Collared FRN with Participating Caps and Floors

Banking
LLR
December 29, 2022
Derivatives
Carbon Derivative
December 30, 2022

An FRN that is embedded with increased participation mechanism. In other words, the holder can get more participation levels as the cap strikes rise for each successive coupon period. The payoff is given by:

Payoff= cap strike – participating rate * (strike rate – LIBOR)

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