Outperformance Certificate
Moves one for one below the strike and faster than the underlying above it.
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 % | 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.
Data table and formulas
Outperformance Certificate (1310): redemption at maturity for an underlying at 0 % → 0 %; 1.5 % → 1.5 %; 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 |
| Product | if S > strike: strike + participation × (S − strike); otherwise S | 0 | 25 | 50 | 75 | 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)
- Productif S > strike: strike + participation × (S − strike); otherwise S
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)
In plain English
To the tracker, the issuer adds extra calls at the strike: participation minus one of them. Above the strike the product therefore rises by the participation rate, 150 % in the example, for every 1 % the underlying gains. Below the strike it behaves like the underlying.
The extra calls are paid for with the dividends you forgo. The outperformance point is the level where a direct investment, dividends included, would have earned the same.
Chances and risks
Chances
- Above-market participation in a rally.
- No cap in the standard version.
- Same downside as the underlying, not worse.
Risks
- Full downside below the strike.
- No dividends.
- Issuer credit risk.
Who it fits
- Investors with a confident positive view who are willing to trade dividends for leverage on the upside.
Who it does not fit
- Investors who expect a sideways market: they give up dividends for nothing.
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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At least the bonus level at maturity if the barrier was never touched; a plain tracker if it was.Barrier - 1330Participation ProductsBonus Outperformance Certificate
A bonus certificate with extra participation above the strike.Barrier - 1340Participation ProductsTwin-Win Certificate
Gains from a rise and from a moderate fall; a plain tracker once the barrier is touched.Barrier