Synthetic Zero


A Synthetic Zero is a product designed to outperform an underlying index, stock or basket in moderately rising or moderately falling markets. It provides a fixed return, called the Synthetic Level, provided that the stock or index is above the Barrier Level at Expiry. Otherwise the product pays the equivalent of the stock price, index or basket level at Expiry

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.
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 Vector of tickers of underlying assets.
Payout Type Defines how underlying must be composed: it can be the Average or the Worst of the returns.
Barrier Level If the performance of the underlying calculated for the Last Observation Date is lower than the Barrier Level then the redemption amount will be exposed to the negative performance in the underlying.
Synthetic Level If the underlying level is above the Barrier Level, the product will pay at maturity the Synthetic Level.