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Derivatives

  Derivatives   |   Terms
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  • July 14, 2021
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Thunderball

A hybrid derivative structure in which the coupon is determined as the difference between the previous coupon and a predefined reference strike, adjusted with an appropriate leverage percentage (gearing):

Coupon = gearing × (previous coupon – index)

The leverage level determines how aggressive the structure is: its dependency on the previous coupon is increased by a gearing on the previous coupon.

This structure is also known as a callable geared ratchet inverse floater.


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