Twin-Win Certificate
Gains from a rise and from a moderate fall; a plain tracker once the 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 % | 70 % | 7'000 | −3'000 |
| 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. Scenario: Barrier never touched.
Data table and formulas
Twin-Win Certificate (1340), scenario "Barrier never touched": redemption at maturity for an underlying at 0 % → 0 %; 70 % → 70 %; 100 % → 100 %; 200 % → 200 % 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 |
| 2 x Long Down and Out Put - ATM | if S ≤ barrier: 0; otherwise 2 × max(strike − S, 0) | 0 | 0 | 0 | 50 | 0 | 0 | 0 | 0 | 0 |
| Product | if S ≤ barrier: S; else if S < strike: 2 × strike − S; otherwise S | 0 | 25 | 50 | 125 | 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.
- Long UnderlyingS
- 2 x Long Down and Out Put - ATMif S ≤ barrier: 0; otherwise 2 × max(strike − S, 0)
- Product: barrier never touchedif S ≤ barrier: S; else if S < strike: 2 × strike − S; 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)
- 2 x Long Down and Out Put - ATM
In plain English
A tracker plus two down-and-out puts at the strike. Below the strike, each put pays the distance to the strike; two of them turn a 10 % loss of the underlying into a 10 % gain of the product, as long as the barrier was never touched. Above the strike only the tracker matters.
Unlike the capital-protected twin-win (1135) there is no floor: after a barrier touch the puts are gone and the product ends wherever the underlying ends. There is also no upper barrier, so the upside is never knocked out.
Chances and risks
Chances
- Positive returns from moderate moves in both directions.
- Unlimited upside.
Risks
- Large falls, the ones that would pay most, touch the barrier and leave a tracker.
- No capital protection.
- Issuer credit risk.
Who it fits
- Investors who expect movement within a range and are comfortable with equity risk.
Who it does not fit
- Investors expecting a crash, or anyone who needs a floor.
Features that can be added
Cross-category features from the workbook that issuers attach to this type.
Nearby on the map
- 1300Participation ProductsTracker Certificate — Bull
One for one with the underlying, often an index or a basket that is hard to buy directly. - 1300Participation ProductsTracker Certificate — Bear
Gains when the underlying falls, loses when it rises; worthless once the underlying reaches the reverse level. - 1310Participation ProductsOutperformance Certificate
Moves one for one below the strike and faster than the underlying above it. - 1320Participation ProductsBonus Certificate
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