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Quantitative Finance · Glossary

What is Capital-protected note?

Definition 19.3 Derivatives and Volatility · Chapter 19 — The Structured-Products Business

A capital-protected note repays at least a stated share of its notional at maturity, such as 90% or 100%, whatever the underlying does, plus a share of the underlying’s rise; the protection is only as good as the issuer’s credit.

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