DerivativesProducts Poster
DerivativesProducts Poster
DerivativesProducts Poster
INVESTMENT PRODUCTS
Uncapped Capital Exchangeable Certificates Capped Capital Capital Protection Capital Protection Capital Protection
Protection (1100) (1110) Protection (1120) with Knock-Out (1130) with double Knock-Out (1135) with Coupon (1140)
Market Expectation Market Expectation Market Expectation Market Expectation Market Expectation Market Expectation
Rising underlying Sharply rising underlying Rising underlying Rising underlying Rising or falling underlying Rising underlying
Rising volatility Rising volatility Sharply falling underlying possible Sharply falling underlying possible No large price swings (underlying Sharply falling underlying possible
Sharply falling underlying possible Sharply falling underlying possible remains within a range)
Profit
Profit Profit Profit Profit Profit Coupon
Cap
Rebate Rebate Rebate
11 CAPITAL PROTECTION
0 0 0 0 0 0
Strike Knock-Out Knock-Out Knock-Out
Strike
g
g
g
lyin
lyin
lyin
lyin
lyin
g
lyin
r
r
de
de
r
de
de
de
r
Un
Un
Un
de
Un
Un
Loss Loss Loss Loss
Un
Loss Loss
Discount Certificates Barrier Discount Reverse Convertibles Barrier Reverse Capped Outperformance Capped Bonus Express Certificates
(1200) Certificates (1210) (1220) Convertibles (1230) Certificates (1240) Certificates (1250) (1260)
Market Expectation Market Expectation Market Expectation Market Expectation Market Expectation Market Expectation Market Expectation
Underlying moving sideways or Underlying moving sideways or slightly rising Underlying moving sideways or Underlying moving sideways or slightly rising Rising underlying Underlying moving sideways or Underlying moving sideways or slightly rising
slightly rising Falling volatility slightly rising Falling volatility slightly rising Underlying will not breach Barrier during
Falling volatility Underlying will not breach Barrier during Falling volatility Underlying will not breach Barrier during Underlying will not breach Barrier product lifetime
product lifetime product lifetime during product lifetime
g
g
g
g
g
g
in
in
in
in
in
in
in
rly
rly
rly
rly
rly
rly
rly
de
de
de
de
de
de
de
Un
Un
Un
Un
Un
Un
Loss
12 YIELD ENHANCEMENT
Tracker Certificates Outperformance Bonus Certificates Outperformance Twin-Win Certificates DEFINITION OF TERMS
(1300) Certificates (1310) (1320) Bonus Certificates (1330) (1340) Barrier
The barrier defines the price of the underlying instrument at which the payoff scenario
Market Expectation Market Expectation Market Expectation Market Expectation Market Expectation changes when it is touched. If this threshold is breached it results in changes to the
Rising underlying Rising or slightly falling underlying repayment terms (payoff) of the structured product. As long as the underlying moves
Tracker Certificate (Bull): Rising underlying Underlying moving sideways or rising Rising underlying above the barrier the investor receives a minimum redemption (conditional capital
Tracker Certificate (Bear): Falling Rising volatility Underlying will not breach Barrier Underlying will not breach Barrier Underlying will not breach Barrier protection).
underlying during product lifetime during product lifetime during product lifetime
Bear/short
A bear or short investment means speculating on a fall in the underlying instrument.
Tracker certificates can be labeled «bear», for example. Mini-futures are labeled
Profit Profit Profit Profit Profit «short».
Be
ll
Bu
ar
Strike Cap
g
The cap is the upper limit of the participation of a structured product in the underlying.
g
g
g
g
in
lyin
lyin
lyin
in
rly
rly
er
er
er
de
de
d
d
d
Un
Un
Un
Current income
Examples of current income are dividends on shares and interest on bonds.
Characteristics Characteristics Characteristics Characteristics Characteristics
Unlimited participation in the Unlimited participation in the Unlimited participation in the development Unlimited participation in the development Unlimited participation in the development Issuer risk
development of the underlying development of the underlying of the underlying of the underlying of the underlying In law, structured products are bonds, and, like bonds and fixed-term depo¬sit
Reflects underlying price moves 1:1 Disproportional participation A Bonus Certificate turns into a Tracker Minimum redemption is equal to the Minimum redemption is equal to the Strike investments, are subject to issuer risk. As in other forms of investment, the principle of
(Outperformance) in a positive diversification applies: spreading the amount invested over a number of different
(adjusted by conversion ratio and any Certificate after breaching the Barrier Strike if the Barrier is never breached if the Barrier is never breached
issuers. In addition, movements in the issuer’s creditworthiness should be tracked
related fees) performance of the underlying Minimum redemption is equal to the Strike Disproportional participation (Outperformance) Profits possible with rising and falling (available on the SSPA website, www.sspa-association.ch. Taking these two measures
Risk comparable to a direct investment Reflects underlying price moves 1:1 if the Barrier is never breached in a positive performance of the underlying underlying ensures a high level of security and reduces the counterparty risk. To minimize the
Fees generally in the form of when below the Strike Lower risk than a direct investment due to An Outperformance Bonus Certificate Falling underlying price converts into profit issuer risk, Collateralized Secured Instruments (COSI) may also be acquired.
