A note whose coupon rate is linked to the difference between two active market indexes. such as the difference between constant maturity treasury rate (CMT rate) and LIBOR (floating rate). For example, if LIBOR is 4% and CMT rate is 2.5%, then the dual index note pays out the difference (4% – 2.5%).
The participation rate in the index change is typically less than 100% (hence it belongs to the broader class of deleveraged notes or instruments).
