.@drewg__ imagine a structured product based around thishttps://twitter.com/TwitterDev/status/1461397501924319236 …
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Replying to @bookdepth
Could you make a structured note with this as the underlying index?
1 reply 0 retweets 2 likes -
Replying to @Tobin_Tweets
I doubt any bank would want to get on the other side of any trade based on closed source metrics they don't control but maybe I'm wrong, not much of an expert on this, believe
@ONAN_OUS would have an answer1 reply 0 retweets 5 likes -
Replying to @bookdepth @Tobin_Tweets
I was sent indicative terms on a note on a basket of SPACs, anything is possible mates
1 reply 0 retweets 8 likes -
Replying to @ONAN_OUS @Tobin_Tweets
There are some legal rules of what constitutes an index: an index provider, calc agent, and an index committee are part of it. Usually there’s a delay between the calculation of the new weights and their effective date. The dealer gets these weights and can replicate it easily
1 reply 0 retweets 4 likes -
Replying to @ONAN_OUS @Tobin_Tweets
One could use a custom basket, a static weighting of securities that is not rebalanced. A CB note could have the weights stray over time, so an index makes sense if it’s longer dated so it rebals. But that requires the whole indexification process to formalize
1 reply 0 retweets 3 likes -
Replying to @ONAN_OUS @Tobin_Tweets
Sometimes I think about my esoteric equity swap and structured product knowledge and how all those moments will be lost in time, like tears in rain
3 replies 0 retweets 20 likes
I’ve seen things you people wouldn’t believe … CDO^3 mezz tranches on fire off the shoulder of Lehman … I watched autocallables referencing an untraded basket of mutual funds glitter in the dark near the BNP Paribas Gate …
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