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Leveraged Floored Floater


A floored floater in which the minimum coupon that is linked to the underlying floating rate (short-term rate, such as LIBOR) has a leverage factor. An example is a floater that pays:

Min [3.5%, 1.5*LIBOR]

That means the level of the coupon will be determined by the lowest of two factors: the floor and a leveraged economic variables (the leveraged floating rate).



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