This 3 year term USD Credit Linked Note pays an annual 4% coupon. The note is 100% capital protected at maturity, as long as no more than 3 credit events take place on the iTraxx Europe Main S31 Index.

However, if more than 1 credit events take place, for each credit event after 1, 16.67% of future coupons are eroded and 16.67% of initial capital is eroded at maturity.

Historically,  the 3Y index has only witnessed three credit events since the index was launched in 2004. When looking at the different series, there has only ever been a maximum of one on any of the three year series.