Чем опасны структурные продукты?

Накидаю несколько research papers на тему структурных продуктов (в частности, reverse convertibles):

TLDR: High-yield bond portfolio почти всегда оказывалось прибыльнее структурных продуктов, причем типичное отставание структурных продуктов ложится в диапазон от -5 до -30% (!)

• To examine if reverse convertibles offered risk-return benefits over high-yield bonds, we rolled over all one-year historical stress scenarios since 2006 and calculated the total return of hypothetical reverse-convertible and high-yield bond portfolios.
• Reverse convertible notes represent about 50% of the institutional structured-product market.
• In our analysis, we compare the performance of a hypothetical portfolio of 5-year high-yield bonds to that of a hypothetical portfolio of 1-year reverse convertible notes on the equities of the same bond issuers, over a one-year horizon.
• The strike of the reverse convertibles was set to 80% of the initial equity price, and their coupons correspond to the option premiums backed out from the implied volatility of the underlying equities.
• We rolled over all one-year historical stress scenarios between Nov, 2006 and Jun, 2019 (about 3,000 scenarios); and for each one, we calculated the total return of the two portfolios (including coupon payments, price return and redemptions). The difference between the total return of the reverse-convertible portfolio and that of the bond portfolio is the excess return we are measuring.
• The excess return is shown on the exhibit above as a function of the historical performance of the U.S. equity market (represented by the return of the MSCI USA Index) and that of the U.S. high-yield bond market (measured by the return of the iBoxx USD Liquid High Yield Index).
• Examining the historical stress scenarios, we can see a pattern emerge. Reverse convertibles tended to outperform high-yield bonds in scenarios with rising (or flat) equity prices accompanied by increasing bond yields, but the excess return remained under 7% for all scenarios. On the other hand, high-yield bonds outperformed reverse convertibles in the majority of stress scenarios, typically when stock prices and yields moved in opposite directions: e.g., during the 2008 financial crisis and recovery. In particular, historical scenarios in which stock prices and yields both rose tended to favor high-yield bonds, due to the limited return potential of reverse convertibles.

Reverse convertibles оставляют большой даунсайд риск, но при этом очень сильно обрезают положительный хвост распределения "хороших" доходностей, по сравнению с high-yield бондами.

• The exhibit also shows that excess returns extended deeply into the negative range, suggesting a heavily skewed distribution. Comparing the empirical return distribution of the two portfolios on the below historgram helps to explain this skewness. Even though reverse convertibles showed a higher loss potential than high-yield bonds, their return potential was conspicuously lower due to its capped nature. Factors that mitigate high-yield-bond risk (compared to reverse convertibles) include recovery on default (which limits the potential loss) and the fact that equity prices can plummet even if there is no significant increase in default probability.
• To summarize, our analysis suggests that reverse convertibles may have offered excess returns over high-yield bonds when stock markets were bullish and bond markets were bearish as illustrated in our investigation. At the same time, reverse convertibles’ limited upside potential is overshadowed by a disproportionately large downside risk, which penalized returns when market conditions became unfavorable.

ИСТОЧНИК: MSCI – Reverse Convertibles: Worth the Risk?
https://www.msci.com/www/blog-posts/reverse-convertibles-worth-the/01530117353

Во-первых, в мире всё таки существуют полезные структурные продукты - это долевое страхование жизни (unit-linked). Но в России ввиду особенностей страхового законодательства их нет, поэтому тот самый “консультант” точно не их вам предлагал. Работа с заграничной страховой компанией для жителя России обойдётся довольно дорого, так что об этом как-нибудь в другой раз.

Выглядит странным сравнение структурных продуктов как объекта для инвестирования (всякие ноты) и договоров unit-linked, которые являются "оболочкой" для инвестиционного счета, а не самостоятельным объектом для инвестирования. Мне кажется, это совсем из разных областей.

Будет интересно прочитать апологию unit-linked в отдельной статье, потому что я пока не видел хорошей защиты, зачем это вообще надо. Предполагаю, что у тебя будет обоснование по линии налогов для тех стран, где они крайне велики с инвестиционной прибыли.

Structured Products In the Aftermath of Lehman Brothers

TLDR: Анализ на примере структурных продуктов печально известных Леман Бразерс. Доходности этих продуктов были очень сильно ниже доходностей по облигациям банка и даже безрисковой ставки. Просто потому, что почти никто из покупателей не понимал, как их оценивать - поэтому туда зашивали просто произвольные гигантские комиссии. Понятно, что никакой компенсации за принятый на себя кредитный риск со стороны Лемана (который в итоге реализовался) покупатели структурок не получили.

