A protected bull note whose performance is capped (i.e., subject to a cap) at a maximum value irrespective of the gain achieved by the underlying. The note is structured by adding a short call (a second call option) to an out-of-the-money cap with a yet higher strike. For example, a note with a 7-year maturity and a 100% issue price and a zero coupon on an equity index, where participation is 75% and the note is redeemed at maturity at an amount determined by the performance of the underlying index: the price is averaged over the year before maturity. The redemption amount can be calculated using the formula:

Redemption amount = 100% + 100% * Min [Max ((index₀/index_n)- 100%, 0), 75%]

Where: the inception and final values (at 0 and n) of the index (opening and closing prices) are accounted for in the calculation.