Does rates reform for structured notes lack structure?

The impact of benchmark rates reform and Ibor transitions for linear cash and derivative instruments – such as bonds, loans and vanilla swaps – is broadly understood and widely appreciated.

But the impact on structured notes – usually privately issued bonds that pay coupons and, often, redemption amounts, linked in complex ways to benchmark rates – are much less a focus of attention.

In our view, the potentially profound changes that reform will bring to this $100 billion-plus market for