• Our prior work showed that retail structured products were poor investments because they were significantly overpriced at the offerings and were at best thinly traded thereafter. The overpricing of these products is in part attributable to the fact investors were exposed to the credit risk of the issuing brokerage firms without adequate compensation. Overpriced structured products survived in the marketplace because structured products’ opaqueness obscured their true risks and costs and the high fees earned by underwriters and salespersons. The potential for high fees and commissions created strong incentives to develop and sell ever more complex variants of these inferior investments.
• We present a brief history of the structured products program at Lehman Brothers and illustrate many of our points with Lehman structured products examples. The spectacular failure of Lehman brothers in September 2008 left investors holding more than $18.6 billion face value of what had been previously sold as low risk investments but which were now worthless.
• Academic literature has shown that reverse convertible securities are significantly overpriced when issued, and that the issuing brokerage firms make substantial profits over issuing cost. For example, Hernandez, Lee and Liu (2007) estimate the average profit in the $45 billion reverse convertible notes market is 3% to 6% above issuing cost. Benet, Giannetti and Pissaris (2006) estimate the average actual coupon rates paid by issuers are 300-500 basis points lower than expected coupon rates. They also find that it is more profitable to issue reverse convertible notes linked to riskier stocks since the volatility risk is not fully compensated by higher coupon rates. Henderson and Pearson (2007) estimate that investors who purchased $2 billion of reverse convertible notes from Morgan Stanley from 2001 to 2005 paid on average 8% more than the securities’ true value.
• One way to evaluate Lehman Brothers’ structured products program is to estimate the implied yield on the structured products when offered. This is an estimate of the returns investors might earn comparable to the initial yield on a bond. It is also an estimate before issuance costs of Lehman’s implied funding costs. We have taken a large sample of Lehman’s structured products including 78 reverse convertible notes and 16 principal protected notes and estimated the implied yield for each note on the dates they were issued. The implied yield is defined as the discount rate that makes the present value of the future cash flows equal to the face value of the note. Figure 10 plots the implied yields for all 94 securities, along with the 5 year U.S. swap rate and Lehman Brothers’ corporate bond yield.
• First, none of the 94 structured products have implied yields greater than Lehman Brothers’ corporate bond yield. That is, Lehman issued unsecured notes and bonds with low effective yields to unsophisticated retail investors.
• Second, 13 of the 16 principal protected notes have implied yields very close to the risk-free rate. This is striking because the principal protection notes were unsecured. If Lehman Brothers declared bankruptcy, the holders of the principal protection notes would – and did – suffer substantial losses to their principal. In short, investors were earning the risk-free rate on an investment that carried a significant amount of default risk.
• Third, 76 of the 78 reverse convertible notes have implied yields less than the risk-free rate, and 73 of the 78 notes have negative implied yields. A negative implied yield means the investor can expect to lose money.

ИСТОЧНИК: Deng, Geng and McCann, Craig, 2009, “Structured Products In the Aftermath of Lehman Brothers”
https://www.researchgate.net/publication/256010626_Structured_Products_in_the_Aftermath_of_Lehman_Brothers

Structured Products Performance, Cost and Investments

TLDR: В годы, когда рынок акций хорошо перформил, структурные продукты давали положительную доходность. К кризисный для акций год большинство типов структурок повалилось на ~40% (только с защитой капитала дали отрицательный результат около -5%, но зато в другие годы они почти ничего не приносили). Авторы оценили TER таких продуктов на уровне от 0,3% до 1,7% и пришли к выводу, что их покупатели имеют сильно завышенные ожидания по их доходности и сильно заниженное представление о рисках.

• This paper provides the first comprehensive and representative analysis for Switzerland, based on more than 20,000 individual products and studying the period 2008–2014
• In most of the years considered, structured products performed well. In the period 2012–2014 some 80% or more of structured products generated positive returns. Depending on the category and year, these products generated median returns of between 5% and 15%, per annum implying that half of the products achieved this return or exceeded it. A particularly successful year was 2009 in which most medians were in the range of 19% to 31%. In all of these years, equity markets also performed well.
• Estimating the costs of structured products is difficult as some cost components are difficult to measure or are simply not known at issuance: Structured products are payment promises, contrary to the performance promises of funds. The trader has to guarantee the payment promise from issuance to the redemption date of the product. Therefore, the best known value of the costs is at the termination of the product, and uncertainty about the future value of risk parameters such as volatilities matters in terms of so-called risk management costs.
• Adding the risk management costs to the theoretical (model) price, which assumes that there are no market imperfections (such as bid-ask spreads) and for which crucial price parameters such as volatilities are constant, defines the “fair price” for the product components if they can be manufactured at zero production costs, if distribution is costless, and if the issuer targets zero profit. Risk management cost figures are not available publicly. An anonymous survey of major issuers in the Swiss market was used to estimate these costs.
• The authors refer to the difference between the issuance price and the fair price of components as the total expense ratio (TER). The TER equals the sum of the net margin and all production and distribution fees. A structured product’s TER mimics the TER of the fund industry, which provides a first step toward comparing these two different wrappings of investment ideas. The empirical analysis for the period April 2012 to April 2015 finds the following rounded median TERs (all figures are per annum): 0.3% for tracker certificates; 0.6% for capital protection certificates; 1% for bonus certificates; 1.4% for discount certificates; and 1.7% for barrier reverse convertibles.
• Investors in BRCs, TCs, DCs, and BCs fail in the aggregate to have a forecast view of the evolution of financial markets. They, again on average, did not foresee the most recent GFC or the European debt crisis in 2011. The losses from these products show that investors overestimated return expectations and underestimated risks.

ИСТОЧНИК: Maringer, Dietmar and Pohl, Walter, 2015, “Structured Products Performance, Cost and Investments”
https://www.researchgate.net/publication/281372695_Structured_Products_Performance_Costs_and_Investments