Autocall Bonus Plus

Description

An "autocall bonus plus" is a feature of a structured product that matures early if one or more underlying assets reaches target levels at a predefined dates. Typically, if an autocallable event is triggered, investors will receive capital as well as a predefined coupon based on the performance of the underlying asset(s). An investment with an autocallable feature, which matures early and automatically if a set of predefined market conditions are met. In addition to the typical autocall payout, the investor will receive additional unconditional coupons called "plus", which are paid until early redemption is possible. If the product runs to maturity, the product will repay the greater between the "bonus level" and underlying price conditioned to being greater than the "payout threshold". Otherwise the product will repay the initial investment less any negative worst performing (or basket average) underlying measured over the term of the product. Finally the final payout can be subject to an optional cap

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.
Early Redemption from Period Period at which the contract can 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.
Autocall Type Defines the category for the contract and headline features.

Observation Dates Payouts

Plus Coupon Additional unconditional coupons (Plus) to be paid at every period until early redemption is available.Plus Payment
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 satisfied the Coupon Threshold 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 coupon for the observation period index.

Final Payout

Barrier Level The final bonus (or the partecipation to the underlying performance) will be paid if the underlying performance at maturity is greater than the provided level.
Bonus Level If the contract has not matured early and the underlying is above the Bonus Threshold, the product will pay at maturity the greater between the Bonus and the underlying price (up to an optional cap).
Has Cap If true the payout is subject to a cap.
Cap Level Cap to final payout.