Cases for Range Accrual Swap

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Issuer of Fixed rate range accrual note in which the fixed rate coupon will accrue to
investor only when the reference rate is within the range.
View:

Risk:

Hedge :

Issuer of a Floating rate range accrual note in which the flaoting rate will accrue to
the investor only when the reference rate is within the range.
View:

Risk:

Hedge:

Investor in a Floating rate range accrual note in which he will receive the floating
rate that will accrue to the investor when reference rate is within the range
View:

Risk:

Hedge:

Investor in a Fixed Rate Range Accrual note in which he will receive the fixed rate
that will accrue to the investor when the reference rate is within the range.
View:

Risk:

Hedge:
Volatility will Increase

Risk that the issuer faces is that if the volatility does not
increase and reference rate stayed within the range
then he would have to pay the fixed interest rate. What will be the payment frequesncy for flaoting rate payment in hed
Range accrual Swap in which he will pay floating rate to
the bank and receive a fixed rate

Volatility will increase

Risk that the issuer faces is that if the volatity does not
increase and the reference rate stayed within the range
then he would have to pay the floating interest rate. ???????
Range accrual swap in which he will receive floating
rate and pay fixed rate to the bank.

Volatility will decrease

Risk that the investor faces is that if the volatility does

not decrease and reference rate stayed outside the
range then he would not receive the floating interest
rate.

Range Accrual Swap in whch he will receive floating

rate and pay fixed interest rate to the bank.

Volatility will decrease

Risk that the investor faces is that if the volatility does

not decrease and reference rate stayed outside the
range then he would not receive the fixed interest rate.

Range Accrual swap in which he will receive fixed

interest rate and pay floating interest rate to the bank.
flaoting rate payment in hedge