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Derivatives

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  • September 24, 2021
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Quanto Callable Range Accrual Note

A callable range accrual note in which the coupon 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). In this case, American investors can avail from currently high foreign implied volatility without having to be a counterparty to a cross currency swap.


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