DEMO-FCN-003Synthetic demo

ZETA · THETA · LAMBDA

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.

Trade: 04 Nov 2024
Final valuation: 05 May 2025
KO observation: Daily · Memory
Coupon: 13.20% p.a.
Demo valuation date: 30 Jun 2025

Current status

Matured

Final valuation 05 May 2025: worst performer THETA closed at 78% of initial, below the 85% strike with the KI barrier breached. Settlement by physical delivery of THETA at the strike price (38.76).

Product summary

Annualized coupon

13.20%

≈ 1.10% paid monthly

Knock-out

100%

Strike

85%

Knock-in

65%

AKI · daily

Tenor

6 months

Underlyings

3 · worst-of

Coupons paid

6 / 6

6.60% of notional

Maturity timeline

Trade04 Nov

KO start05 Dec

KI event21 Feb

Final valuation05 May

Reached final valuation on 05 May 2025 without a knock-out.

Price path · % of initial

Synthetic closes

ZETATHETALAMBDAShaded = non-call periodGrey = underlying has recorded KO

Underlyings

Final closes: 05 May 2025

Underlying	Initial	Final	Performance	KO 100%	Strike 85%	KI 65%
ZETA Zeta Synthetic Materials KO · 09 Dec	73.45	72.72 99%	−1.0%	73.45 1.0 pp below	62.4325 14.0 pp above	47.7425
THETA Theta Synthetic Retail Worst · below strike	45.60	35.57 78%	−22.0%	45.60 22.0 pp below	38.76 7.0 pp below	29.64
LAMBDA Lambda Synthetic Logistics KO · 27 Jan	196.30	191.39 97.5%	−2.5%	196.30 2.5 pp below	166.855 12.5 pp above	127.595

KO condition

Daily · Memory

KO level: 100% of initial
KO start: 05 Dec 2024
Observation: Every close
Dates evaluated: 108

ZETARecorded 09 Dec 2024
THETANot yet recorded
LAMBDARecorded 27 Jan 2025

No KO as of 05 May 2025.

Rule comparison — the same synthetic path under each KO rule

Daily · MemoryThis product	No KO · 2/3 recorded
Daily · Non-memory	No KO
Monthly · Memory	No KO · 2/3 recorded
Monthly · Non-memory	No KO

Educational comparison using the engine in lib/fcn.ts. Only the highlighted rule is part of this product's terms.

Settlement

Physical delivery of THETA at the strike price of 38.76 (85% of initial): the notional converts into notional ÷ 38.76 shares.

THETA finished at 78% of initial, so the delivered shares are worth about 91.8% of notional at the final close (78% ÷ 85%), before coupons.

Coupons: 6 × 1.10% = 6.60% of notional, paid regardless of the settlement type.

What the knock-in style changes — same final closes, KI level 65%

No KI	Physical delivery at strike
EKI	100% par redemption
AKIThis product	Physical delivery at strike

Educational comparison. With EKI only the final close is tested against KI; with AKI any daily close during the tenor counts; with no KI the strike alone decides.

Coupon periods

No further payments

#	Observation window	Payment	Coupon	Status
1	04 Nov – 04 Decnon-call	09 Dec 2024	1.10%	Paid
2	05 Dec – 06 Jan	09 Jan 2025	1.10%	Paid
3	07 Jan – 04 Feb	07 Feb 2025	1.10%	Paid
4	05 Feb – 04 Mar	07 Mar 2025	1.10%	Paid
5	05 Mar – 04 Apr	09 Apr 2025	1.10%	Paid
6	05 Apr – 05 May	08 May 2025	1.10%	Paid

Schedule generated from the initial observation date: monthly observation ends rolled to the next business day, payment 3 business days later. 6 of 6 coupons paid (6.60% of notional).

Product summary

Maturity timelineiThe 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.

Price path · % of initial

UnderlyingsiLatest close ÷ initial fixing − 1, measured from the initial observation date.

KO conditioniMemory 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.

SettlementiAt 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.

Coupon periodsiA 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.

Maturity timeline

Underlyings

KO condition

Settlement

Coupon periods