CAPITAL-PROTECTED
A structured product that provides capital protection offers an amount that at least matches a given proportion of the investor’s original capital input at maturity. Can also be referred to as principal-protected. Capital-protected credit-linked note A credit-linked note where the principal is partly or fully guaranteed to be repaid at maturity. In a 100% principal-guaranteed credit-linked note, only the coupons paid under the note bear credit risk. Such a structure can be analysed as (i) a Treasury strip and (ii) a stream of risky annuities representing the coupon, purchased from the note proceeds minus the cost of the Treasury strip.