Bonus Reverse Cap


A Bonus Reverse Cap is a product designed to outperform an underlying index, stock or basket with negative performance or in stable or moderately rising markets. This product lets partecipate to negative performance of underlying up to a maximum level, the Cap Level, and corresponds a Bonus for stable or moderately decreasing levels of the underlying. Condition to receive the Bonus is that the underlying does not reach the Protection Barrier during the observation period (any date between the strike and the maturity). If the Protection Barrier will reached, the product will pay a value inversely proportional to the performance of underlying. In this case the certificate do not guarantee repayment of the invested capital.

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 underlying basket must be composed: it can be the Average or the Worst of the returns.
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.
Bonus Level If the underlying level is below 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).
Cap Level Cap at which the final payout is subject.
Unconditional Coupon Additional unconditional coupond (independent from underlying performance).