Services Authority (“DFSA”) (firmreference number: F002425), registered in the Dubai International Financial Centre with the company number of CL1474 and the registered address of UnitN2004 , Level 20, Emirates Financial Towers, Dubai International Financial Centre, Dubai, 506859, United Arab Emirates.
MSD is authorised by the DFSA to provide services to Professional Clients only as defined in the DFSA Conduct of Business Rulebook. Therefore, this presentation is intended only for Professional Clients and no other Person should act upon it.
Market commentary is not subject to any prohibition on dealing ahead of its dissemination to clients. The author of this communication may have discussed the information contained herein with others within MSD, and such other MSD personnel, associates or members may have already acted on the basis of this information (including by trading and communicating the information contained herein to other clients). MSD, MSD’s personnel, associates or members (including those with whom the author may have consulted in the preparation of this communication), and other clients may be long or short the financial instruments referred to, may have acquired such positions at prices and market conditions that are no longer available, and may have interests different or adverse to your interests.
This material is directed exclusively at market professionals and institutional investors and is not for distribution to retail clients, as defined by the rules of theDubai Financial Services Authority. Any investment services to which the material may relate will not be made available to such retail clients.
All of the views in this material about matters that include, without limitation, securities and companies, reflect the personal views of MSD staff. No part ofthese staff member’s compensation was, is, or will be directly or indirectly related to material contained herein.
The material in this report is for the general information of prospects and clients of MSD only. It does not take into account the particular investmentobjectives, financial situation or needs of individual prospects and/or clients. Any prices provided herein (other than those that are identified as historical) areindicative only and do not represent firm quotes as to either price or size. This material should not be construed in any circumstances as an offer to sell orsolicitation of any offer to buy any security or other financial instrument, nor shall it, or the fact of its distribution, form the basis of, or be relied upon inconnection with, any contract relating to such action.
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