Additional features

Twelve modifications that issuers attach to the base products. Each one is a change to the construction, so each one is a visible change to the line. Before on the left, after on the right.

Look-back

The strike and/or the barrier are not fixed on the issue date. They are set at the end of an initial observation window, usually at the most favourable level seen in that window (the lowest fixing for a bullish product). The investor therefore does not have to time the entry.

What it does to the payoff

The whole payoff profile is anchored to the level found in the look-back phase instead of the issue-date level. Timing risk is reduced; in return the coupon, bonus or participation is a little lower.

What it does to the construction

The vanilla or barrier option is replaced by a forward-start option whose strike (and barrier) are fixed later. The zero bond is unchanged.

Applies to: Capital Protection, Yield Enhancement, Participation, Additional Credit Risk. On this site: Capital Protection Note with Participation, Capped Capital Protection note with participation, Capital Protection Certificates with Barrier and Rebate, Capital Protection Certificates with Twin-Win, Capital Protection with Coupon, Capital Protection Certificate with Knock-Out — Bear and 17 more.

Without. Strike fixed at the issue-date level of 100. Blocks: Zero bond + Long call, strike 100.

With look-back. The look-back window found a low of 90: the whole profile moves left. Participation is a little lower to pay for it. Blocks: Zero bond + Forward-start call, strike fixed after the window (90).

Asian Option

The relevant price of the underlying is an average of several fixings (for example monthly or quarterly), not a single closing price. The averaging can apply to the final fixing, the initial fixing or both.

What it does to the payoff

A late crash or spike has much less effect on the redemption because only its weight in the average counts. The payoff is smoother and less dispersed, and the option is cheaper, which allows better terms.

What it does to the construction

The final-fixing option is replaced by an average-rate (Asian) option with the same strike. All other blocks stay the same.

Without. Redemption against the single closing level at maturity. Blocks: Zero bond + Long call on the final fixing.

With asian option. Same shape, but the horizontal axis is now the average of the periodic fixings. A late spike or crash only counts with its weight in the average. Blocks: Zero bond + Long average-rate (Asian) call, same strike.

Autocallable

On each observation date the product checks whether the underlying is at or above a trigger (bullish version). If it is, the product is redeemed early at nominal plus the coupon due; otherwise it runs on to the next date.

What it does to the payoff

The payoff at legal maturity only applies if the product has never been called. Early redemption shortens the expected life and caps the total return at nominal plus the coupons received up to the call date.

What it does to the construction

Adds a chain of Bermudan-style digital triggers that terminate all remaining blocks. This cannot be expressed as a single static maturity decomposition; valuation needs a path-dependent model (lattice or Monte Carlo).

Applies to: Yield Enhancement (1255, 1260), Capital Protection with Coupon, Additional Credit Risk. On this site: Reverse Convertible with Conditional Coupon, Barrier Reverse Convertible with Conditional Coupon, Capital Protection with Coupon, Credit Linked Note, Certificate with Conditional Capital Protection and Additional Credit Risk, Yield Enhancement Certificate with Additional Credit Risk and 1 more.

Without. A barrier reverse convertible held to maturity (barrier never touched). Blocks: Zero bond + Short down-and-in put.

With autocallable. On an observation date at or above the trigger the product ends early at nominal plus the coupon due; the remaining blocks are cancelled. Below the trigger it continues unchanged. Blocks: Zero bond + Short down-and-in put + Chain of digital triggers that terminate all later blocks (path dependent, no static sum).

Conditional Coupon

The coupon is only paid if a condition is met on the observation date, typically that the underlying is at or above a coupon trigger. Some versions have a memory: coupons missed earlier are paid later once the condition is met again.

What it does to the payoff

The coupon becomes a step in the payoff (paid or not) instead of a fixed amount. Over the term the number of coupons received depends on the path of the underlying.

What it does to the construction

The fixed coupon inside the zero bond is replaced by cash-or-nothing (digital) options, one per observation date, with the coupon trigger as strike. Memory coupons add digitals that depend on earlier fixings.

Applies to: Yield Enhancement, Capital Protection with Coupon, Additional Credit Risk. On this site: Discount Certificate, Discount Certificate with Barrier, Reverse Convertible, Barrier Reverse Convertible, Reverse Convertible with Conditional Coupon, Barrier Reverse Convertible with Conditional Coupon and 5 more.

Without. Reverse convertible: the coupon is part of the zero bond and paid in every case. Blocks: Zero bond, face 100 + coupon + Short put at 100.

With conditional coupon. The coupon becomes a step: paid when the underlying is at or above 80 on the observation date, missed otherwise. Blocks: Zero bond, face 100 + Short put at 100 + Cash-or-nothing call at the trigger, one per observation date.

Capped Participation

The redemption has a fixed maximum. Above the cap the investor no longer takes part in further gains of the underlying.

What it does to the payoff

The payoff line becomes flat above the cap. The premium earned for giving up the upside pays for a higher participation, a better protection level, a lower barrier or a higher coupon.

What it does to the construction

A short call at the cap level (bullish) or a short put at the floor level (bearish) is added to the structure.

Applies to: Capital Protection, Participation (Outperformance, Bonus, Twin-Win with cap); inherent in Yield Enhancement products. On this site: Capital Protection Note with Participation, Capped Capital Protection note with participation, Capital Protection Certificates with Barrier and Rebate, Capital Protection Certificates with Twin-Win, Capital Protection with Coupon, Capital Protection Certificate with Knock-Out — Bear and 5 more.

Without. Participation continues without limit. Blocks: Zero bond + Long call at 100.

With capped participation. The sold call at 130 flattens the line above the cap; its premium pays for a higher participation below it. Blocks: Zero bond + Long call at 100 × 1.5 + Short call at 130 × 1.5.

European Barrier

The barrier is observed only at the final fixing, not continuously during the term. Intermediate breaches do not count.

What it does to the payoff

The investor loses the protection only if the underlying is beyond the barrier at maturity itself. Protection is stronger, so the coupon, bonus or discount is somewhat smaller than with a continuously observed barrier.

What it does to the construction

The continuously monitored knock-in or knock-out option is replaced by its European counterpart. A European barrier option can be built statically from vanilla options and digitals at maturity, so the construction becomes a pure maturity payoff.

Applies to: Yield Enhancement (1210, 1230, 1260), Participation (1320, 1330, 1340), Capital Protection with Barrier. On this site: Discount Certificate with Barrier, Barrier Reverse Convertible, Barrier Reverse Convertible with Conditional Coupon, Bonus Certificate, Bonus Outperformance Certificate, Twin-Win Certificate and 3 more.

Without. With a continuously observed barrier the outcome depends on the whole path: two lines for the same final level. Blocks: Zero bond, face 108 + Short down-and-in put, continuously observed.

With european barrier. Observed only at the final fixing, the barrier becomes a single line: the final level alone decides. The coupon is a little lower for the stronger protection. Blocks: Zero bond, face 108 + Short European down-and-in put — statically replicable with a vanilla put and a digital at maturity.

Inverse

The product gains when the underlying falls and loses when it rises (bear version).

What it does to the payoff

The payoff is mirrored around the initial or reverse level: falling prices generate the redemption profile that rising prices generate in the standard product.

What it does to the construction

Long positions are swapped: calls become puts and vice versa, a long underlying becomes a short underlying (in practice a long put with strike at the reverse level, or a zero bond plus short forward).

Applies to: Capital Protection, Yield Enhancement, Participation, Additional Credit Risk, Leverage (put warrants, short mini-futures, short constant leverage). On this site: Capital Protection Note with Participation, Capped Capital Protection note with participation, Capital Protection Certificates with Barrier and Rebate, Capital Protection Certificates with Twin-Win, Capital Protection with Coupon, Capital Protection Certificate with Knock-Out — Bear and 20 more.

Without. The standard product gains when the underlying rises. Blocks: Long underlying (zero-strike call).

With inverse. Mirrored around the initial level: a fall in the underlying produces the gain the rise produced before. Blocks: Long put at the reverse level = zero bond (face 200) + short underlying, floored at zero.

Lock-in

Once the underlying has touched a predefined lock-in level, the minimum redemption is fixed at a stated amount, whatever happens afterwards.

What it does to the payoff

A floor is switched on by touching the lock-in level, which protects gains already achieved. Products can have several lock-in levels that ratchet the floor upwards.

What it does to the construction

Adds one-touch (up-and-in) digital options or a knock-in zero bond for each lock-in level. The feature is path dependent.

