Tarn
Automatic early redemption when the sum of coupons paid reaches the target level
The investor receives a guaranteed coupon for the first few observations. Thereafter, the coupon corresponds to the spread between a long-term rate and a short-term rate (multiplied by the leverage). Automatic early redemption occurs when the sum of coupons paid reaches the target level.
Capital is guaranteed at maturity (except in the event of issuer default).