Key Information Document -- Capped Short Unit (CSU)
PROTOTYPE -- NOT A COMPLIANT PRIIPs KID. Internal methodology demonstration only; legal review required before any retail distribution.
Generated 2026-08-20 -- market regime: Normal Market, 100,000 Monte Carlo paths (Bates SVJ engine of the companion paper).
What is this product?
A capped up-and-out put certificate (EMTN) giving bounded-loss short exposure to a listed underlying over 30 trading days. Maximum loss = premium paid. The certificate knocks out (expires worthless) if the underlying rises 10% above its initial level on any daily close. No margin calls.
Indicative premium: 0.0971 per unit notional (includes a 0.0716 Expected-Shortfall tail loading). Knock-out probability in this regime: 13%.
Risk indicator
| MRM (VEV) | CRM (assumed) | SRI |
|---|---|---|
| 7 (VEV = inf) | 2 | 7 / 7 |
The summary risk indicator is high because the certificate can expire worthless: the 2.5th percentile of outcomes is a total loss of premium whenever the knock-out probability exceeds 2.5%.
Performance scenarios (investment: EUR 10,000, holding period: 30 trading days)
| Scenario | Final value | Return over the period |
|---|---|---|
| Stress | EUR 0 | -100% |
| Unfavourable | EUR 0 | -100% |
| Moderate | EUR 0 | -100% |
| Favourable | EUR 8,905 | -11% |
Figures are simulated percentile outcomes under the stated regime; they are not forecasts and exclude costs and taxes.
Out of scope in this prototype
- Costs, reduction-in-yield, prescribed layout and translations.
- Issuer credit risk beyond the assumed CRM class.
- SSR EU 236/2012 applicability (analysis in progress).