A protected note which provides capital protection (as a capital guaranteed product) for a long period of time (long-dated note), and particulalry in low interest rate environments. It is typically asscociated with high structuring and sales margins (up to 14%), with a potential coupon ranging between 10-12%. An example is a 10-year note with an issue price of 100% and an equally weighted basket of 5 stocks and a zero-coupon. The note is subject to a knock-in trigger towards the ending years (e.g., over the last 3 years or so), which will work if the lowest daily closing price of any of the underlying stocks move below or equal to 65% of initial value. Each note will be paid back at maturity according to a schedule: if the trigger is not set, a redemption amount of 3 times the capital (300%) is paid on an annualized basis. Otherwise, that amount would be equal to 200% plus the return of the worst-performing stock at maturity as follows.

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

Where S_c(1), S_o(1) denote closing and opening prices in year one. (S_c(10) – S_o(10))/S_o(10) is the difference between the prices in year 10 related to the opening price in that years, and so on.