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Derivatives

  Derivatives   |   Terms
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  • September 13, 2022
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QFRAN

It stands for quanto floating range accrual note; a range accrual note (RAN) that has a floating reference for the in/ out range payments denominated in a foreign currency (quanto). In other words, the coupon of the note depends on the daily fixing of a foreign reference index being within a preset range. The underlying index may be 6-month LIBOR for a U.S firm or investor. The holder can take advantage of increasing foreign volatility by selecting an index denominated in a foreign currency, while receiving coupons in domestic currency (US dollar).


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