Structured Products
154 white papers and resources
Below are a collection of structured products white papers which will show current thinking and modelling. Structured Products are designed to meet the financing requirements of companies beyond the remit of more conventional financial products. Generally offered by the large financial institutions, they are highly complex in nature and will be customised to meet specific risk-return objectives. Common structured products include collateralised bond obligations (CBOs), collateralised debt obligations (CDOs) and syndicated loans.
The Free Boundary SABR: Natural Extension to Negative Rates
This white paper describes one such extension of the widely used SABR model. We stress that our solution is more natural and attractive than the shifted SABR. An exact formula is derived for the option prices in the case of zero correlation between the rate and its volatility. For nonzero…
An introduction to the Russell UK Mid 150 Index
This paper describes the current state of UK mid-cap indexing and gives an overview of how the Russell UK Mid 150 Index will help provide larger capacity, quicker trading than of existing products in the marketplace.
Collateral Discounting: Rethinking the Interest Rate Pricing Framework from its Basic Concepts
This article examines how a swap portfolio’s value differs under the single and multi-curve approaches at four different snapshots in time―including pre-crisis, at the height of the crisis, post-crisis and today.
Lender market advisory: swap guarantees – keepwells and excluded obligations
Under analysis in this white paper are options for addressing in loan documentation the US Commodity Futures Trading Commission requirement that guarantors of swaps that are not entered into on designated contract markets must be "eligible contract participants".
Securitisation law reform: new perspectives for financing the Moroccan and wider African economy
Following the example of the most reliable and secure foreign legislations on securitisation, Morocco has modified its securitisation act n°33-06. Under discussion in this white paper is the impact upon companies and investors in Morocco and Africa.
Vietnam in focus: Investment companies, ETFs and REIFs
Vietnam recently introduced certain regulatory changes on foreign investors’ securities trading, and for the first time authorised the formation of securities investment companies (“investment companies”), exchange-traded funds (“ETFs”) and real estate investment funds (“REIFs”).
Sovereign debt contracts and the effects of recent case law on bondholders
Recent case law shows how sovereign debt contracts may impact bondholders if s sovereign has also issued bonds which are governed by a particular jurisdiction. This white paper discusses the outcome and implications.
Hong Kong moves forward with Islamic bond market
In October 2012, the Financial Services and the Treasury Bureau issued consultation conclusions concerning facilitating the development of an Islamic Bond Market in Hong Kong. This white paper set out some of the key proposals and implications for this development.
Project bonds - what is the outlook for infrastructure?
The infrastructure finance market transitioning. As the bank market for long-term finance continues to contract, market players are waiting to see how the new models develop. Under contention includes the mix of bond and bank finance, if projects are greenfield developments or debt refinancings.
Can index choice lead to new opportunities in Europe?
This white paper discusses the current state of European small-cap, mid-cap and SMID-cap indexing. It looks at how tracking errors can be reduced and correlations increased using a different choice of index.