A protected note/ capital protected product (specifically belongs to the genre of performance select protected notes) that is structured so that each year, over the course of the note’s term (e.g., 5 years), a number of best performing stocks (e.g, 2) in the basket (say a basket of 10 stocks) are removed and their average return is calculated and put aside. At maturity, the holder (investor) will get face value (principal amount) plus a call (at a specific percentage, less than 100%- say 75%) on the total annual average returns. In this sense, the investor will get the returns of the best performing stocks (the select) every year. All returns are computed using the values of the individual stocks on the note’s issue date as basis.
Himalaya protected notes broadly belong to the class of correlation products.
