Risk Latte - Do You Want to SURF?

Do You Want to SURF?

Rahul Bhattacharya
Feb 22, 2005

The term SURF refers to Step-up Recovery Floater and is a class of interest rate Structured Notes. This term was coined by Bob Lutey and Philippe Burke of Lehman Brothers on a particularly inventive afternoon in 1992. This product was so named because the initial variant of this structure (note) had a coupon floor which stepped up over time. These days there are many different variations of SURF notes.

(Taken from The Structured Note Market by Scott Peng and Ravi Dattareya)

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