A protected note that provides the holder with 100% protection (capital guarantee) plus a call on the performance of a basket of the remaining stocks at maturity after the worst performing stocks are axed out. On maturity, the best performing stocks are also removed, leaving a number of stocks (average performing) upon which the basket call performance will be calculated. For example, an initial basket was made up of 20 stocks, and after 6 years 6 stocks were removed due to under-performance, then the basket will only contain 14 stocks towards maturity. At that time, another batch of 4 top performing stocks is removed, leaving only 10 stocks in the basket. At maturity, the holder will have 100% participation, and the call option constitutes a call on the remaining 10 worst-performing stocks in the new composition.

Atlas protected notes belong to the class of correlation products.