Tradition Securities and Futures (TSAF OTC) is marketing a 10-year hybrid structure with annual income linked to the EUR CMS 20-year and the EUR CMS 5-year spread, and capital protection tied to the iTraxx Main S31 Index. The medium term note is issued by Natixis.

The product will pay an annual coupon of three times the annualised difference between the two rates, subject to a minimum of 0% pa and without a cap. “Despite the low interest rates level, the current 20- and five-year spread is around 90bps,” said Jean-Christophe Moulinot (pictured) , sales & structuring at TSAF OTC. “This makes a potential coupon of 300% x 0.90% if you were to observe the level today.” The capital is only at risk for each credit event in the iTra

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