A structured note that is designed to provide the potential for capital appreciation at maturity based on a participation rate, defined by the investors depending on appetite to participate in the potential growth of the underlying rate/ index (underlying/ underlier). At maturity, if the underlying increases in value, an investor will receive the principal in addition to a redemption amount, subject to the maximum payment. If the underlying declines or does not increase in value, an investor will only get back the initial investment (principal).

Investing in market-linked notes differs from investing in the underlying. Depending on participation rate and exposure, an investment in market-linked notes (which constitutes an indirect investment in the underlying) may underperform a direct investment in the underlying. A participation rate usually ranges from a specific percentage below 100% to 100%, and it may also exceed 100%. However, higher participation rates mean longer maturities or higher principal amounts.

Market linked notes may also come with a cap (upper limit) on its maximum return that is not commensurate to the actual return of the underlying.