Applies to: Participation, Capital Protection, Yield Enhancement. On this site: Tracker Certificate — Bull, Tracker Certificate — Bear, Outperformance Certificate, Bonus Certificate, Bonus Outperformance Certificate, Twin-Win Certificate and 13 more.

Without. A bonus certificate: floor at the bonus level while the barrier holds, full upside above it. Blocks: Long underlying + Long down-and-out put at the bonus level.

With lock-in. Once the underlying has touched 125, the minimum redemption is fixed at 125 whatever happens afterwards — the barrier no longer matters. Blocks: Long underlying + Long down-and-out put at the bonus level + Up-and-in (one-touch) structure that switches on a floor at the lock-in level.

Outperformance

Above the strike the investor takes part in the gains of the underlying with more than 100%, for example 150%.

What it does to the payoff

The payoff line is steeper than the underlying above the strike. Below the strike the product moves 1:1 with the underlying. The outperformance point is the level at which a direct investment would have earned the same.

What it does to the construction

(Participation - 1) additional long calls at the strike are added. They are usually financed with the dividends the investor forgoes and, in the capped version, with a short call at the cap.

Applies to: Participation (1310, 1330), Capital Protection with Participation. On this site: Outperformance Certificate, Bonus Outperformance Certificate, Capital Protection Note with Participation, Capped Capital Protection note with participation.

Without. One for one with the underlying. Blocks: Long underlying.

With outperformance. Steeper above the strike: 0.5 extra calls at 100, paid for with the dividends the investor forgoes. Blocks: Long underlying + Long call at 100 × (1.5 − 1).

Partial Capital Protection

The protection level is below 100% of the nominal, by SSPA convention between 90% and 100%.

What it does to the payoff

The floor of the payoff is lower than the nominal (for example 90%). In return the participation or coupon is higher than in a fully protected product.

What it does to the construction

The zero bond has a smaller face value, which frees premium for a larger option position (more calls or a higher participation).

Applies to: Capital Protection; also Additional Credit Risk (1410).

Without. The zero bond repays the whole nominal. Blocks: Zero bond, face 100 + Long call at 100 × 1.0.

With partial capital protection. A smaller zero bond (face 90) frees budget for more calls: the floor is lower, the slope steeper. Blocks: Zero bond, face 90 + Long call at 100 × 1.6.

Softcallable

The issuer has the right, but not the obligation, to redeem the product early on certain dates at a predefined price.

What it does to the payoff

The investor faces reinvestment risk: when conditions are favourable for the issuer the product is called and the remaining upside is lost. In return the terms are better than without the call right.

What it does to the construction

The investor is short a Bermudan call option on the product itself, written to the issuer. The feature is path dependent and has no static decomposition.

Without. Without a call right the product always runs to maturity. Blocks: Zero bond + Long call at 100.

With softcallable. The issuer may redeem early at a set price on certain dates — typically when the remaining upside is valuable to it. The investor is left to reinvest. Blocks: Zero bond + Long call at 100 + Short Bermudan call on the product itself, written to the issuer (path dependent, no static sum).

Variable Coupon

The coupon is not fixed. It varies with a defined scenario, for example the performance of the underlying, the number of basket members above a level, or a floating interest rate.

What it does to the payoff

The coupon component of the payoff changes with the underlying or the rate instead of being flat. Total return is uncertain even if the nominal is protected.

What it does to the construction

The fixed coupon is replaced by options on the underlying (calls, digitals or spreads) or by a floating-rate leg.

Applies to: Capital Protection with Coupon, Yield Enhancement, Additional Credit Risk. On this site: Capital Protection with Coupon, Discount Certificate, Discount Certificate with Barrier, Reverse Convertible, Barrier Reverse Convertible, Reverse Convertible with Conditional Coupon and 5 more.

Without. A coupon of one fixed size. Blocks: Zero bond + Cash-or-nothing call at the trigger paying 4.

With variable coupon. The coupon follows the performance of the underlying: half of the rise above 100, capped at 10. A call spread stands in for the digital. Blocks: Zero bond + Long call at 100 × 0.5 + Short call at 120 × 0.5.

Feature descriptions follow the workbook's "Additional Features" sheet; the before/after charts are built from the same engine as the product pages, with illustrative parameters.