Bonus Outperformance Certificate
A bonus certificate with extra participation above the strike.
Payoff at maturity
Move the parameters; the product formula and its building blocks are recomputed from the same engine that is tested against the workbook.
Barrier products are path dependent. The chart shows the redemption at maturity given the scenario you select; whether the barrier was touched is decided by the whole price path, not by the final level alone.
- Barrier never touched
Redemption 100 %
Per 10'000 of nominal
| Underlying at maturity | Level | Redemption | Amount | Gain / loss |
|---|---|---|---|---|
| −30 % | 70 % | 70 % | 7'000 | −3'000 |
| unchanged | 100 % | 100 % | 10'000 | +0 |
| +30 % | 130 % | 145 % | 14'500 | +4'500 |
Coupons are shown as paid at maturity together with the nominal. Costs, taxes and the price you paid are not included. Scenario: Barrier never touched.
Data table and formulas
Bonus Outperformance Certificate (1330), scenario "Barrier never touched": redemption at maturity for an underlying at 0 % → 0 %; 1.5 % → 1.5 %; 70 % → 70 %; 100 % → 100 %; 200 % → 250 % of its initial level.
| Series | Formula | 0 % | 25 % | 50 % | 75 % | 100 % | 125 % | 150 % | 175 % | 200 % |
|---|---|---|---|---|---|---|---|---|---|---|
| Long Underlying | S | 0 | 25 | 50 | 75 | 100 | 125 | 150 | 175 | 200 |
| Long Call - ATM x | (participation − 1) × max(S − strike, 0) | 0 | 0 | 0 | 0 | 0 | 12.5 | 25 | 37.5 | 50 |
| Long Down and Out Put | if S ≤ barrier: 0; otherwise 1 × max(bonus level − S, 0) | 0 | 0 | 0 | 25 | 0 | 0 | 0 | 0 | 0 |
| Product | if S ≤ barrier: S + (participation − 1) × max(S − strike, 0); otherwise max(S, bonus level) + (participation − 1) × max(S − strike, 0) | 0 | 25 | 50 | 100 | 100 | 137.5 | 175 | 212.5 | 250 |
Largest difference between the sum of the blocks and the product formula over the grid: 0.0e+0.
How it is built
Each block drawn on its own, then added. The last chart is the sum, and it is identical to the product line above.
- Long UnderlyingS
- Long Call - ATM x(participation − 1) × max(S − strike, 0)
- Long Down and Out Putif S ≤ barrier: 0; otherwise 1 × max(bonus level − S, 0)
- Product: barrier never touchedif S ≤ barrier: S + (participation − 1) × max(S − strike, 0); otherwise max(S, bonus level) + (participation − 1) × max(S − strike, 0)
Largest gap between the sum of the blocks and the product formula on this grid: 0.0e+0. The same identity is tested for every product and scenario in the site's test suite.
Construction, as listed in the workbook
- Long Underlying (Zero-Strike Call)
- Long Call - ATM x (Participation - 1)
- Long Down and Out Put (strike = Bonus Level)
In plain English
The bonus structure (tracker plus down-and-out put) is combined with the outperformance structure (extra calls at the strike). Below the strike and above the barrier you receive at least the bonus level; above the strike you participate with more than 100 %.
In the workbook example the bonus level equals the strike. If the bonus level is set above the strike, the two features overlap and the sum of blocks is the bonus floor plus the outperformance part.
Chances and risks
Chances
- Bonus floor while the barrier holds.
- Above-market participation in a rally.
Risks
- Barrier touch removes the bonus; the product then tracks the underlying.
- No dividends.
- Issuer credit risk.
Who it fits
- Investors who expect a rise and want a buffer in case it is delayed.
Who it does not fit
- Investors who expect a sharp fall.
Features that can be added
Cross-category features from the workbook that issuers attach to this type.
Nearby on the map
- 1300Participation ProductsTracker Certificate — Bull
One for one with the underlying, often an index or a basket that is hard to buy directly. - 1300Participation ProductsTracker Certificate — Bear
Gains when the underlying falls, loses when it rises; worthless once the underlying reaches the reverse level. - 1310Participation ProductsOutperformance Certificate
Moves one for one below the strike and faster than the underlying above it. - 1320Participation ProductsBonus Certificate
At least the bonus level at maturity if the barrier was never touched; a plain tracker if it was.Barrier - 1340Participation ProductsTwin-Win Certificate
Gains from a rise and from a moderate fall; a plain tracker once the barrier is touched.Barrier