QA2017-39 - Granular details T04.00

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Feb 01, 2024
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QA2017-39

Question


What definition do you apply for structured/vanilla securities ? Do you think that taking HFTO accounting method is a good proxy?


Response


Vanilla securities are the basic, most standard versions of instruments, such as shares, bonds, swaps, etc. On the contrary, structured products are instruments in which the features of those vanilla products are transformed by derivative features beyond early reimbursement clauses (e.g. inflation linked features).