Portfolio demonstration · synthetic data

FCN Tracker

Structured Product Monitoring Platform

An interactive portfolio demonstration showing how Fixed Coupon Note terms and multi-underlying price paths can be translated into structured product monitoring logic.

Explore Demo Products How the demo works

Explore Demo Products

Demo valuation date 30 Jun 2025 · all terms and prices synthetic

DEMO-FCN-001Synthetic demo

ALPHA · BETA · GAMMA

Knocked out · early redemption

Underlyings: 3 · worst-of
Tenor: 6 months
Annualized coupon: 14.00%
KO observation: Daily
Memory KO: Yes
Knock-in: None

Daily memory KO: each underlying's first close at or above KO is remembered; the note knocks out when the last laggard crosses — even though the three were never above KO on the same day.

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DEMO-FCN-002Synthetic demo

DELTA · KAPPA · SIGMA · OMEGA

Active · KO observation

Underlyings: 4 · worst-of
Tenor: 12 months
Annualized coupon: 16.80%
KO observation: Monthly
Memory KO: No
Knock-in: EKI

Monthly non-memory KO with a European knock-in: all four must be at or above KO on the same monthly observation date. The worst performer now trades below strike but above KI.

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DEMO-FCN-003Synthetic demo

ZETA · THETA · LAMBDA

Matured

Underlyings: 3 · worst-of
Tenor: 6 months
Annualized coupon: 13.20%
KO observation: Daily
Memory KO: Yes
Knock-in: AKI

Daily memory KO with an American knock-in: two underlyings recorded KO, the laggard breached KI mid-tenor and finished below strike, so the matured note settles by physical delivery.

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1. Product Logic

Coupon schedule: A fixed rate agreed at issue and paid every period (monthly in these demos) regardless of how the underlyings perform. Coupons stop only if the note is redeemed early after a knock-out.
Observation periods: Each coupon period has an observation window. Daily-KO products check every close from the KO start date; monthly-KO products check only each period's observation end date.
Knock-out level: Knock-out barrier as a % of each underlying's initial price. Once the KO condition is met on an observation date, the note is redeemed early at 100% of notional plus that period's coupon.
Strike level: At maturity, if the worst performer closes below strike (and, for products with a KI, a knock-in has occurred), the investor receives shares of that underlying at the strike price instead of 100% cash.
Memory KO: Memory KO records each underlying's first close at or above KO; the note knocks out once every underlying has a record, even on different days. Non-memory requires all underlyings at or above KO on the same observation date.
Underlying performance: Latest close ÷ initial fixing − 1, measured from the initial observation date. FCNs are typically worst-of: the maturity outcome is driven by the underlying with the lowest price relative to its initial fixing.
Maturity state: The final valuation date. Without a knock-out, the note settles either at 100% par or by physical delivery of the worst performer, depending on its final level, the strike and any KI.

2. Monitoring Workflow

1
Define terms
Coupon rate, tenor, KO / strike / KI levels, observation rule and underlyings are captured as a typed product definition; the coupon schedule is generated from the initial observation date.
2
Assemble price paths
Per-ticker daily closes are combined into one per-product series from the trade date, then limited to the valuation date.
3
Evaluate observations
The engine selects the observation dates (every close, or monthly dates only), applies the non-call period, and evaluates memory or same-day KO.
4
Derive product state
Status (non-call, active, knocked out, matured), coupon status, worst performer, distance to barriers, KI events and maturity settlement.
5
Present
Pre-rendered pages show the summary, timeline, underlying table, KO condition, coupon periods and an interactive price-path chart.

3. Engineering Architecture

Synthetic product definition
Synthetic price series
FCN state engine
KO / strike / coupon evaluation
Product state
Next.js UI + charts

Next.js App Router, React and TypeScript; every page statically generated, in English and Traditional Chinese.
Pure, framework-free engine in lib/ — deterministic and unit-tested.
Recharts for the price-path chart; Tailwind CSS for styling.
CI runs a public-content scanner, node:test suites and a production build.
No credentials, databases or network calls are needed to run the demo.

How the Demo Works

Multiple underlyings. Each FCN references a basket of three or four fictional stocks. Every price is expressed relative to that stock's initial fixing, and the product is worst-of: the weakest underlying drives the maturity outcome.

Predefined coupons. The annualized coupon and the monthly schedule are fixed at issue. Coupons are paid whatever the underlyings do; they stop only when the note is redeemed early after a knock-out.

KO on observation dates. The knock-out condition is not checked during the first (non-call) period. After that it is checked on every close (daily) or only on each period's observation end date (monthly). When it is met, the note redeems at 100% of notional plus that period's coupon.

Memory KO. With memory, each underlying that closes at or above KO on an observation date is recorded, and the note knocks out once every underlying has a record — even on different days. Without memory, all underlyings must be at or above KO on the same observation date.

Strike and maturity. If no KO occurs, the worst performer's final level is compared with the strike. At or above strike the note repays 100% in cash; below strike the investor receives that underlying's shares at the strike price — unless a knock-in barrier applies and was not breached.

Knock-in styles. An EKI barrier is tested only on the final valuation date; an AKI barrier on every daily close during the tenor. The demo uses inclusive KO (≥) and strict strike / KI (<) boundaries; real term sheets define these individually.

Each product page also re-runs the same synthetic path under the alternative KO rules (and, for the matured example, the alternative KI styles) so the effect of each rule is visible. Those comparisons are educational only.