Autocalamity: can hit product be reinvented?

Spreads on ‘worst-of’ bonds leap 50% as some dealers retreat and others pile on hedges

There are cruel seasons in the structured products business. After each storm in the autocallable market – which made up roughly 60% of last year's issuance – there is a period of regret, review and renewal; models are tightened, products tweaked. And then the cycle begins again, driven by its own natural laws. Autocallables are too popular to avoid, and too complex to risk-manage perfectly.

For some dealers, the severity of this year’s losses might break that cycle.

“The interesting question

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: