Published March 30, 2021
| Version v2
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Equity-Linked Bonus Coupon Note Pricing
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Description
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.
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Zenodo-EqCoupon.pdf
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