Fairmat Example

Range Accrual Interest Rate Swap is characterized by a Range Accrual clause on Party B floating payment. The Range Accrual is usually a kind  of interest accrual in which the coupon rate (Rate) is only earned on days when another rate (Driver Rate), from which the coupon derives, drop in a specific range. In details, Rate and Driver Rate are equal for this template.

Attachments

IRS Range Accrual Template IRS Range Accrual Documentation