management fees or through the Risk comparable to a direct investment the conditional capital protection turns into an Outperformance Certificate until the Barrier
Any payouts attributable to the Nominal
retention of payouts attributable to the Larger Bonus payments or lower barriers can after breaching the Barrier A Twin-Win Certificate turns into a Tracker
The nominal is the denomination of a structured product. The redemption of a product
underlying during the lifetime of the underlying are used in favour of the be achieved at a greater risk if the product Lower risk than a direct investment due to Certificate after breaching the Barrier refers to this value. Usually the issue price equals the nominal of a product.
product strategy is based on multiple underlyings (multi-asset) the conditional capital protection Any payouts attributable to the underlying
Any payouts attributable to the underlying Any payouts attributable to the underlying are used in favour of the strategy Option
are used in favour of the strategy are used in favour of the strategy An option entitles (but does not oblige) the buyer to accept a time-limited offer. In the
offer, the underlying instrument, maturity and strike price are fixed. A distinction is
made between call and put options. When a buyer purchases a call option (right to
purchase), he is speculating on increased prices in the underlying instrument; with a
put option (right to sell), he is speculating on falling prices in the underlying instrument.
Options are one of the principal components of structured products.
Profit Profit
Ca
Kn
WITHOUT KNOCK-OUT
oc
ut
Price of Mini-Futures Products, the strike defines the reference rates of the underlyings that make up the
k-
O
k-
O
ut
oc
structured product. Barriers, bonus levels and cap levels, for example, are derived from
Kn
Pu
Profit Profit
t
Pu
ll
0 0
ll
Pu
Ca
Structured products
t
WITH KNOCK-OUT
Financing
Level
0 0 A structured financial product is a product in which financial assets such as bonds or
g
in
shares are combined with derivatives (usually options) and securitized in a stand-alone
g
Knock-Out
rly
in
rly
de
Stop-Loss
security. The re¬payment value of a structured product is amongst others dependent
de
Un
g
in
rly
de
de
Un
Un
22 LEVERAGE
Loss
Underlying
Small investment generating a leveraged Small investment generating a The underlying assets of structured products can be stocks, indices, currencies,
Characteristics Characteristics performance relative to the underlying leveraged performance relative to the commodities, interest-rates etc.
Small investment generating a leveraged Increased risk of total loss (limited to initial underlying
Small investment generating a leveraged Volatility
performance relative to the underlying investment) Increased risk of total loss (limited to
performance relative to the underlying Volatility indicates the extent to which an underlying may fluctuate in value.
Increased risk of total loss (limited to Immediately expires worthless in case the initial investment)
Increased risk of total loss (limited to
initial investment) Barrier is breached during product lifetime A residual value is redeemed following 99 products
initial investment)
Suitable for short term speculation or Suitable for short term speculation or a stop loss event The SSPA product index includes some products that have a «99» in their product type
Daily loss of time value (increases as
hedging Suitable for short term speculation or number. The «99» means that the structured product cannot be assigned to a product
hedging product expiry approaches) type and is classified in the «Various» category. For example, number «1399» is a
Daily loss of time value (increases as Small influence of volatility and small loss hedging
Limited profit potential (Cap) «Various Participation Product». Products labeled with «9999» are «Various Products»
product expiry approaches) of time-value No influence of volatility which cannot be assigned to either a product type or a product category.
Continuous monitoring required
Continuous monitoring required Continuous monitoring required Continuous monitoring required
© Swiss Structured Products Association SSPA, Zurich. Source: www.sspa-association.ch, Version 1.1, October 2010
This publication is produced in cooperation with Verlag Finanz und Wirtschaft AG, Scoach Schweiz AG and Derivative Partners. All rights to the design format are reserved by these parties. The SSPA Swiss Derivative Map© may not be reproduced or distributed, either in full or in part, in this format without the express permission in writing of the authors.
Additional copies of this publication can be requested free of charge at www.sspa-association.ch/map.