Equity markets
JP Morgan debuts Alerian note using Bear licence
JP Morgan has launched a new exchange-traded note (ETN) linked to the Alerian MLP (master limited partnerships) Index. The bank acquired rights to the index following its purchase of ailing US investment house Bear Stearns 12 months ago, which previously…
Deutsche Bank queues up certificate listings in Poland
Deutsche Bank has filed to list the eighth series of its Express Notes on the Warsaw Stock Exchange (WSE). The certificates are linked to the domestic Wig 20 index, which tracks Polish equity performance, and should list within the next week.
Maybank launches autocall structured deposit
Malaysian distributor Maybank has launched its Autocall Structured Deposit (MASD) providing exposure to the Chinese equity market. The trade aims to participate in the recovery of a portfolio of stocks linked to China's infrastructure sector.
US Wrap: JP Morgan interrupts US equity whitewash with China note
In a day dominated by exposure to US equity, JP Morgan took investors in a different direction by offering a note linked to Chinese blue chip companies. The product is a two-year autocallable note linked to the iShares FTSE/Xinhua China 25 Index fund,…
US Wrap: Goldman Sachs appears as both issuer and underlying
Goldman Sachs issued three products into the US market yesterday using its own paper, while simultaneously appearing as the stock underlying for a reverse convertible launched by JP Morgan. Goldman unveiled three accelerated growth products, bringing the…
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US Wrap: JP Morgan turns to Europe for growth
JP Morgan has launched an accelerated growth product based on European exposure, as reverse convertible issuance eases off again. The structure, which links to the DJ Eurostoxx 50, is the first of its kind from any issuer this year, as the index…
US Wrap: Barclays continues reverse convertible momentum
Issuance surged in the US market yesterday as Barclays launched 22 reverse convertible notes, adding to the eight it launched yesterday. The new products represent a turnaround for the market, with total issuance for the week now at 55, already double…
SunTrust broadens exposure with deposit product
SunTrust Bank has launched a certificate of deposit (CD) for US investors which offers exposure to a World Basket of US, Japanese and European equity indexes. The five-year CDs pay a minimum fixed return of 3% at maturity, plus 100% of initial investor…
Shrinking dividends may be a mixed blessing
Implied dividends beyond 2009 remain at highly distressed levels, creating torment for dealers and hedge funds with dividend exposures, but providing opportunities for market participants elsewhere.
SG offers yen warrants to UK retail investors
Société Générale has listed 10 new FX-linked covered warrants on the London Stock Exchange. The warrants fluctuate in value according to the exchange rate between either the Japanese yen against sterling, or against the US dollar.
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Smile dynamics III
In two articles published in 2004 and 2005 in Risk, Lorenzo Bergomi assessed the structural limitations of existing models for equity derivatives and introduced a new model based on the direct modelling of the joint dynamics of the spot and the implied…
Gambling on dividends
Dividends have caused sizeable losses for dealers and investors over the recent months, as a precipitous fall in expectations has hit structured product issuers and those who participated in dividend swaps. Mark Pengelly investigates
