Range accrual notes
Rate-linked notes trigger ‘pain trade’ for dealers
Negative 2y30y US swap spread sees hedging costs for range accruals soar, fuelling more flattening
Podcast: Claudio Albanese on how bad models survive
Darwin’s theory of natural selection could help quants detect flawed models and strategies
Fractured Libor transition halts US structured rates switch
Issuance of non-Libor caps and floors dries up as lending markets mull array of credit-sensitive SOFR rivals
A Darwinian theory of model risk
An ex ante methodology is proposed to analyse the model risk pattern for a broad class of structures
Range accruals under spotlight as Taiwan prepares for FRTB
Taiwanese banks review viability of products offering options on long-dated rates
Dealers rush to redeem high-yielding structured notes
An estimated $60 billion of structured notes are at risk of being called before year-end
Remembering the range accrual bloodbath
Flatter US yield curve spurs demand for a product with a painful history
Risky notes replace easy money for exotics desks
Dealers insist ‘it’s different’ as flat US curve revives bonds that sank the Street in 2008
Korean insurers shun structured notes ahead of IFRS 9
Prospect of earnings volatility blamed as big buyers of notes turn to less exotic assets
Asian private bank clients switch to rate structures
Stock market falls steer clients away from traditional equity focus
FVC review: Morgan Stanley’s FTSE 100 range accrual
Issuer’s capital-at-risk product with quarterly coupons reviewed
Taiwan structured product issuance up 70% in 2013
Driven by stronger retail and corporate demand, the Taiwanese structured product market has seen a significant increase in activity
Catley Lakeman – ‘keeping the banks honest’
Catley Lakeman acts as a go-between for banks and asset management companies looking to buy their structured products. Vita Millers talks to founding partner Russell Catley
Gilliat Financial Services presents FTSE 100 range accrual to UK investors
Gilliat offers a step down