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

This five-year income product from BNP Paribas was linked to eight money market rates. While each rate is currently lower than its strike level, the dispersion strategy was designed to deliver high coupons during periods of high volatility


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

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