A range note in which the coupon is determined as the maximum of dollar LIBOR and Euribor plus a given spread, provided that both rates don’t break through a barrier or several barriers (set up) over the life of the note. If the barrier is breached at the beginning of any interval, a low coupon rate will be applied to that interval only. Successive intervals will not be affected by an interval with a breached barrier. The barrier (s) can be selected in a way that matches an investor’s expectations of the future course of underlying rate.
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