Nomura Reports Hedging Challenges Amid Growth in Structured Note Market

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Alex Micalizzi, Nomura’s international head of equity structured notes, reported challenges in hedging volatility as the US structured note market grew to a projected $300 billion this year from $200 billion previously. The surge in volume was driven by 'worst-of' autocallables tied to the S&P 500, Nasdaq, and Russell 2000, which created a virtuous cycle of…

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