Capped Capital Protection note with participation
A protected note whose upside stops at a cap, which pays for better terms.
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
Capped Capital Protection note with participation: redemption at maturity for an underlying at 0 % → 100 %; 1 % → 100 %; 100 % → 100 %; 130 % → 130 %; 200 % → 130 % 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 |
| Short Call - OTM | −(participation × max(S − cap, 0)) | 0 | 0 | 0 | 0 | 0 | 0 | -20 | -45 | -70 |
| Product | protection level + participation × (min(max(S, strike), cap) − strike) | 100 | 100 | 100 | 100 | 100 | 125 | 130 | 130 | 130 |
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)
- Short Call - OTM−(participation × max(S − cap, 0))
- Productprotection level + participation × (min(max(S, strike), cap) − strike)
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
- Short Call - OTM
In plain English
This is the plain capital protection note with one extra line in the construction: a call sold at the cap level. The premium received for that call is recycled into the structure, which allows a higher participation rate, a better protection level or a shorter maturity.
Between the strike and the cap the product behaves like the uncapped note. Above the cap the sold call cancels every further gain of the bought call, so the payoff line goes flat again.
Chances and risks
Chances
- Higher participation than the uncapped version.
- Protection level known from day one.
- Good fit for a moderate upside view.
Risks
- Gains above the cap are given away, however far the underlying rallies.
- Issuer credit risk on the whole nominal.
- Protection only at maturity; interim prices can be lower.
Who it fits
- Investors with a moderately positive view who value a higher participation up to a ceiling.
Who it does not fit
- Investors who expect a strong rally.
- Anyone who needs liquidity before maturity.
Features that can be added
Cross-category features from the workbook that issuers attach to this type.
Nearby on the map
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