Banks peg range accrual coupons to CDS spreads
Morgan Stanley and BNP Paribas tie note coupons to French sovereign and iTraxx Europe CDS spreads
Morgan Stanley and BNP Paribas have issued credit-linked structured notes this month whose range accrual coupons depend on credit default swap (CDS) spreads, with Morgan Stanley’s note referencing a French sovereign CDS and BNP Paribas’s pair of notes referencing the iTraxx Europe Main index.
Other dealers are also working on their own versions, with the attraction being the steep forward curve in
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