Autocallables
About 3 min
Autocallables
Visit the Mathema Option Pricing System for foreign exchange options and structured product valuation!
I. Transaction Details
Party A | XXXXX |
Party B | XXXXX (“XXXX”) |
Governing Documents | The Master Agreement for Financial Derivatives Transactions in the China Interbank Market (2009 Edition) and its supplementary agreements, and the Definitions for Financial Derivatives Transactions in the China Interbank Market (2009 Edition). |
Trade Date | 【XXXX】Y【XX】M【XX】D, not adjusted under the business day convention. |
Start Date | 【XXXX】Y【XX】M【XX】D, not adjusted under the business day convention. |
Maturity Date | The earlier of: (i) 【XXXX】Y【XX】M【XX】D, adjusted under the business day convention; or (ii) 2 business days after the Knock-Out Determination Date on which a Knock-Out Event has occurred or is deemed to have occurred. |
Notional Amount | 【XXX,XXX,XXX.XX】 RMB |
II. Fixed Amount
Fixed Amount Payer | Party B |
Fixed Amount Receiver | Party A |
Fixed Amount | On the Fixed Amount Payment Date, the Fixed Amount Payer shall pay the Fixed Amount Receiver an amount in the Settlement Currency calculated by the Calculation Agent according to the following formula, subject to adjustment under the Knock-Out Event: Notional Amount × Fixed Rate × Fixed Rate Day Count Convention |
Fixed Rate | 【】 |
Fixed Rate Day Count Convention | Actual days from (and including) the Start Date to (but excluding) the Maturity Date divided by 360 |
Fixed Amount Payment Date | Maturity Date, adjusted under the Business Day Convention. |
III. Floating Amount
Floating Amount Payer | Party A |
Floating Amount Receiver | Party B |
Floating Amount | If no Knock-Out Event occurs during the term of the Transaction, on the Floating Amount Payment Date, the Floating Amount Payer shall pay the Floating Amount Receiver an amount in the Settlement Currency calculated by the Calculation Agent according to the following formula, subject to adjustment under the Knock-Out Event: Notional Amount × Floating Rate × Floating Rate Day Count Convention |
Floating Rate | 【】 |
Floating Rate Day Count Convention | Actual / 360 (fixed) |
Floating Amount Calculation Period | The period from (and including) the Start Date to (but excluding) the Maturity Date |
Initial Price | 【】 |
Floating Amount Payment Date | 【XXXX】Y【XX】M【XX】D, adjusted under the business day convention. |
IV. Knock-Out Event
Knock-Out Event | A Knock-Out Event is deemed to occur if, on any Knock-Out Determination Date, the Reference Asset is greater than or equal to the Knock-Out Price. |
Reference Asset | The EUR/USD spot price (or cross spot price, as applicable) on any Business Day, expressed as the amount of USD per 1 EUR displayed under the "MID" heading on the Bloomberg "BFIX" page or its successor page (collectively referred to as the Bloomberg Screen Page) at 3:00 PM Tokyo time on that Business Day. If the Bloomberg Screen Page is unavailable, or the Reference Asset is not displayed on the Bloomberg Screen Page, or the Calculation Agent determines that the exchange rate displayed on the Bloomberg Screen Page does not reflect the tradable rate currently used by market participants, the Reference Asset shall be determined by the Calculation Agent in its sole discretion, taking into account all available information it deems relevant (including but not limited to any published official or industry consensus rates). |
Knock-Out Determination Date | In each case, if the day is not a Business Day for the Reference Asset, it will be the next Business Day for the Reference Asset. |
Knock-Out Price | 【】% of the Initial Price |
Post-Knock-Out Event Rules | When a Knock-Out Event occurs: (a) No Floating Amount is payable on the Floating Amount Payment Date; (b) The Fixed Amount is still payable on the Fixed Amount Payment Date; (c) Party A will pay Party B an amount in the Settlement Currency determined by the Calculation Agent according to the following formula (the "Knock-Out Settlement Amount"): 【】% × Notional Amount × Knock-Out Day Count Convention. The Transaction shall be deemed to mature on the Maturity Date after payment of the aforementioned Fixed Amount and Knock-Out Settlement Amount, and neither party shall have any further obligations under the Transaction (except for amounts due or payable before that date). |
Knock-Out Day Count Convention | Actual days from (and including) the Start Date to (but excluding) the Maturity Date divided by 360 |
V. Settlement Payment Terms
Cash Settlement | All payments made by both parties in the same currency on the same day under this Transaction will be automatically netted, and only the net amount will be paid. |
Settlement Currency | RMB |
Business Day | For the Floating Amount Payment Date, Fixed Amount Payment Date, and Maturity Date: New York and Beijing. For the Reference Asset: Each day on which the Reference Asset is scheduled to be published on the Bloomberg Screen Page. |
Business Day Convention | Modified Following Business Day |