Worked Example
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Follow an illustrative 100,000 USDG NVDA note through three settlement outcomes.
Series Terms
illustrative Terms; prices in USDG
Observation Schedule
| Observation | Date in 2026 | Close UTC |
|---|---|---|
| 0, strike | 6 Oct | 20:00 |
| 1 to 3 | 13, 20 and 27 Oct | 20:00 |
| 4 to 11 | Every Tuesday, 3 Nov to 22 Dec | 21:00 |
| 12, maturity | 29 Dec | 21:00 |
Index 0 fixes the strike; indices 1 to 12 are coupon observations. This illustrative weekly schedule is not a live series schedule. For a live series, check its published dates and the calendar rules. See also Standing Template Parameters.
Cash Flows
Per Paid Observation
fact When an observation qualifies for a coupon, the coupon fee is deducted from the gross payment. COUPON receives the balance.
| Cash Flow | USDG |
|---|---|
| Gross Coupon | 450.00 |
| Less Coupon Fee | 112.50 |
| Net to COUPON | 337.50 |
illustrative Illustrative Calculation
Funding and Escrow at Strike
illustrative Illustrative Funding
illustrative The required prefund is 17,550.00 USDG, or 17.55% of notional.
fact The notional fee is deducted from the SHIELD prefund at strike.
| Bucket | USDG |
|---|---|
| COUPON Principal | 100,000.00 |
| Remaining SHIELD Prefund | 16,800.00 |
| Accrued Fees Before Keeper Payment | 750.00 |
| Total | 117,550.00 |
illustrative Stock is held separately: 555.5556 NVDA Stock Tokens. Displayed stock quantities use four decimal places. This illustration assumes a strike quote rate of 1 USD per USDG. In Scenario C, one holder redeeming the full position receives one wei less than the matched stock amount. Rounding across multiple holders can leave different residual amounts. See Physical Settlement.
illustrative Illustrative Stock Calculation
illustrative Each holder has 100,000 USDG of matched notional, represented by 100,000,000,000 raw leg units. The escrow invariant describes the accounting rule, not an executed test of this illustration.
Scenario A: Autocall at Observation 3
illustrative The first three observed prices are 172.40, 181.10 and 190.25. All three coupons are paid; the third observation triggers autocall.
illustrative Illustrative Receipts
| Item | USDG |
|---|---|
| COUPON Net Coupons | 1,012.50 |
| COUPON Principal Returned in USDG | 100,000.00 |
| SHIELD Gross Coupons Paid | 1,350.00 |
| SHIELD Notional Fee | 750.00 |
| SHIELD Prefund Refunded | 15,450.00 |
| SHIELD Protection Cost | 2,100.00 |
| Protocol Fees After Keeper Payments | 1,079.50 |
illustrative Illustrative Reconciliation; All Amounts in USDG
Autocall returns COUPON principal in USDG and ends SHIELD protection. SHIELD receives its stock and unused prefund; no later coupons are due.
Scenario B: Cash Settlement at Maturity
illustrative Observations 1 to 11 are at least 144.00 and below 189.00. The final price is 151.00: all twelve coupons are paid and principal settles in USDG.
illustrative Illustrative Receipts
| Item | USDG |
|---|---|
| COUPON Net Coupons | 4,050.00 |
| COUPON Principal Returned in USDG | 100,000.00 |
| SHIELD Gross Coupons Paid | 5,400.00 |
| SHIELD Notional Fee | 750.00 |
| SHIELD Prefund Refunded | 11,400.00 |
| SHIELD Protection Cost | 6,150.00 |
| Protocol Fees After Keeper Payments | 2,074.00 |
illustrative Illustrative Reconciliation; All Amounts in USDG
SHIELD pays 6,150.00 USDG for twelve weeks of protection. The maturity price is above the barrier, so SHIELD receives its stock and unused prefund rather than a protection settlement.
Scenario C: Physical Settlement at Maturity
illustrative Observations 1 to 9 qualify for coupons. Observations 10 to 12 do not; the final price of 99.00 triggers physical settlement.
illustrative Illustrative Receipts
| Item | USDG |
|---|---|
| COUPON Net Coupons | 3,037.50 |
| COUPON Principal Returned in USDG | 0.00 |
| SHIELD Gross Coupons Paid | 4,050.00 |
| SHIELD Notional Fee | 750.00 |
| SHIELD Prefund Refunded | 12,750.00 |
| SHIELD Protection Cost | 4,800.00 |
| Protocol Fees After Keeper Payments | 1,736.50 |
illustrative Illustrative Reconciliation; All Amounts in USDG
COUPON receives 3,037.50 USDG and 555.5556 NVDA Stock Tokens. At the illustrative maturity price of 99.00, the stock is worth 55,000.00 USDG and the combined value is 58,037.50 USDG. This is a valuation, not a cash redemption.
SHIELD receives 100,000.00 USDG from settlement and 12,750.00 USDG of unused prefund.
What This Example Excludes
- A cancelled series with no matched notional, where every deposit is refundable. See Series Lifecycle.
- Oversubscription and pro-rata fill, covered in Coupon Discovery.
- Deferred observations and disrupted price feeds, covered in Oracle and MarketCalendar.
- Transfers of legs mid-life. Already accrued coupons settle to the sender on transfer, rather than moving with the position. See COUPON.
Side by Side
| Metric | A: Autocall | B: Cash Maturity | C: Physical Maturity |
|---|---|---|---|
| COUPON Cash Received | 101,012.50 | 104,050.00 | 3,037.50 |
| COUPON Stock Received | 0 | 0 | 555.5556 |
| SHIELD Cash Received | 15,450.00 | 11,400.00 | 112,750.00 |
| SHIELD Stock Returned | 555.5556 | 555.5556 | 0 |
| SHIELD Protection Cost | 2,100.00 | 6,150.00 | 4,800.00 |
| Net Protocol Fees | 1,079.50 | 2,074.00 | 1,736.50 |
| Terminal State | Autocalled | Matured, Cash | Matured, Physical |
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