In a note the coupons of the structured (or float) leg are equal to the coupons of the structured leg of the corresponding swap. So to better understand this note refer to the CMS Range Accrual Swap.
The note’s bond price is calculated as follows:
Bond price % * face amount
Note that:
The bond price itself takes into account the fact that you will receive the face amount back by the note’s end date.
The funding leg of the note (which comprises the selected index + the note issuer’s defined funding spread) defines how the issuer funds the payment of the structured coupons and principal, and this information is needed in order to value the note.
Why use a CMS range accrual note?
You would enter into a callable note as a speculative investment with the intention of reaping a enhanced yield