A zero coupon bond is one that has no periodic coupon payments. It is characterized by a single payment at maturity (4 years) equivalent to its face value. All zero coupon bonds are sold at discount as determined by the yield on the bond.
The yield of Aspirin is linked to the returns of the stock market over and above a pre-determined hurdle rate. If the hurdle rate is fixed at 7% and the stock index returns 10% during the period, the yield of the bond is fixed as (10-7) = 3%. Hence, a bond of face value $1000 can be bought at $888.49, and redeemed at the face value of $1000.
In case the Australian index returns a rate equal to or below the pre-fixed hurdle rate, the bond earns no return for the investor.
Aspirin protects the bondholder from downside risk because the bondholder does not earn negative returns even if the stock index under-performs the hurdle rate. The lowest return on the bond is capped at 0% (in case of index return matching hurdle rate).
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