Retrospective analysis: BNP Paribas dispersion strategy banks on volatile interest rates

Betting on volatile rates

rollercoaster

This BNP Paribas five-year potential income product was reviewed in Structured Products back in January 2008. The strategy is known as a dispersion product and is linked to the performance of the three-month money market rates for US dollar Libor, yen Libor, Swiss franc Libor, Euribor, Canadian dollar Libor, Australian dollar Libor, Norwegian krone Nibor and Polish zloty Wibor.

Annual coupons are calculated at the end of each year based on the difference between each rate's current level and its

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: