Back-to-back hedging is back on the table for autocall issuers
Deal activity is picking up as prop shops compete with hedge funds for structured products risk
Structured products issuers typically hedge the exotic risks of autocallable notes by slicing and dicing these exposures into bite-sized derivatives trades, such as dispersion and corridor variance swaps, that can be sold to sophisticated investors.
Now, they’re serving up the whole enchilada – offloading the full spectrum of exotic parameters associated with autocall exposure to buy-side clients
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