funding source is a syndicated loan. Consequently, the required margin will be affected by margins available in the syndicated loan market. The portion of the required margin attributable to credit quality is referred to as the credit spread. The risk that there will be an increase in the credit spread required by the market is called credit spread risk. The concern for credit spread risk applies not only to an individual issue, but to a sector and the economy as a whole. For example, the credit spread of an individual issuer may change not due to that issuer but to the sector or the economy as a whole. A portion of the required margin will reflect the call risk associated with the floater. Because the call feature is a disadvantage to the inves- tor, the greater the call risk, the higher the quoted margin at issuance. After issuance, depending on how rates and margins change in the mar- ket, the perceived call risk and the margin attributable to this risk will change accordingly. In contrast to call risk due to the presence of the call provision, a put provision is an advantage to the investor. If a floater is putable at par, all other factors constant, its price should trade at par near the put date. Finally, a portion of the quoted margin at issuance will reflect the perceived liquidity of the issue. The risk that the required margin attrib- utable to liquidity will increase due to market participants perception of a deterioration in the issues liquidity is called liquidity risk. Investors in non-traditional floater products are particularly concerned with liquidity risk.     Whether or Not the Cap or Floor Is Reached For a floater with a cap, once the coupon rate as specified by the coupon formula rises above the cap, the floater then offers a below market cou- pon rate, and its price will decline below par. The floater will trade more and more like a fixed-rate security the further the capped rate is below the prevailing market rate. This risk that the value of the floater will decline because the cap is reached is referred to as cap risk. On the other side of the coin, if the floater has a floor, once the floor is reached, all other factors constant, the floater will trade at par value or at a premium to par if the coupon rate is above the prevailing rate for comparable issues.   Duration of Floaters We have just described how a floaters price will react to a change in the required margin, holding all other factors constant. Duration is the measure used by managers to quantify the sensitivity of the price of any security or a portfolio to changes in interest rates. Basically, the dura- tion of a security is the approximate percentage change in a bonds price