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.
Structured products house of the year: Credit Suisse
Risk Awards 2021: private bank tie-up provided vital risk-sharing outlet for Covid volatility
Law firm of the year: Linklaters
Risk awards 2021: lawyers raced against time to draft fallback protocol vital to Libor transition
Haitong set for warrants wins as China sanctions hit US banks
China securities firm doubles HKEX warrant output as US banks pull listed products on vetoed names
Review of 2020: chaos on a roll
Vanishing liquidity, the Ronin collapse, XVAs – the pandemic wreaked havoc in risk transfer markets
Pricing multiple barrier derivatives under stochastic volatility
This work generalizes existing one- and two-dimensional pricing formulas with an equal number of barriers to a setting of n dimensions and up to two barriers in the presence of stochastic volatility.
Warrants proving a big opportunity for Asia private banks
While the products are booming amid fall-off in principal-protected structures, some distributors are missing out
China structured products could surge after QFII relaxation
Changes to market access scheme allow new hedging methods, but detailed guidelines still pending
TSE outage throws structured notes into tailspin
Trading shutdown on October 1 disrupted observation dates for some structured products
Time to rethink Korean structured products
New battle lines are being drawn in Korea’s structured products market
Autocalamity: can hit product be reinvented?
Spreads on ‘worst-of’ bonds leap 50% as some dealers retreat and others pile on hedges
As Covid‑19 impacts the autocallables business, solutions to navigate new challenges are crucial
With pandemic losses impacting derivatives activity, Murex’s MX.3 software solution for autocallables comes to the fore
SocGen’s Marc Saffon appointed Japan head of markets
Saffon replaces Arnaud Lhoste who returns to Europe
Revised FRTB deadline poses further challenges for Asia‑Pacific banks
Essan Soobratty, product manager for regulatory data, New York; Eugene Stern, global head of product, market risk, New York; and Vicky Cheng, head of government and regulatory affairs, Asia‑Pacific, Hong Kong, at Bloomberg explore the additional…
China Minsheng Bank MStar shines in volatile markets
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Top banks defer €1.6bn of profits on hard-to-value trades in H1
BNP Paribas set aside €532 million alone in H1
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
BNP tags €10bn of equity derivatives as hard-to-value
Over 12% of exposures classified as Level 3 at end-June
One-quarter of Libor FRNs to mature after benchmark’s death
One-third of outstanding notes issued out of non-Libor countries
Derivatives house of the year: Macquarie Group
Energy Risk Awards 2020: Firm’s wide commodities presence, physical and financial risk expertise and financing capabilities result in standout deals
Structured notes – Transforming risk into opportunities
Global markets have experienced a period of extreme volatility in response to acute concerns over the economic impact of the Covid‑19 pandemic. Numerix explores what this means for traders, issuers, risk managers and investors as the structured products…
Structured product losses weigh on Canadian G-Sibs
CDOs held by RBC lose C$369 million over three months
At systemic US banks, CLO holdings dip
Wells Fargo sees 15% sliced off the value of its portfolio
Ice swap rate adds safety net with Tradeweb quotes
Inclusion of dealer-to-client prices will boost publication rate in stress periods, IBA claims
Structured products are lost in translation post-Libor
Benchmark shift would “fundamentally transform” popular rates structures, users fear