Coupon Payment

Coupon with Memory Effect:

Each period begins and ends on a specified date, known as the observation date. On this date, the conditions for coupon payment are evaluated.
If on the observation date (Observation 1) the value of at least one of the underlying assets (red line) falls below the coupon barrier level (white line), the coupon is not paid out, but it is not lost. It is remembered until the next observation date when the possibility of its payment will be assessed again.
If on the observation date (Observation 2) the value of the base assets exceeds or is equal to the coupon barrier level (white line), not only the current coupon is paid, but also all unpaid previous coupons.

Product Redemption Scenarios

The structured product can be redeemed both on the set date and prematurely, subject to certain conditions.

Early redemption (autocall):

If on one of the observation dates all shares (Observation 2) included in the structured product are above the redemption/coupon barrier and the autocall level, then the product is redeemed early.
In this case, you receive 100% of the invested capital plus a coupon.

Redemption at maturity (at the end of the period):

If on the last observation date (Final observation) all shares are above the coupon barrier or redemption barrier (white line), but below the autocall level (dashed line), you receive 100% of the invested capital plus a coupon.
If the value of at least one asset (red line) falls below the coupon barrier (white line) or the redemption barrier, the structured product is redeemed at maturity, but the coupon on the observation date is not paid. You receive an amount equal to the ratio of the current price of the lowest asset to the redemption barrier level, multiplied by the nominal investment.

Calculation Examples

Early redemption upon autocall triggering:

If on one of the observation dates all shares are above the coupon barrier / redemption barrier and the autocall level, you receive 100% of the invested capital plus a coupon.

Maturity redemption - all shares below the barrier:

You invested $1000 in a product with a redemption barrier of 75%.

On the last observation date, one of the shares is worth $76 (from the initial price of $100).

The amount of the final payment will be $1000, since the price of the cheapest share is higher than 75% of its original cost.

Redemption on time - at least one share below the barrier:

If the cost of one of the assets falls below the coupon barrier / redemption barrier (white line), you will receive a portion of your funds, calculated using the formula (taking into account the Geared Put function):

Initial capital * Current price of the most depreciated asset/Redemption barrier level 75%.

You invested $1000 in a structured product with a redemption barrier and a 75% coupon with the Geared Put function. On the last observation date, the stock with the worst dynamics costs $74, while its original cost was $100. Thus, the amount of the final payment will be ($74/$75)*$1000 = $986.

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