Questions tagged [structured-finance]
The structured-finance tag has no usage guidance.
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MBS Option Cost Thought Experiment
When one buys a mortgage backed security, one is long a straight bond and short a call option on that bond, with the option cost equaling the Z-Spread - OAS = Option cost.
Let us say that the Z-spread ...
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Can someone explain to me how equity linked autocallable notes are structured and why they're hedged with an autocallable swap OTC?
My basic understanding is that the note is constructed with a zero coupon bond where the discounted amount is used to fund the equity linked return but how does this work exactly?
Also, does the note ...
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Pricing of securitised (e.g. CLO) products
I am looking for any appropriate textbooks/references for the pricing of securitisations such as CLOs.
I am looking at a pool of underlying corporate loans (some bonds, some ammortising loans, ...
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Trading desk P&L analysis: why does it makes losses?
There is an invesment bank and the trading desk with negative cumulative P&L within some period of time (say, a 3-month one), and my common question why is it so?
The desk issues structured bonds ...
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How an invesment bank make money with structured notes? [closed]
Possibly even autocallable notes. Suppose we are an invesment bank, and sell the zero-bond plus the call option to the market. Thus we set up a structured product. As far as I know, such products can ...
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Can someone please suggest good books for Rates Structuring? [duplicate]
I am interviewing for with a bank for their Rates Structurer. Can someone please suggest literature I can go through.
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Zero Coupon Bonds for Structured Products
I'd like to find out how to calculate the level of a zero coupon bond that goes into a fully funded structured product. Let's say SocGen or JPM issue a 2Y fully funded structured note (zero coupon + ...
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This Structured Product Seems Too Good
The following 5 year, zero coupon, structured note, issued at par (full terms of which are available at EDGAR) is linked to the S&P500, but seems to be at least as good as the underlying in all ...
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What is "Call a Deal" in structured finance space?
There are couple triggers in a structured finance deal . like when pool balance fall blow to a certian ration ( or bond balance fall below to a certain ratio agaist original issuance balance.
But what ...
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Basic Autocall question
I'm pretty new in structured products area and I have some basics questions regarding autocall :
Why the autocall has an automatic redemption feature ? I mean an Investor could be interested in ...
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Does a barrier breach in a geared put structured note result in greater losses for the investor vs a plain knock in barrier?
I understand how knock in barriers work. But what do geared put in a structured note mean? My understanding is in a geared put vs a regular knock in barrier, the loss for the investor is higher if the ...
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What's the difference between a normal Autocall and a Phoenix Autocall?
I understand the structure of the autocall, how they're priced and their contingent coupons. What I'm not completely clear on is the difference between a "vanilla" Autocall and a Phoenix ...
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What book(s) would you recommend for structuring and pricing Exotic Products?
I've been looking for good books on structuring equity derivatives (Principal Protected Notes, Autocalls, Lookbacks, Reverse Convertibles etc). I only found ones that discuss mainly the theoretical ...
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Can you predict MTM gain or losses on future contract?
I am working on a structured product where I am investing some percentage of invested amount in futures contract. I have created a bull put strategy and I will calculate the delta positions of that ...
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What is the typical work-flow and skills/techniques required for someone working on Structuring Products?
Are there any Portfolio Optimization techniques (Markowitz, Prospect Theory, etc...), valuations and derivatives hedging techniques? What is a typical workflow and what should one master?
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Why do some principal-protected notes reset the gains to zero?
I was looking through the principal-protected notes issued by Lehman Brothers. One of them was the "100% Principal Protection Absolute Return Barrier Notes Linked to the S&P 500 Index". The ...
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Once the client buys a structured product, what does the trader do?
These are simple questions, i know what is a structured product and how you price it but i'm a bit confused regarding the process.
Let's say client buys a simple product for 1Y, guaranteed capital ...
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Should the targeted rate of return stay the same regardless of the currency?
I work for a european company which invests mostly in the euro zone but also in the UK. I'm in charge with calculating the hurdle rate targeted for these investments.
The internal guidelines are for ...
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International Baccalaureate - Balance Sheet Format [closed]
I would like to transform Tesla's balance sheet (https://www.nasdaq.com/symbol/tsla/financials?query=balance-sheet) into the IB-balance sheet format (see below).
In the current assets section, is it,...
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S. Bossu's Correlation Swaps Model
I am reading Sebastien Bossu's "A new Approach For Modelling and Pricing Correlation Swaps" (link). I am recalling some of the definitions from the paper and would like to understand how to prove one ...
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How to hedge x gamma in callable prdc?
How do you hedge the short rates - fx cross gamma in a callable PRDC (Power Reverse Dual Currency note) ?
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Is there a quantitative definition of a Quiet, Moderate or Accelerate market conditions?
i know the StdDev price technical indicator which is the standard deviation but this one has an absolute value.
The market conditions are:
Quiet: lower oscillation of price around a constant ...
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Structured product with coupons
What kind of structured product has the following payout?:
Guaranteed capital at maturity $T$
It pays a coupon at time $t$ equal to
$$C_0\sum_{i=1}^{\infty}\max(S(t)/S(t-1)-1-C_1 i;0)$$
with $C_0,...
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Structured product sellers and div swaps
From a Barclays primer on dividend swaps:
We note that for shorter periods of time, implied dividends can be more volatile than spot as dividends often trade away from ...
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FX: PRDC (Power Reverse Dual-Currency Notes): key risks and callability
Can anyone tell me more about PRDC products. I've heard it is a popular product among Japanese investors. One popular product is the 10Y BRL/JPY paying a coupon of 20%*PerfFX-15% with callable options ...
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Total market size of structured products
Is there any number or estimate for the total notional in structured products in the market? I could only find figures for Germany.
What about across categories? I.e. Equity linked notes, index ...
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Borrower, platform, SPV relationship with borrower payment dependent notes?
As you know, real estate crowd funding platforms are taking off at the moment. Platforms connect investors to real estate assets. I am having an issue with understanding how exactly borrower payment ...
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Current big topics in quantitative finance for a research paper? [closed]
I am a final year student in quantitative finance. To get my degree, I need to write a research paper (approx. 50 pages) about any quantitative financial topic.
After getting my degree I would like ...
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Just how transparent are CDOs?
Not sure if this belongs here on on money SE.
Just how transparent are CDOs? Would the ultimate investor have insight into the underlying collaterals or just an overall tranche rating? Has ...
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Where can I find exercises on building a project finance spreadsheet?
I'm looking for a set of exercises that teach how to build a project finance spreadsheet.
I accept there may be no typical project finance, but there are a lot of principles are shared in common ...
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What SABR $\beta$ to use for EURIBOR swaption smiles
I am currently wrapping up my thesis. My final chapter is on applying the SABR model model for pricing purposes. I am valuing a constant maturity swap by replicating its value using plain vanille ...
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How are prices calculated for commercial/residential mortgage-backed securities?
What is the theoretical/mathematical basis for the valuation of [C]MBS and other structured finance products? Is the methodology mostly consistent across different products?
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