A hybrid derivative structure in which the coupon is determined as the difference between the previous coupon and a predefined reference strike, adjusted with an appropriate leverage percentage (gearing):
Coupon = gearing × (previous coupon – index)
The leverage level determines how aggressive the structure is: its dependency on the previous coupon is increased by a gearing on the previous coupon.
This structure is also known as a callable geared ratchet inverse floater.
