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Range Accrual

The income on this type of structured products is formed if the underlying asset in a limited range during the trading period of the structured product. This type has an interest rate (ir); the amount of payments is formed this way: The face value * ir * number of days when the structured product was within the range / calculation basis.
Example. The note’s face value is $1000, the interest rate is 10%. The term of the structured product is 1 year. The underlying asset is gold; the range for forming the income is $1000–1200 per ounce. The calculation base is 250 days, which corresponds with the number of trading days in a year.

Scenario 1 The price for gold was in the specified range during the year. The investor gained $100 (10%, 1000 * 0.1 * 250 / 250).
Scenario 2 The price for gold was in the specified range during 50 trading days. The investor earned $20 (2% of the invested money, 1000 * 0.1 * 50 / 250).


Cbonds is a global fixed income data platform
  • Cbonds is a global data platform on bond market
  • Coverage: more than 170 countries and 250,000 domestic and international bonds
  • Various ways to get data: descriptive data and bond prices - website, xls add-in, mobile app
  • Analytical functionality: bond market screener, Watchlist, market maps and other tools