French yield surge sparks scramble to salvage range accruals
Dealers look to shift barriers and reference indexes after Tec10 notes breach upper barriers
One of the fastest-growing corners of the interest rate structured product market has hit a barrier.
Dealers are scrambling to restructure popular range accrual notes linked to French and US government yields after historic bond selloffs in September and October pushed market rates beyond the levels at which investors begin to forfeit returns.
“Pretty much all the trades done in the first wave, in
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