A structured note that provides its holders with an upside potential (accelerated or enhanced return) based on the price performance of an underlying reference asset (e.g., individual asset, index, ETF, etc.), along with contingent protection against moderate underpeformance of the asset at maturity. The contingent protection depends on the level of the asset’s final value relative to the barrier level at maturity. The asset return is calculated using the price return.

If, on valuation date, the asset return is positive and large enough (price is sufficiently above barrier), the holder will receive an enhanced price return (2 or 3 times) up to a predefined cap level. However, if the price return is negative (price is insufficiently above, or equal to, the barrier), the holder will get a payment amount equal the note’s principal amount. And if the price return is negative and the price is below the barrier level, the holder will get the actual index return (a negative price return).

Examples of barrier notes include digital barrier notes and minimum payoff range notes.