What is dual range accrual?
A dual-range accrual is one that uses two indexes based on, for example, an exchange rate and interest rate.
What are range accrual notes?
A range accrual note is a structured investment where the coupon is linked to the performance of a reference index. The initial coupon is typically above market price, and is derived from a formula based on an underlying index. The most common index is LIBOR.
What is callable range accrual?
A callable range accrual note is a range accrual note where the issuer has the option to call the note at specified dates in the future, typically at par. After an initial “lockout” period, the notes become callable on coupon payment dates.
What is range accrual swap?
A range accrual swap is a swap in which one leg pays an accrual coupon and the other leg is a standard floating leg. A callable range accrual swap is an accrual swap which gives the party paying the accrual coupon the right to cancel (or call back) the swap on any coupon date after the initial lock-out period.
What is CMS rate?
A constant maturity swap (CMS) is a type of interest rate swap. In a CMS, one party periodically pays a swap rate of a specific tenor3 (or the spread between swap rates of different specified tenors), known as the CMS rate, and in exchange receives a specified fixed or floating rate from the counterparty.
What is CMS spread?
A constant maturity swap (CMS) spread note is a derivative with a payoff based on the difference of two swap rates of specific maturities. For example, a CMS spread note might pay quarterly coupons based on the difference between quarterly fixings of the 10-year and 5-year semi-annual swap rates.
What are accrual swaps?
An accrual swap is a type of interest rate swap in which the interest on one side accrues only if certain conditions are met. Payment of interest in the accrual swap occurs if the reference rate is above or below a certain level.
What is the 10 year CMS rate?
Download. 2021-09-29: 1.55 | Percent | Daily | Updated: 3:22 PM CDT.
What is the CMS rate?
In a CMS, one party periodically pays a swap rate of a specific tenor3 (or the spread between swap rates of different specified tenors), known as the CMS rate, and in exchange receives a specified fixed or floating rate from the counterparty.
What is CMS curve?
Constant maturity swaps are interest rate swaps that smooth volatility associated with interest rate swaps by pegging the floating leg of a swap to a point on the swap curve on a periodic basis.