Structured products
WHAT IS THIS? Structured products are investments that have multiple components. For retail investors, the most common form is a bond plus an option – these tend to be standardised, sold in small tickets and large volumes. Managing the risks of large structured products portfolios is one of the biggest challenges dealers face.
Can bankers stop the trading book killer?
FRTB won’t obliterate your whole markets business any more, just some very specific parts
Fund-linked structured products face extinction under FRTB
Global market risk capital standards carry sky-high charges for fund derivatives
China Minsheng and SocGen team up for quant index product
CMBC Macro 1 signal index attracts $580 million as investors adapt to products without performance guarantees
Banks rethink fund-linked trades ahead of FRTB
Some stop offering longer-dated structured products ahead of expected 2023 rules in EU
German CDS switch creates credit-linked note mismatch
Note issuers fear losses after relabelling of swap contracts creates subordination discrepancy
Korea tightens autocall oversight as local houses take on risk
Regulator sounds warning over $9 billion increase in structured product self-hedging by Korean firms
Natixis's VAR returns to earth after sale of autocallables
Average value-at-risk falls 35% from Q4 2018 high
Three firms plan to start issuing Hong Kong warrants
Morgan Stanley, Citi and Guotai aim to grab a share of fast-growing market
Podcast: Hong on quanto derivatives and Asia’s quant drought
Credit Suisse quant talks about new paper on valuing quanto options
The credit skew market’s surprise package
Mediobanca’s €1.6 billion in issuance makes small Italian investment bank a market titan
Meet Simon, Luma and Halo (they trade structured products)
Shiny new platforms want to introduce structured products to an unsuspecting US public
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
Autocall concentration weighs on dealers
Hedging headaches force issuers to seek new structured product blockbusters
SG offers won hedged indexes for Korean autocall clients
Local currency benchmarks cut forex hedging cost for clients and boost yields, bank says
Autocall dealers wary of Nikkei volatility surge
Dealers caught in danger zone as losses lurk on upside and downside spikes
Structured product holdings fall at big US dealers
Morgan Stanley's portfolio more than halves in 2018 to $401 million
Natixis said to offload a third of Korean structured book
BAML and BNP Paribas named as buyers in $2.5 billion notional sale of equity-linked securities
‘Imperfect hedge’ magnified equities slump at BNPP
US index loss, dislocations and weak demand produce worst equity trading results in a decade
Calling out autocallable pricing
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
Natixis sales exec leaves bank following €260 million hit
Nicolas Reille tried to bring his entrepreneurial spirit to the Asian equity derivatives market
Eurostoxx dislocations signal autocall hedging pain
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
Nomura plans more hires in equity derivatives, eyes China
Unit head also sees potential in Hong Kong listed market and in demand for bespoke products
Asia moves: Nomura boosts Asia ex-Japan, Bank of America picks two Apac co-heads, and more
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