Concepts
Worked example
One NVDA series followed through three possible paths.
Series terms
| Term | Value |
|---|---|
| Underlying | NVDA Stock Token |
| S0 | 200.00 |
| Autocall | 105% = 210.00 |
| Barrier | 78% = 156.00 |
| Discovered coupon | 0.60% per observation |
| Matched notional | 10,000 USDG (50 tokens) |
Escrow at strike
BarrierCore holds 10,000 USDG from CARRY, 50 NVDA tokens from GUARD and GUARD's prefund of 10,000 × 1.30% × 12 + 60 fee = 1,620 USDG.
Scenario A: autocall at observation 3
Closes #2 and #3 are 204 and 212. Both pay 60 USDG; #3 is at or above 210, so the note ends. CARRY receives 10,000 + 120 minus 20% coupon fee = 10,096 USDG. GUARD gets 50 tokens and its unused prefund back.
Scenario B: barrier holds to maturity, no autocall
Ten closes stay between 156 and 210, two fall below 156 mid-term, the final close is 171. Ten coupons pay 600, net 480 after fees. CARRY receives 10,480 USDG; GUARD gets its stock back.
Scenario C: barrier breached at maturity, physical settlement
Eleven coupons pay before a final close of 140. CARRY receives 50 NVDA tokens (worth 7,000 at 140) plus 528 USDG net coupons. GUARD receives 10,000 USDG and its unused prefund.
Side by side
| Scenario | CARRY value | GUARD outcome |
|---|---|---|
| A | 10,096 USDG | Stock back, paid 120 coupons |
| B | 10,480 USDG | Stock back, paid 600 coupons |
| C | 7,528 at the final close | 10,000 USDG for stock worth 7,000 |
What this example does not show
Gas, the notional fee charged to GUARD, partial fills and multiplier changes. Figures are illustrative.