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14. When does a minimal change in the performance of the underlying value have a disproportionate impact?

This is the case where a marginal or incremental change in the performance of the underlying value can have a negative or positive impact of more than 10% of the nominal value of the structured product, on either the repayment of the capital or on the payment(s) of the interim or final return.

The amounts can be calculated at net present value.

In order to calculate whether the impact is or is not more than 10% of the nominal value of the structured product, one has to compare the situation in which the marginal or incremental change occurs with one where it does not.

Thus a structured product with capital protection and a maturity of 5 years that offers an annual coupon of 5%, except if the value falls in relation to the initial value of the underlying, in which case a coupon of 1% is paid, does not fulfil the criteria. In such a case there is in fact, for the entire term, a (non-discounted) difference of 20% between a situation in which there is no marginal decrease in comparison to the initial value and one where such a marginal decrease does take place.