Classic Libor range accrual notes weather the storm

News

Non-path-dependent three and six-month US dollar Libor range accrual notes have emerged unscathed after months of rising rates pushed the products to the top of their range.

"Because the underlying for classic range accrual products is generally short-term Libor, the rising rates over the past 12 months, which were exacerbated in the summer, pushed the products toward the top end of their range," says Chris Jones, global head of MTNs and co-head of structuring for global structured rates products

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