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Derivatives


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Capped Floored Floater


A floored floater which is also capped: the coupon of the floater cannot increase beyond the cap rate. In other words, the floater pays a floating coupon which is subject to a maximum and minimum coupon level, irrespective of the where the underlying rate sets.

Other variations include stepped capped floaters and stepped floored floaters, in which the capped coupon/ floored coupon vary over the life of the note/ bond.


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