Key facts
- Dealers were restructuring range accrual notes tied to French and US government yields after rates breached upper barriers.
- The notes include Tec10 products, which breached their upper barriers during the selloffs.
- Dealers looked to shift barriers and reference indexes on the notes, according to the report.
- One market participant said most trades from the first wave were affected, according to the report.
Dealers were working to restructure range accrual notes linked to French and US government yields after bond selloffs in September and October pushed market rates beyond the levels at which investors begin to forfeit returns, Risk.net reported in an article that did not date the event.
The notes include Tec10 products, which breached their upper barriers, and dealers looked to shift barriers and reference indexes, according to the report. A market participant quoted by Risk.net said most trades done in the first wave were affected.
The report did not give the size of the notes outstanding, the specific barrier levels, or the identity of the dealers involved.