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.
US trading blunder costs Barclays £2.8bn in credit RWAs
The latest hit follows a £540 million provision to cover the over-issuance of structured notes
Platforms bring structured products to the masses
Simon, Luma and Halo fuel 80% rise in volume of structured investments in US
Volatile HSCEI spells vega misery for autocall issuers
Index in ‘peak vega’ peril despite Wednesday's 12.5% rebound
China stock slump hits snowball issuers
Sharp selloff in CSI 500 index threatens pain for local issuers of popular structured products
Structured products house of the year: Citi
Risk awards 2022: Future-proofing against jack-knife market moves gives US giant the edge with clients
Equity derivatives house of the year: JP Morgan
Risk Awards 2022: US dealer filled flow gaps with a little help from some robots
Autocalls in peril as Netflix breaches downside barriers
Options liquidity keeps hedging panic at bay as some investors double down on volatile tech stocks
B2C2 platform seeks to bring banks into crypto derivatives
By using a Japanese bank as intermediary, market-maker hopes to tap into growing trading demand from dealers
China regulation: the path clears slowly
Co-ordination among Chinese regulators has improved, but new data law shows continued tensions
EU offers reprieve for fund-linked derivatives trades
Banks hope FRTB draft allowing fund managers to supply standardised inputs will cut risk weights
JP Morgan returns to HK warrants hit by China sanctions
US bank faces battle to rebuild client base on sanctioned securities, issuers say
Three more issuers look to enter HK warrants market
Sources say Citic, KIS and Huatai preparing to launch warrants and CBBCs on HKEX
Demand for ESG structured notes spells hedging pain for banks
As products linked to niche equity indexes grow in popularity, banks grapple with vol risk they pose
Lack of quants dims chance of structured product boom in China
Quants in high demand as banks explore new products, and local rules call for onshore specialists
Sales of China’s snowball notes fall
Issuers point to tighter equity index basis and recent regulator warning over marketing of snowballs
Japan’s Libor-linked structured products face basis menace
Lack of readiness for compounded rates could sweep repacks onto synthetic Libor, creating swaps mismatch
Equity derivatives house of the year: BNP Paribas
Asia Risk Awards 2021
Structured products house of the year: Credit Suisse
Asia Risk Awards 2021
Podcast: Claudio Albanese on how bad models survive
Darwin’s theory of natural selection could help quants detect flawed models and strategies
Fractured Libor transition halts US structured rates switch
Issuance of non-Libor caps and floors dries up as lending markets mull array of credit-sensitive SOFR rivals
A Darwinian theory of model risk
An ex ante methodology is proposed to analyse the model risk pattern for a broad class of structures
UBS Asia-Pacific structuring head leaves bank
Felix Maratier to quit the industry and move to Spain
The arcsine law for quantile derivatives
A new pricing model for quantile-based derivatives, such as Napoleon options, is presented
Citi turns to decrement indexes for single-stock autocalls
US bank claims new Stoxx indexes for 23 single names will slash hedging costs and boost coupons