Does rates reform for structured notes lack structure?

Philipp Orgler and Vladimir Piterbarg say it’s time to focus on Ibor transition for structured notes

The impact of benchmark rates reform and Ibor transitions for linear cash and derivative instruments – such as bonds, loans and vanilla swaps – is broadly understood and widely appreciated.

But the impact on structured notes – usually privately issued bonds that pay coupons and, often, redemption amounts, linked in complex ways to benchmark rates – are much less a focus of attention.

In our view, the potentially profound changes that reform will bring to this $100 billion-plus market for