RANGE NOTE
A range note (also known as a fairway note, an accrual note, or a corridor floater) is a structured note, which pays a coupon for each day that the underlying spot stays within a specified range (sometimes called the accrual corridor). If the underlying trades outside the specified range, the investor receives no interest for that day. The underlying can be a reference interest rate, a foreign exchange rate, an equity price or the spread between two interest rates. The range is determined at the outset to suit the investor’s risk/return requirements, but might also be reset by the investor or be automatically centred on the prevailing rate at each reset date. This higher yield is achieved by the investor selling an embedded corridor option, particularly in times of high volatility. The holder of the note will therefore benefit in stable market periods when volatility is low.