The worst of option is composed of a bundle of put options all with the same expiration dates but each for a different crypto asset. On the expiry date, only the option of the worst performing asset will be exercised, and only then if it is in-the-money. Investors taking this trading position believe prices for crypto-assets will increase in the near future (or at the least, not tank significantly)
(2) Multi crypto asset underlying
Investors in the FCN vault are taking positions in BTC, ETH, and SOL crypto assets
(3) Note duration / expiry date
This FCN has a duration of 27 days which means that the underlying options trade expires in 27 days. Investors collect daily yield during this period and their capital cannot be withdrawn. Upon expiry, investors' capital is automatically re-invested into the newest 27 day FCN to compound earnings.
(4) Knock-in (KI) barrier option
The knock-in (KI) feature provides downside protection for investors' deposited capital. Specifically, investors will receive 100% of their initial investment in the FCN even if crypto asset prices are falling. In this case, unless crypto asset prices fall by 50% or more versus the day the vault started, investors' capital will be protected (unlike vanilla option strategies). If however the FCN does KI, the principal returned at expiry is equal to the lesser of 100% or the fallen asset price % of its initial price.