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Callable/Puttable Range Accrual Notes

A type of structured note similar to a fixed rate bond, except that interest (usually higher than market rate) only accrues on days when its reference rate (such as the 3 month LIBOR) falls between specified levels. If it is possible for the issuer to call, and the call price is less than the note price, then the call option is exercised and the price of the option on that exercise date is the difference between the call price and the note price. If the note is not called and it is possible for the holder to put, and the put price is greater than the note price, then the put option is exercised and the price of the option is the difference between the put price and the note price.

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