Inflating interest

Structured Products

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Structured product investors had a nasty shock at the start of this year. The dramatic flattening of the US dollar yield curve meant investors racked up millions of dollars mark-to-market losses on last year's must-have investment - constant maturity swap (CMS) spread option products. These products typically paid a high coupon for the first year, before switching to a payout based on the spread between two CMS rates at different maturities, usually the 10-year CMS rate minus the two-year CM