A protected note (and a correlation product) which is structured to pay high annual coupon (10% or more) linked to worst performing stock in a well-diversified basket of 10-15 blue chip stocks. An example is an 8-year note on an equally-weighted basket of 5 stocks, and with a 100% issue price and a 100% redemption value at maturity. The note’s coupon is the annual coupon paid in a given year in which the basket performs at its worst. For every year, performance is determined by relating the difference between the closing price of the stock in question (usually 5 business days before the end of the year) and its opening price on the issue, all to the opening price. So, for a given stock, over the course of 8 years.

Coupon = 200% * Min[(S_c(1) – S_o(1))/S_o(1) ,…, (S_c(8) – S_o(10))/S_o(8)]

Where S_c(1), S_o(1) denote closing and opening prices in year one

(S_c(8) – S_o(8))/S_o(8) is the difference between the prices in year 8 related to the opening price in that years, and so on.