Institutional investors

Interest rate swaptions — downside protection you can live with June 2011 Michael Thomas, CFA Head of Consulting and Chief Investment Officer Greg Nordquist, CFA Director, Overlay Strategies When it comes to downside risk, investors are generally concerned about the same market events. This creates a one-sided market (which helps explain why downside protection tends to be expensive when compared to alternatives, such as simply holding less of the risky asset). Fortunately, there are exceptions, especially when it comes to hedging liabilities. In this paper, we discuss:   Background information on downside risk, The market for hedging left-tail events Interest rate swaptions (i.e. options on swaps), and The role swaptions can play in hedging liabilities. Request this research A note about our research Our proprietary research is made available to our institutional clients, and many of these published papers are available to other institutional investors as well. If you are not a Russell client, but are an institutional investor, we welcome you to request this research piece. We only require your contact information on a short request form. For more information about our research, please contact David or Gerry:     West Coast David Rothenberg Managing Director 866-926-5934 East Coast Gerry Lillis Director 866-459-4128 Nothing contained in this material is intended to constitute legal, tax, securities, or investment advice, nor an opinion regarding the appropriateness of any investment, nor a solicitation of any type. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional. Russell Investment Group is a Washington, USA corporation, which operates through subsidiaries worldwide, including Russell Investments, and is a subsidiary of The Northwestern Mutual Life Insurance Company. Date of first use: June 2011 USI-10041-06-13			Related information Request this research Printer friendly version of this page