How to Use the Structured Note Redemption Calculator
A market-linked structured note pays out based on how an underlying asset (or basket of assets) performs versus levels set at issuance. On each observation date, if the underlying is at or above the redemption barrier, the note is called and pays back principal plus a coupon; otherwise it rolls forward or, at maturity, may lock in a loss.
This calculator compares the underlying's current level (as a percent of its initial level) against the redemption barrier and the knock-in barrier to determine one of three outcomes. If the level is at or above the redemption barrier, you get principal back plus a coupon (annual coupon rate ร months elapsed รท 12). If it's below the redemption barrier but still at or above the knock-in barrier, no loss is locked in yet and the note simply rolls to the next observation date. If the level has fallen below the knock-in barrier, principal loss is triggered in proportion to how far it has fallen.
It's important to understand that this type of structured note is not principal-protected โ that's a key difference from an FDIC-insured, principal-protected market-linked CD, which guarantees your principal back at maturity regardless of market performance. Once the underlying knocks in below the barrier, the loss risk generally persists through maturity even if the asset partially recovers, so read the barrier terms in the offering documents carefully before investing.
Frequently Asked Questions
A knock-in happens when the underlying asset's price falls below the barrier set in the note's terms. If it's still below that barrier at maturity, principal loss is triggered, and the loss grows in proportion to how far the asset has fallen from its initial level.
In that case no loss is locked in yet, but the note also isn't redeemed early, so it rolls forward to the next observation date. If this repeats until maturity, the final outcome is decided on the maturity valuation date.
Not with the type of structured note modeled here. Unlike a principal-protected, FDIC-insured market-linked CD, a market-linked structured note without principal protection can lose principal if the underlying asset stays below the knock-in barrier at maturity โ always check whether your specific product offers principal protection before investing.