Capital protected structured products on Russian market and their hidden costs
https://doi.org/10.55959/MSU0130-0105-6-58-3-3
Abstract
The research examines the estimation of structured products hidden costs on the Russian market. Hidden costs are calculated as a difference between the notional value of structured product and present value of all its components. The studies conducted on European structured products market prove that hidden costs decrease with expanding market and increasing number of issuers, but increase with growing sophistication of structured products. The sample consists of 174 structured products currently presented on the Russian market. There are capital protected notes with participation. The underlying assets are indexes, stocks, depositary receipts, stocks of funds or ETFs. We estimated the hidden costs of each of these products drawing on the methodology which divides invested capital into three parts: deposit that guarantees capital protection, call option to obtain a part of underlying asset growth and hidden costs. We argue that hidden costs by sample are higher than median hidden costs on European market. It could be explained by short period of Russian structured products market existence and low number of issuers. The results obtained could be used by regulators, structured products issuers, investors and all those interested in structured products.
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For citations:
Tkachenko M.V. Capital protected structured products on Russian market and their hidden costs. Moscow University Economics Bulletin. 2023;(3):44-67. (In Russ.) https://doi.org/10.55959/MSU0130-0105-6-58-3-3
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