Autocall Absolute Return - Twin Win

Description

An absolute return autocall (also known as twin win) is a feature of a structured product which give, at any review date, the possibility of early redemption conditioned the underlying is above to the auto call threshold. In this case the nominal amount plus a coupon will be paid. At maturity, if the product has not been called, if the underlying returns are positive, the underlying returns subject to a maximum upside return is paid. Otherwise, if the underlying is greater or equal to the absolute return threshold the absolute value of the underlying returns is paid. The template will also allow to specify additional contingent coupons payable at any review date and the possibility of shaping the final payoff by specifying the participation to the underlying performance

Customizables Attributes

Contract Terms

First Observation (Strike Date) The first date at which the underlying is observed.
Last Observation The last observation date at which the underlying is observed. Product maturity is set a number of days following this date as specified by Days To Payout.
Frequency Autocall and Coupon frequency.
Payments Start From Period Earliest period at which the contract can pay out coupons or mature early.
Days to payout Number of working days to the payment date from an Observation Date.
Issuer The name of entity issuing the security.
Issue Price Price at which the contract is issued at Issue Date.
Payout Currency The currency in which the contract pays.
Underlying Defines the indices or equities to which the product is linked.
Custom Strike Levels Enter here the underlying fixing levels if different from underlying market close prices at strike date. Leave this field empty to use the closing market prices at the strike date,

Observation Dates Payouts

Coupon Threshold The threshold by which the performance of the underlying must equal or exceed in order for the Coupon to be awarded.
Coupon The coupon to be paid at a payment date provided the performance of the underlying for the corresponding Observation Date satisfies the Coupon Threshold condition and the product is not called.
Coupon Memory Regulates conditional coupon amount: If on an Observation Date the Coupon Threshold is satisfied then the coupon amount due is increased by the sum of any previous coupons not paid due to the relevant Coupon Threshold criterion not being satisfied at the time.
Autocall Threshold The threshold by which the performance of the underlying must equal or exceed in order for an early redemption (maturity) event to occur.
Autocall Coupon The coupon to be paid at a payment date provided the performance of the underlying for the corresponding Observation Date satisfied the Autocall Threshold.
Accumulate Autocall Coupon If set to false, a custom autocall coupon can be entered, If set to true the autocall coupon is calcoulated by multiplying the autocall coupon for the observation period index.

Final Payout

Protection Type Defines how the Protection Barrier is calculated: If set to 'European', the protection barrier condition is tested only at maturity, if set 'American' it is tested at every date between the Strike Date and the Last Observation Date. 'NoBarrer' excludes the capital protection.
Protection Barrier Defines the threshold for the protection barrier (if applicable): If the contract has not matured early and the performance of the underlying calculated for the Last Observation Date is lower than the Protection Barrier then the redemption amount will be exposed to the negative performance in the underlying.
Upside Participation Partecipation on returns when the underlying performance at maturity is positive.
Downside Participation Partecipation on returns when the underlying performance at maturity is negative.
Has Cap Enable or disable cap on underlying return.
Cap Level Cap for the performance of the underlying. Used if 'Has Cap' is set to 'True'.