A range note in which the coupon depends on the daily fixings of two underlying indexes (such as 3-month Euribor and 3-month LIBOR) trading within predetermined ranges. Typically, the coupon of an ordinary range note increases when the probability of the reference index to trade outside the range increases, and therefore the addition of another index increases the probability of trading outside the range, and hence the twin range accrual note provides an even higher coupon. The coupon is also a function of the volatility of, and correlation between, underlying indexes. In other words, when the volatility of each index goes up, the coupon increases in value. And the lower the correlation between the two indexes, the higher the coupon.

In a twin range accrual note a payment is, or periodic payments are, made in proportion to the number of days the two underlying indices spend, simultaneously, within predetermined ranges.