Structured investments-30 year minus 2 year CMS

[untarnishedman]

I am interested in obtaining the names of firms who either trade or have knowledge regarding structured investments, specifically as they relate to the 30 year CMS minus the 2 year CMS. I would like to be able to research which financial institutions have current or past offerings for purchase or sale. Thanks.

 

[wealthmanager]

I know your post is pretty old regarding the structured products that use the 30 yr CMS less the 2 yr CMS as a reference security. Morgan Stanley currently offers a principal protected note that offers 8% per year for every day the 30yr CMS is greater than the 2 yr CMS AND the S&P 500 is over 675. It is a 20 year note.

 

[Tunetopper]

with a 17% lifetime cap. Semi Annual Pay Semi Annual Adjust (I believe) A rated at 84 cents on the dollar, If the banks have to begin holding more capital against their long derivatives positions these long swaps will probably get very expensive (my premise is they will have to have a higher yield in order to entice a buyer) to hold and the short dated swaps will get to be crowded (low implied yields), Hence the spreads between 2's and 30's will widen as rates go higher. This will mean that a discounted dual index floater bond today will trade up towards par. Many of these bonds are callable at par as rates rise, even though the UST yield curve may flatten when that happens.


I wouldnt buy Morgan Stanley or Barclays or RBS.
But I would look at some more SG if it pops up on my screen at 83c again!!! Or even BofA if they have such an issue.