ENGLISH

Fixed Coupon Note: High Returns And Low Risk

By Rajiv Aggarwal

Book information

Publisher
World Scientific Publishing Co
Year
2020
ISBN
9789811225031, 9789811225048, 9789811225055, 9811225036
Language
english
Format
PDF
Filesize
9 MB (8978783 bytes)
Pages
172\172
Library
Mobilism
Time added
2021-10-30 03:00:38

Description

Equities are generally perceived to be more volatile than fixed income investments. Many risk averse investors are unable to digest the daily ups and downs in the prices of equities. They also feel that, from a historical perspective, equities are overpriced and thus are not comfortable taking equity positions at current valuations. On the other hand, global interest rates have been on a decline from the 1970s when inflation was finally under control by central banks. This decline in interest rates means that investors have to live with lower nominal returns. Since the Global Financial Crisis of 2008, many investors have been feeling left out of the equity markets. Fixed Coupon Notes (FCNs) are quasi-equity and quasi-bond structures which aim to provide higher returns than bonds with lower risks compared to equities. Moreover, they also provide an avenue to enter equities at reasonable prices and acceptable valuations. Being the most popular structured product in Asia, there is sufficient institutional experience about the product. This book aims to provide the basics as well as the nuances of investing in FCNs so that an investor not only understands the concepts behind the product, but is also able to avoid common pitfalls. CONTENTS Foreword Preface Acknowledgements About the Author Chapter 1 What is Fixed Coupon Note (FCN) DATES PARTIES WHY ARE FCNS POPULAR VALUATIONS OF EQUITIES VALUATIONS OF BONDS PERFORMANCE OF A 60:40 PORTFOLIO EXPECTED RETURNS FEATURES OF FCNS INITIAL DATE AND PRICE SETTLEMENT DAY ISSUER AUTOCALL FREQUENCY AND LEVEL FINAL VALUATION DATE MATURITY DATE DENOMINATION SETTLEMENT TYPE SECONDARY MARKET LEVERAGE CURRENCY INITIAL PRICE CORPORATE ACTION Chapter 2 Options Basics WHERE ARE OPTIONS TRADED CASH FLOW FOR AN OPTION TRADER OPTIONS BASICS AND FCNs BACK TO OPTIONS BASICS VOLATILITY HISTORICAL VOLATILITY VERSUS IMPLIED VOLATILITY EUROPEAN OPTION VERSUS AMERICAN OPTION Chapter 3 How to Construct a Fixed Coupon Note (FCN) STOCK SELECTION ACCEPTABLE PRICE TECHNICAL ANALYSIS DIVIDEND SHARE BUYBACK IMPLIED VOLATILITY A NOTE ON VIX CHARACTERISTICS OF VOLATILITY VOLATILITY TERM STRUCTURE VOLATILITY SKEW VOLATILITY SURFACE CORRELATION A NOTE OF CAUTION AUTOCALL FEATURE COUPON BARRIER QUALITY OF THE ISSUER CURRENCY QUARTERLY RESULTS FCN VERSUS LISTED PUT OPTION HOW TO IMPROVE THE STRIKE FOR AN FCN Chapter 4 Performance Evaluation and Remedies USEFULNESS OF PRICING RISK MANAGEMENT TECHNICAL ANALYSIS RECOVERY NOTES DIGITAL NOTE BONUS COUPON NOTE CANCEL AND REBOOK (RESTRUCTURE) Chapter 5 Options — A Deeper Dive PUT-CALL PARITY Chapter 6 Perspective of the Issuer MONTE CARLO SIMULATION RISK MANAGEMENT OF THE ISSUER DELTA GAMMA THETA VEGA RHO DYNAMIC HEDGING Chapter 7 Variants of Fixed Coupon Notes (FCNs) EQUITY LINKED NOTE REVERSE CONVERTIBLE PHOENIX NOTE WITH MEMORY COUPON ATHENA DAILY RANGE ACCRUAL NOTE FCNS ON UNDERLYINGS OTHER THAN EQUITIES FCN ON LIBOR Chapter 8 Impact of Covid 19 turmoil on Fixed Coupon Notes (FCNs)

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