Constant Leverage Certificate — Short
A fixed negative multiple of the daily return of the underlying, reset every day.
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.
Shown as an approximation. The product is re-levered daily, so its value over more than one day depends on the whole path; the single-step line is not a payoff at maturity.
- Single-period approximation (one rebalancing step)
Value 100 %
Per 10'000 of nominal
| Underlying at maturity | Level | Value | Amount | Gain / loss |
|---|---|---|---|---|
| −30 % | 70 % | 220 % | 22'000 | +12'000 |
| unchanged | 100 % | 100 % | 10'000 | +0 |
| +30 % | 130 % | 0 % | 0 | −10'000 |
For leverage products the nominal stands for the initial underlying level; the amount is the value of a position that controlled 10,000 of underlying at the start. Premium, financing and time value are not included. Scenario: Single-period approximation (one rebalancing step).
Data table and formulas
Constant Leverage Certificate - Short (2300), scenario "Single-period approximation (one rebalancing step)": value per unit at maturity for an underlying at 0 % → 500 %; 0.1 % → 499.6 %; 4 % → 484 %; 100 % → 100 %; 200 % → 0 % of its initial level.
| Series | Formula | 0 % | 25 % | 50 % | 75 % | 100 % | 125 % | 150 % | 175 % | 200 % |
|---|---|---|---|---|---|---|---|---|---|---|
| Leverage x Short Underlying | −leverage × S | 0 | -100 | -200 | -300 | -400 | -500 | -600 | -700 | -800 |
| x Long Zero Bond | (leverage + 1) × 100 | 500 | 500 | 500 | 500 | 500 | 500 | 500 | 500 | 500 |
| Intraday Reset / Adjustment Mechanism | max(−(100 − leverage × (S − 100)), 0) | 0 | 0 | 0 | 0 | 0 | 0 | 100 | 200 | 300 |
| Product | max(100 − leverage × (S − 100), 0) | 500 | 400 | 300 | 200 | 100 | 0 | 0 | 0 | 0 |
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.
- Leverage x Short Underlying−leverage × S
- x Long Zero Bond(leverage + 1) × 100
- Intraday Reset / Adjustment Mechanismmax(−(100 − leverage × (S − 100)), 0)
- Product: single-period approximation (one rebalancing step)max(100 − leverage × (S − 100), 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
- Leverage x Short Underlying (rebalanced daily)
- (Leverage + 1) x Long Zero Bond (cash and short-sale proceeds)
- Intraday Reset / Adjustment Mechanism (floor at zero)
- Note: no static replication exists - the exposure is re-levered every day; the chart is an approximation (see Notes)
In plain English
Each day the certificate earns minus the leverage factor times the daily return. The short exposure is rebuilt every day, so a steady decline compounds in your favour and a choppy market erodes value.
The construction is leverage times a short underlying plus a long zero bond holding the cash and short-sale proceeds, with a reset mechanism that floors the value at zero. Like the long version it has no static replication; the chart is an approximation.
Chances and risks
Chances
- Constant short leverage without a knock-out.
- Compounding in a steady decline.
Risks
- Path dependency in volatile markets.
- A sharp rally can take the value close to zero within a day.
- Issuer credit risk.
Who it fits
- Short-term traders with a clear negative view and daily monitoring.
Who it does not fit
- Hedgers who want a stable hedge ratio over weeks.
Features that can be added
Cross-category features from the workbook that issuers attach to this type.
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