Equity-Linked Bonus Coupon Note Pricing

A bonus coupon note, also referred to as coupon growth note or bonus enhanced note or basket coupon note, is an equity-linked note that provides guaranteed coupons over the life of the note with potential for a bonus coupon based on the underlying asset trading above a specified barrier level. The note pays a series of coupons based on the weighted performance of all assets in the basket on each Coupon Determination Date. The coupons are usually capped and floored.

https://ia801501.us.archive.org/34/items/eq-coupon-22/EqCoupon-22.pdf

Keywords

bonus coupon note, coupon growth note, bonus enhanced note, basket coupon note

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