An exotic cliquet contract, specifically a structured bond, which has the Dow Jones EURO STOXX 50 as underlying. It offers the holder guaranteed principal redemption in addition to an annual coupon payable on a specific date of each year (the second of December). Mathematically, the coupon is calculated using the following formula:

The MinCoupon is a floored rate of 2%, and each monthly return is given by:

Where: S_t is the level of underlying index on a respective monthly reset date. This structure makes the annual return capped at 12% and floored at 2%. The valuation dates fall on the second day of each month. However, the final valuation date for each coupon is November 25.

This structure consists of a simple strip of 1-month at-the-money call spreads (put spreads) plus the minimum annual coupon.