Memory coupon
Definition · Level 10 · Derivatives pricing
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Feature where missed conditional coupons are paid later if the underlying is back above the coupon barrier on a future observation date.
Example
Missed at 65% and 68%, back to 75% → pays all three 2% coupons: 6%.
Where Tradecraft teaches it
Level 10 · Derivatives pricing, in the lesson “Structured products: guaranteed notes, reverse convertibles, autocalls”: Decompose every note into bond + options, and say who is long what.
Related terms
- AutocallableNote that redeems early at par plus coupon if the underlying is at or above a trigger on an observation date; if never called, capital is at risk…
- Capital-guaranteed noteZero-coupon bond + call option: 100% of capital back at maturity (issuer credit permitting) plus a share of the upside.
- Discount certificateListed product = underlying − call (a wrapped covered call): bought below spot, with upside capped at the strike.
- Dividend futuresExchange-traded contracts on the dividends an index pays in a given calendar year; structured-product desks sell them to hedge their long dividend…
- Participation rateShare of the underlying’s rise paid by a guaranteed note: (100 − zero-coupon price − fees) ÷ call price.
- Protection barrierLevel (e.g. 60% of initial) at or above which an autocallable that was never called repays full capital; below it the investor loses one-for-one…