BNP Floating CMS Structure To Insurers

BNP Paribas in New York is working on structuring variable constant maturity swap cap options for insurance companies looking to hedge lapse risk, or the risk that policyholders will redeem policies on the back of rising interest rates, according to James Davison, head of rates and fx structuring at the firm in New York. Firm officials think the structure is the first of its kind.