An accrual swap in which interest starts accruing on the fixed leg when the floating reference rate enters into (or becomes in) a certain range (corridor). Though it must be pre-determined, the width of the range may not necessarily be fixed once and for all. That is, it may reset at the beginning of each payment period, increasing or decreasing in tandem with reference spot or forward prices or rates. The range accrual swap is used by investors who expect rates to remain stable into a corridor and here they prefer to receive the fixed leg, or, on the contrary, who anticipate that a high volatility would affect rates and as such they prefer to pay the fixed leg. It is also referred to as a corridor accrual swap.
This website uses cookies so that we can provide you with the best user experience possible. Cookie information is stored in your browser and performs functions such as recognising you when you return to our website and helping our team to understand which sections of the website you find most interesting and useful.
Comments