Locking in returns using quanto structured products

Hedges required to lock in performance on constant currency terms impact product pricing

Tim Mortimer, Future Value Consultants

These remain straitened times for investors in structured products, in which gains on investments can be wiped out by sharp moves in the underlying currency of their chosen product. Many Swiss investors, for example, were probably eyeing handsome gains on euro-denominated Euro Stoxx 50 autocallables in early January until the Swiss National Bank pulled the franc's peg to the euro without warning on January 15, prompting a 30% slump in the single currency's value against the franc.

Many investors

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