• Callable Range Accrual Note

    Author(s):
    Tim Xiao (see profile)
    Date:
    2021
    Group(s):
    Business Management
    Subject(s):
    Economics
    Item Type:
    Presentation
    Tag(s):
    range accrual, callable range accrual note
    Permanent URL:
    http://dx.doi.org/10.17613/7hzs-5h31
    Abstract:
    An equity range accrual note is a principal-protected note that pays out a series of coupons based on the performance of an underlying stock, index, or basket of assets. The holder receives these coupons on a set of scheduled payment dates, but only if the value of the underlying asset on that date is between a lower and upper threshold. More specifically, at each observation date, a coupon is accrued and added to the total accrued coupon for that period. When a coupon determination date is reached the total accrued coupon is paid and is reset to zero for the next period. As such, the coupons are effectively a series of digital-style options that pays a fixed amount when the asset price is within the specified range.
    Notes:
    https://alanwhite1203.github.io/EqRangeAccrual-27.pdf
    Metadata:
    Status:
    Published
    Last Updated:
    1 year ago
    License:
    All-Rights-Granted
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