A yield enhancement note that provides capped upside participation (exceeding 1 to 1, i.e., above 100%, subject to the cap level) as long as the underlying asset price trades through a preset level (the strike price). However, the note is exposed to unlimited loss, and the holder will get back the principal (capital) if the underlying price closes below the strike level at maturity,
Other types of yield enhancement notes include fixed coupon notes, reverse convertible notes, and autocallable airbag notes.
