Extendible Daily Range Accrual Notes or Fixed Floor Range Note

An Extendible Daily Range Accrual Note generates a return, if any, based on the performance of a reference rate. The coupon accrues for each day that the reference rate stays within a certain range. The accrued interest, if any, is typically paid to the holder quarterly and this note may be redeemed by the issuer. These notes offer potential above market yields when compared to traditional bonds if the reference rate stays within the specified range. Coupons will accrue for every day that the reference rate stays within the specified range. A higher potential coupon rate is offered as the return is speculative and the issuer has the option to extend the maturity of the note, but the maturity can only be extended on specific dates and for a specific amount of time.

Investor Rationale: Extendible Daily Range Accrual Notes may yield higher returns compared to traditional bonds because interest accrues daily when the reference rate is within the specified range.

Investor Profile: Clients should be seeking higher returns and be flexible with the length of the term of their investment. Extendible Daily Range Accrual Notes are suitable for an investor who has a certain view on the reference rate. These notes are similar to the Extendible Step-up Notes and Extendible Accrual Notes, however, coupons accrue and are only paid when the reference rate stays within range. If you are an investor looking for principal protection and potential above‑market returns and are willing to speculate on the applicable reference rate, Extendible Daily Range Accrual Notes can be a good fit for your portfolio.

Advantages

• 100% Principal Protection if held to maturity

• Potential above market returns

• Coupon accrues daily if reference rate is in range

• Liquidity in daily secondary market

Risks

• Reinvestment Risk • Price Risk

• Credit Risk of issuer

• Coupon payment may be zero if reference rate is out of range