Came across a funky product called an pp-ARBN, for principal protected Absolute Return Barrier Note. Principal protection means that you will never lose your capital as long as you hold the note to maturity (usually 6mths to 3 years).  What varies is the interest you may get on the Note.  This interest is linked to the performance of an underlying security, which is often a broad-based market index. Typically the interest is set equal to the Absolute value of the Return on that underlying index as long as that index stays within a price range. If it breaks the price range, you get no interest payment. This instrument ends up looking like a zero-coupon bond coupled with a  knock-out double barrier call option and a knock-out double barrier put option. Ask me about this someday.


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