Capital Protection Certificate with Knock-Out — Bear
The bear mirror of the barrier certificate: protected capital that gains as the underlying falls, until a lower barrier is touched.
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 % | 130 % | 13'000 | +3'000 |
| unchanged | 100 % | 100 % | 10'000 | +0 |
| +30 % | 130 % | 100 % | 10'000 | +0 |
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
Capital Protection Certificate with Knock-Out - Bear (1130), scenario "Barrier never touched": redemption at maturity for an underlying at 0 % → 105 %; 1 % → 105 %; 5 % → 105 %; 60 % → 105 %; 100 % → 100 %; 200 % → 100 % of its initial level.
| Series | Formula | 0 % | 25 % | 50 % | 75 % | 100 % | 125 % | 150 % | 175 % | 200 % |
|---|---|---|---|---|---|---|---|---|---|---|
| Zero Bond | protection level | 100 | 100 | 100 | 100 | 100 | 100 | 100 | 100 | 100 |
| Down and Out Long Put - ATM | if S > barrier: participation × max(strike − S, 0); otherwise 0 | 0 | 0 | 0 | 25 | 0 | 0 | 0 | 0 | 0 |
| Digital Barrier Long Put - ITM | if S ≤ barrier: rebate; otherwise 0 | 5 | 5 | 5 | 0 | 0 | 0 | 0 | 0 | 0 |
| Product | if S ≤ barrier: protection level + rebate; else if S < strike: protection level + participation × (strike − S); otherwise protection level | 105 | 105 | 105 | 125 | 100 | 100 | 100 | 100 | 100 |
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.
- Zero Bondprotection level
- Down and Out Long Put - ATMif S > barrier: participation × max(strike − S, 0); otherwise 0
- Digital Barrier Long Put - ITMif S ≤ barrier: rebate; otherwise 0
- Product: barrier never touchedif S ≤ barrier: protection level + rebate; else if S < strike: protection level + participation × (strike − S); otherwise protection level
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
- Zero Bond
- Down and Out Long Put - ATM
- Digital Barrier Long Put - ITM
In plain English
A down-and-out put replaces the up-and-out call. It pays the distance below the strike at maturity, as long as the underlying never touched the lower barrier. If it did, the put is gone and a one-touch digital pays the rebate.
This version is useful when you expect a decline but want a hard floor: even a sharp rally cannot push the redemption below the protection level.
Chances and risks
Chances
- Participation in a falling underlying.
- Protection level at maturity whatever happens.
- Rebate on knock-out.
Risks
- A fall that reaches the barrier ends the participation.
- Issuer credit risk.
- Protection only at maturity.
Who it fits
- Investors who expect a moderate decline and want protection against being wrong.
Who it does not fit
- Investors expecting a crash: the barrier would be touched.
Features that can be added
Cross-category features from the workbook that issuers attach to this type.
Nearby on the map
- 1100Capital Protection ProductsCapital Protection Note with Participation
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A protected note whose upside stops at a cap, which pays for better terms. - 1130Capital Protection ProductsCapital Protection Certificates with Barrier and Rebate
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Protected capital with a coupon that is paid only if the underlying is above a trigger on the fixing date.