Dual index note Definition
A note with a coupon rate that varies in relation to the movement of two different indexes, typically the Constant Maturity Treasury (CMT) rate and LIBOR. A dual index note usually has a fixed rate for a brief period, followed by a longer period of variable rates. For example, the coupon might start out as a fixed rate of 8 percent for two years, then switch to a variable rate calculated as the 10-year Treasury rate plus 300 basis points minus the 6-month LIBOR. A dual index note is a type of structured note.