Products for private clients in periods of low and high volatility

For most private clients, the key in designing a structured product is the degree of protection affo...

For most private clients, the key in designing a structured product is the degree of protection afforded by it. This is the foundation from which structures are built within the prevailing pricing (volatility) environment of the target underlying exposure. Interest rates are the prime determinants of the level of protection, albeit that the underlying credit exposures, and the costs of good credits, are also vital. However, volatility can creep into the construction of the protection itself if a softer level of protection is acceptable (eg selling down- and-in puts); it provides extra val...