A major U.S bank has recently issued Target Accrual Redemption Note (TARN) on reverse CMS (Constant Maturity Swap). This product pays a coupon indexed on a reverse, capped and floored CMS until the sum of coupon payments reach a target objective.
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Structuration
Saturday 19 April 2025
Articles
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Pedagogy TARN on REVERSE CMS
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Interview Nicolas Gaussel : « An asset management style which does not include any Quant element does not exist!»
Quantitative strategies, asset allocation, absolute performance…. Nicolas Gaussel, head of quantitative and structured management of Lyxor, answers our questions.
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Interview Sofiene Haj Taieb «The fact that some products are complex is not just to make banks happy»
Leadership in equity derivatives, product innovation, complexity, multi-asset approach: on all these issues, Sofiene Haj Taieb, Société Générale’s Global Head of Cross Asset Solutions, answers our questions
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Pedagogy « Catastrophe bonds » or CAT bonds
Insurance companies issue this type of bonds to cover the risks associated with "disastrous" events such as earthquakes, typhoons, storms and hurricanes...
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Interview Dr Damiano Brigo: «Hybrid products and models will become paramount in the immediate future»
Interview with Dr Damiano Brigo, Head of Credit Models at Banca IMI in Milan and co-author of the best-seller « Interest-Rate Models: Theory and Practice ».
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