Analysis
The risks of tailoring credit default swaps
Credit portfolio managers could tailor credit default swap hedges as financial guarantees to avoid accounting mismatches on their balance sheet. However, the technique exposes credit hedgers to increased costs and basis risk, argues Dirk Schubert
US wrap: Issuance volumes soar with focus on Barclays reverse convertibles
The US market has picked up at the end of an otherwise modest week. Barclays leads the issuance with its reverse convertibles based on the financial sector
Market Analysis: Effective credit risk analysis
Market participants are conducting credit risk analysis on a growing number of counterparties, many of which are smaller, non-public and unrated firms, says S&P.
Market snapshot
Tim Mortimer of Future Value Consultants reviews the product preferences in the US and UK structured products markets
Half the loss
JP Morgan launched a two-year structured product based on property, homebuilding and financial institutions not long before the bankruptcy of Lehman Brothers. Capital was, of course, lost, but the cost would have been far greater on a direct investment
Barrier remains intact
The 50% barrier in the Investec Capital Protected FTSE 100 Income Plan 1 has remained in place since the launch of the product last year. Those opting for monthly or quarterly payments will have received their coupons, and the same looks likely for those…
Trade of the month: Secondary pricing and fair value
As with any competitive market, fee levels are influenced to a large degree by the market, since a product cannot normally hide high fees and appear competitive.
Balancing correlation
Credit Suisse is offering US investors a 5.5-year structured product that is based on a basket that is balanced by the inclusion of the iShares Barclays Tips Bond Fund ETF. As well as proving to have low volatility, the fund is not correlated to the…
Product performance
Based on the FTSE 100, this month FVC compares the virtues of three products structures common to the UK market that link to the FTSE 100
FVC Custom Indexes
In Europe, the income index is the best performer over the past six years when compared with the accelerated and protected variants. Not so in Japan, where the accelerated index tops the trio of indexes as best performing. In both regions, the protected…
