If the market-linked guaranteed investment is a TFSA or RRSP, returns will not be taxed, just like any other registered investment.
If it's a non-registered market-linked guaranteed investment with no minimum annual guaranteed return, returns are only known at maturity or when a fixed return option is taken out. Unlike traditional term savings where annual interest is
taxed on an annual basis, interest earned on your market-linked guaranteed investment is taxed only the year the return is known.
In the case of non-registered market-linked guaranteed investment with a minimum annual guaranteed return, interest is taxable annually since the minimum annual guaranteed return is known in advance.