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Non-Callable Range Accrual


A high quality debt security/ instrument that pays a fixed or floating coupon (interest payment) whose proportion is determined based on the number of days during which a certain interest rate or index remains within a pre-defined range of possible values. The coupon is paid in each period (of range confinement) in a series of periods constituting the lifespan of the security/ instrument.

This range accrual is not embedded with a call option (hence, it is non-callable), which means its callability premium is zero (in contrast to that of a callable range accrual).



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