Autocallables
Demand for ESG structured notes spells hedging pain for banks
As products linked to niche equity indexes grow in popularity, banks grapple with vol risk they pose
Sales of China’s snowball notes fall
Issuers point to tighter equity index basis and recent regulator warning over marketing of snowballs
Citi turns to decrement indexes for single-stock autocalls
US bank claims new Stoxx indexes for 23 single names will slash hedging costs and boost coupons
The volatility paradigm that’s stirring up options pricing
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
Structured products house of the year: Credit Suisse
Risk Awards 2021: private bank tie-up provided vital risk-sharing outlet for Covid volatility
Review of 2020: chaos on a roll
Vanishing liquidity, the Ronin collapse, XVAs – the pandemic wreaked havoc in risk transfer markets
Asia’s private wealth giants shift gears to market-neutral
With interest rates low, structured product investors bypass capital-protected products for market-neutral strategies
Time to rethink Korean structured products
New battle lines are being drawn in Korea’s structured products market
Differential machine learning: the shape of things to come
A derivative pricing approximation method using neural networks and AAD speeds up calculations
Autocalamity: can hit product be reinvented?
Spreads on ‘worst-of’ bonds leap 50% as some dealers retreat and others pile on hedges
Derivatives house of the year, Asia ex-Japan: UBS
Asia Risk Awards 2020
SocGen mulls sale of structured product books after big losses
Rival Natixis also plans to place parts of its equity derivatives business in run-off mode
Pressure grows on structured products as losses mount
Dividend-related losses at BNP Paribas may be higher than previously reported
How axed dividends left SocGen in a €200 million hole
Collapse in equity trading revenues prompts rethink of autocall hedging
Does rates reform for structured notes lack structure?
Philipp Orgler and Vladimir Piterbarg say it’s time to focus on Ibor transition for structured notes
Autocalls hit peak vega, where hedging costs mount
Eurostoxx and Nikkei losses flip structured product dealers into painful short vol territory
Korea autocallables under threat from draft rules
Autocallable volumes could suffer as mis-selling fallout spreads to equity-linked structures
Equity derivatives house of the year: Bank of America
Risk Awards 2020: Focus on risk spurred invention and made space for $2 billion Natixis deal
Structured products house of the year: Societe Generale
Risk Awards 2020: Volumes slumped across the Street; SG used Japanification theme to unlock demand
Deutsche to sell exotic equity derivatives portfolio
Structured trades go on the block following last month's sale of flow and prime broking assets
Asia exotics desks eye forward vol as corridor variance wilts
Forward-starting options offer discounted vol to hedge funds as dealers recycle autocall risk
House of the year, South Korea: Hana Financial Investment
Asia Risk Awards 2019
Asia structured products house of the year: Societe Generale
Asia Risk Awards 2019
Equity derivatives house of the year: UBS
Asia Risk Awards 2019