Analysis
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…
Distressed debt funds fail to attract inflows despite growth in distressed assets
An increase in the amount of distressed assets in the past two years has yet to boost inflows into distressed debt funds.
RMBS defaults still a worry for structured finance investors
Despite talk of economic recovery, structured finance investors in the US and Europe remain concerned about defaults and losses on RMBS deals, according to S&P research.
Towards a global valuation model
Banks use a variety of pricing models across business lines, creating discrepancies in the way various financial instruments are priced. But developments in high-throughput computing could lead to the possibility of a global valuation model, argue…
Capturing fat tails
Financial institutions are more aware of the risks posed by high-impact events since the crisis, but the question is how to encapsulate these in models. Zari Rachev, Boryana Racheva-Iotova and Stoyan Stoyanov discuss three approaches for capturing fat…
