A protected bull note in which the final value of the underlying over fixing dates is averaged. The fixing dates may be set monthly, quarterly or semiannually, etc. This provides extra protection to the holder by reducing the effective underlying volatility, and as such solidify participation. An example is a note with a 6-year maturity and 100% issue price and zero coupon, where the underlying is an equity index and participation is 85%. Each note will be paid back at maturity, depending on the index’s monthly readings (closing prices) over the last two years of the note‘s life. The redemption amount can be calculated using the following formula:

Redemption amount = 100% + Max [((index₀/ index_n) – 100%), 0]

Where index₀ and index₁ denote the index value at inception and at maturity.