Capital Protection Note with Participation
Your nominal back at maturity, plus a share of any rise in the underlying.
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.
- Product
Redemption 100 %
Per 10'000 of nominal
| Underlying at maturity | Level | Redemption | Amount | Gain / loss |
|---|---|---|---|---|
| −30 % | 70 % | 100 % | 10'000 | +0 |
| unchanged | 100 % | 100 % | 10'000 | +0 |
| +30 % | 130 % | 130 % | 13'000 | +3'000 |
Coupons are shown as paid at maturity together with the nominal. Costs, taxes and the price you paid are not included.
Data table and formulas
Capital Protection Note with Participation (1100): redemption at maturity for an underlying at 0 % → 100 %; 1 % → 100 %; 100 % → 100 %; 200 % → 200 % 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 |
| Long Call - ATM | participation × max(S − strike, 0) | 0 | 0 | 0 | 0 | 0 | 25 | 50 | 75 | 100 |
| Product | if S > strike: protection level + participation × (S − strike); otherwise protection level | 100 | 100 | 100 | 100 | 100 | 125 | 150 | 175 | 200 |
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
- Long Call - ATMparticipation × max(S − strike, 0)
- Productif S > strike: protection level + participation × (S − strike); 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
- Long Call - ATM
In plain English
The issuer takes your nominal and spends most of it on a zero bond that grows back to 100 % by maturity. What is left over buys a call option on the underlying. If the underlying ends above the strike, the call pays the difference, scaled by the participation rate. If it ends below, the call expires worthless and you receive the protection level.
The two parts never interfere: the bond is the floor, the call is the upside. That is why the payoff line is flat at 100 % and then turns upward at the strike, like a hockey stick resting on a table.
Higher interest rates make the zero bond cheaper, so more of the nominal can go into the option and the participation can be higher. Low rates do the opposite, which is why these notes become scarce when rates are near zero.
Chances and risks
Chances
- Unlimited participation in a rising underlying.
- The protection level is known from day one.
- No barrier to watch during the term.
Risks
- If the issuer defaults, the protection is worth as much as its unsecured debt.
- Protection applies only at maturity; the secondary-market price can sit well below it before then.
- You forgo dividends and earn nothing on the protected part if the underlying falls.
- Inflation erodes a flat 100 % over several years.
Who it fits
- Investors who want equity upside but cannot accept a nominal loss at maturity.
- Long holding periods matched to the maturity.
Who it does not fit
- Anyone who may need to sell before maturity.
- Investors who expect a sideways market: the option budget is then spent for nothing.
Features that can be added
Cross-category features from the workbook that issuers attach to this type.
Nearby on the map
- —Capital Protection ProductsCapped Capital Protection note with participation
A protected note whose upside stops at a cap, which pays for better terms. - 1130Capital Protection ProductsCapital Protection Certificates with Barrier and Rebate
Protected capital with participation up to a barrier; touching the barrier swaps the upside for a fixed rebate.Barrier - 1135Capital Protection ProductsCapital Protection Certificates with Twin-Win
Protected capital that gains from a move in either direction, as long as neither barrier is touched.Barrier - 1140Capital Protection ProductsCapital Protection with Coupon
Protected capital with a coupon that is paid only if the underlying is above a trigger on the fixing date. - 1130Capital Protection ProductsCapital 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.Barrier