Hi there, I am trying to figure out the components of this CMS note, appreciate your kind advice. See description below:USD 15Y NC3M 30-2 CMS Spread NoteDeal Rationale These 15 year USD-denominated Notes (the “Notes”) may be a suitable investment for an investor whobelieves that the differential between the 30 year USD Constant Maturity Swap Rate (the “USD 30yCMS”) and the 2 year USD Constant Maturity Swap Rate (the “USD 2y CMS”) will remain positive overthe next 15 years and that, based on this view, seeks to receive an enhanced return.Where the differential is negative you will receive 0% coupon.Principal Protection: The Notes are 100% principal protected and will be repaid in full by the Issuer atmaturity or if the Notes are called early.Coupon at Risk: The Notes pay a fixed coupon of 8.55% p.a. for every day that the USD 30y CMS isgreater than or equal to the USD 2 year CMS. The coupon is paid [quarterly].Callable: The Issuer has the right to call the Notes at par on each Coupon Payment Date, from andincluding 15 November 2005. The Notes are likely to be called prior to maturity if the differential betweenUSD 30y CMS and the 2 year USD increases. If the Notes are called, investors may be exposed to reinvestmentrisk at potentially lower rates

What exactly do you mean by components?You seem to have broken down the trade pretty well to me.Do you want to know about the risks or how to structure the thing?

yup, that's what i meant, how do i structure this product?It seems to be made up of :1) CMS swap involving 2y and 30y rates, tenor=15y2) CMS bermudan swaption, tenor = 15y3) Digital cms spread put options with strike K=0.Am i correct? Or did i leave out something?Pls help, thanks a lot!

Yes, how do one replicate such CMS range note? Did I get it right? Pls advise , thanks!!

Pretty close:- I don't think cms spread floors should be digital (for non-callable structure, all you need are "vanilla" CMS spread floors, struck at 0)- However, you also need to cancel the floors, if you call the trade I'll leave it to you to figure that part out (let me know if you can't get it).