Autocallables
House of the year, South Korea: Hana Financial Investment
Asia Risk Awards 2019
Asia structured products house of the year: Societe Generale
Asia Risk Awards 2019
Equity derivatives house of the year: UBS
Asia Risk Awards 2019
Structured products – The ART of risk transfer
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
Natixis defers €120 million of trade profits in H1
French bank builds valuation reserve by 41% year-on-year
UBS introduces smart contracts for structured products
Swiss bank aims to tackle shrinking margins by automating workflows and cutting trade processing costs
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
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
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
The interplay between stochastic volatility and correlations in equity autocallables
Study shows issues with pricing autocallables using SLV
Eurostoxx dislocations signal autocall hedging pain
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
Natixis’s €260m hit blamed on big books and Kospi3 product
Rivals say French dealer grew business too quickly – with leveraged version of Korean index one source of pain
Structured product platforms take off in Asia
Multi-dealer platforms Contineo and FinIQ seek to replicate success in Europe’s fragmented market
Knocking out corridor variance
Amine Ahallal and Olaf Torne add a knock-out barrier to the standard corridor variance swap
Equity vol strategies get defensive
Floored short funding legs and long vega worked in latest US selloff, dealers claim
Korea autocall dealers brace for losses but no 2015 repeat
Traders dampen fears of hedging wipeout despite 20% drop in HSCEI underlying index
Trade war threatens Korea autocall losses
Dealers warn of $240 million in hedging losses if HSCEI index slides further
Asia Risk Interdealer Rankings 2018: The winners
Societe Generale and BGC top the tables