A structured product (specifically a target redemption note) which consists of a strip of forwards each of which has its payout as the difference between the underlying rate on a given fixing and a predefined strike level:

Coupon_ti = S_ti – K

However, the overall structure is limited by the requirement that once the total payout exceeds a target level (cap), then the structure automatically terminates (knocks out).

The target redemption forward is a hedging strategy aimed at providing investors with above-market forward rates. For example, investors can hedge their foreign exchange exposures on a monthly basis until the target redemption provision has occurred. In so doing, an investor buys a strip of calls and sells a strip of puts or vice versa all having the same strikes. This allows the investor to achieve a better hedging rate than the participating forward. Once a preset level of gains is reached, future settlement dates are cancelled and the structure ceases to exist.