Bonus Cap

Description

A Bonus Cap is a product designed to outperform an underlying index, stock or basket in moderately rising or moderately falling markets. The payout is the maximum between a fixed payout (called bonus level) and the underlying level up to a cap level, provided that the stock or index is above the protection level at the final observation date (or during the observation period). If the Protection Barrier will be reached, the product will pay the minimum between the Cap Level and the underlying level. This template also models Bonus Certificates and Outperformance Conditional Protected

Customizables Attributes

Contract Terms

First Observation (Strike Date) Date at which the underlying is observed and reference levels are set.
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.
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 Basket of indices or equities whose performance enters in the product's payout.
Payout Type Defines how the basket performance (entering the payout) is calculated.
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

Barrier 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.
Barrier Level Defines the threshold for the protection barrier: if the performance of the underlying calculated at Last Observation Date (if European) or during the entire observation period (if American) is lower than the Barrier Level then the redemption amount will be exposed to the negative performance in the underlying.
Barrier Formula Defines how underlying levels are used in the determination of the protection barrier checking condition.
Bonus Level If the underlying level is above the barrier level (at maturity if the barrier is european or on every date between the strike date and the last observation date), the product will pay the greater between the bonus level and the underlying price (up to an optional cap level).
Has Cap If enabled the final payout is linked to the underlying performance subject to the specified cap.
Cap Level Cap at which the final payout is subject.
Participation Participation to the underlying performances when underlying is above the bonus level (up to the optional cap).
Unconditional Coupon Additional unconditional coupon (independent from underlying performance).

Observation Dates Payouts

Frequency Coupon frequency.
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.

Final Payout - Double Barrier

Has Double Barrier If enabled the final payout is linked to the underlying performance subject to the specified double barrier.
Barrier Level 2 Defines the threshold for the Bonus 2. If the performance of the underlying calculated at Last Observation Date is higher than the Barrier Level 2 but below the Barrier Level 1 the investor will receive a reward equal to the Bonus Level 2 (up to the Cap Level 2)
Bonus Level 2 If the underlying level is above the barrier level 2 but below the barrier level 1 at maturity the product will pay the bonus level 2 (up to an optional cap level).
Has Cap 2 If enabled the final payout is linked to the underlying performance subject to the specified cap.
Cap Level 2 Cap 2 at which the final payout is subject.