
Lehman to structure South Korean equity-linked securities
The securities will be linked to a basket of South Korean listed equities and offer investors the choice between 10% or 20% first-loss protection on downside market risk by embedding either a 100/90 put spread or a 100/80 put spread. The investor simultaneously sells call options on some of the stocks in the basket, using the premiums from the call options to fund the put spread. Investors still participate in the upside of around 70% of the stocks in the basket.
The three-year notes are aimed at domestic institutional investors. Samsung Securities and Goodmorning Shinhan Securities – two out of six securities firms that received OTC derivatives licences following liberalisation of the country’s OTC derivatives market last July – will issue and sell the securities.
LG Investment and Securities, Daewoo Securities, Hana Securities and Dongwon Securities also hold OTC derivatives licences.
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Derivatives
Alarm over gas futures market’s ongoing flight to OTC
Worries focus on potential for hidden systemic risks and lack of accessibility for smaller firms
Eurex-LCH basis hits new highs amid rates vol
10-year price gap spikes to 4bp as 30-year whipsaws; Eurex gauge indicates stable flow balance
Bank ALM crisis leaves FX hedgers with steeper roll costs
Spreads on EUR/USD forwards jumped more than fourfold in past two weeks
Hacked off: banks demand answers after Ion cyber attack
Clients left in the dark about ransomware attack that disrupted futures trading last month
Mutual funds dump two-thirds of FX options positions in Q4
Counterparty Radar: Morgan Stanley Investment Management leads fall in volumes with big cuts to RMB trades
Emmi seeks to ditch ‘expert judgement’ in Euribor overhaul
Q3 consultation would centralise Level 3 submissions with administrator in bid to expand panel
High-frequency flap over CME’s Aurora data centre
FIA Boca 2023: Exchange group’s migration to Google’s cloud could render HFT networks redundant
Pimco nearly halves FX forwards book in Q4
Counterparty Radar: West Coast manager’s 45% cuts send Morgan Stanley to fifth place in dealer rankings