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  • August 28, 2021
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Digital Accrual Note

An accrual note which pays a fixed coupon on a daily accrual basis if the daily floating rate (LIBOR) fixing remains below a specific barrier level (strike price). An example is a 2-year note with an issue price of 100% and a fixed coupon of 5% which only accrues on days when daily closing 6-month LIBOR drops below the barrier level of 6%. Otherwise, coupon doesn’t accrue.

The coupon may be expressed as a percentage: annual coupon multiplied by the ratio of number of days below barrier to number of days in the year.


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