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  • February 16, 2022
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Callable Ratchet Corridor

Another name for the snowrange; a type of snowballs in which the coupon is based on the previous coupon plus a strike level, with the resulting figure being adjusted with the ratio of the number of days a reference rate (e.g. LIBOR) remains within a predefined range to the total number of days during the observation period. The following formula demonstrates how a snowrange can be calculated:

Coupon= [previous coupon + strike %] × n/N

Where n denotes the number of days spent by the reference rate within a predefined range and N is the total number of days during the observation period.

This structure combines the range accrual with the snowball.


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