Autocall Plus - Income Plan

Description

An "autocall plus" is a feature of a structured product that matures early if one or more underlying assets reaches predefined 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 criteria are met, should not be confused with a callable feature, which can mature at the issuer's discretion. This templates allows also to model income or growth plans because in addition to the typical autocall payout, it allow to define additional conditional or unconditional coupons called "plus", which are paid prior early redemption periods. Also models Cash Collect Certificates, Digital certficates, Express Certificates and Express Protection Certificates.

Customizables Attributes

Observation Dates Payouts

Plus Threshold The threshold by which the performance of the underlying must equal or exceed in order for the Plus Coupon to be awarded, 0% indicates uncondional Plus Coupon payment.
Plus Coupon Additional (unconditional) coupons (Plus) to be paid at every period until early redemption is available.
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 at 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. Memory is applied to both Coupons and Plus Coupons.
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 calculated by multiplying the coupon for the observation period index.

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 Autocall frequency.
Frequency Coupon Coupon frequency.
Early Redemption from Period Period from which the contract can mature early. (periods are counted with Frequency Autocall)
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.
Position Determines how the performances of the underyling 's' is calculated: it can be Long (the performance is calculated as s[t]/s[strike]-1) or Short 1-s[t]/s[strike]
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,

Final Payout

Capital Protection If greater than zero represents the capital protection.
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.
Final Threshold A final coupon will be paid if the underlying performance at maturity is greater than the provided level.
Final Coupon Coupon to be awared at the final payment date if the underlying performance is greater than the final coupon threshold.
Additional Threshold Threshold over which the contract will pay an additional coupon which will be added to the final coupon, 0% indicates uncondional additional coupon payment.
Additional Coupon Coupon to be added to the fiinal coupon if the underlying level is above the 'Additional Threshold'.
Airbag Reduces impact of negative performances when the underlying level is under the protection barrier.