Principal-protected notes continue to have appeal, with most interest allied to emerging markets exposure. As a recent example, Barclays issued a principal-protected note based on the MSCI emerging markets index with a five-year product with 100% participation in any rise in the index and 100% capital protection at maturity.

The rest of the recent issuance is small but varied, with reverse convertibles leading the way. Royal Bank of Canada recently issued one based on Research in Motion, a frequently used underlying.

The Reverse Convertible Notes linked to Research In Motion are four-month notes paying 15.6% annually. There is an 80% barrier, after which capital will be lost at the rate of 1:1. The product’s underlying is generally regarded lower-risk, which might partly explain its popularity as an underlying for reverse convertibles.