An algorithmic index that switches dynamically between steepener and flattener trades, using the European crossover indexes, is also included.
Heikki Monkkonen, a managing director in BarCap’s European credit derivatives team in London, said the indexes would make these strategies more accessible for investors, many of which might not have the capacity to undertake them otherwise. Possible sources of demand for products linked to the index could encompass private banks, retail or institutional clients, he added.
The bank is offering index-linked notes based on the series, and hopes to make them a basis for more complex leveraged or principal-protected structured products in the future. It intends to add additional indexes to the series over the coming months, although it would not put a figure on the volume of interest it has seen in them so far.
The week in Risk.net, May 19-25 2017Receive this by email