Structured note digital payout versus participation factor
REAL-LIFE PROBLEMS, INNOVATIVE SOLUTIONS
Background
Structured notes on basket currencies with a digital payout and full participation from a set percentage performance are becoming increasingly popular with investors who hold a macro view.
For example, if an investor believes Asia currencies will continue to weaken against the US dollar they can buy a note that offers a fixed percentage payout for the first x percentage performance of the note then full participation from that point onward.
Problem
Consider a structured note with an
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