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Discover the potential.SSPA Swiss Derivative Map©
© Swiss Structured Products Association SSPA, Zurich, Switzerland. Source: www.sspa-association.ch This publication was created in collaboration with Verlag Finanz und Wirtschaft AG, SIX Structured Products Exchange AG and Derivative Partners who are the owners of all layout rights. The SSPA Swiss Derivative Map© in its present layout may not be reproduced or distributed, in whole or in part, without express written permission from the rights holders. Additional copies of this publication are available free of charge from www.sspa-association.ch/map.
What are structured products?Structured products combine classic investments with derivatives. They are issued as stand-alone products and securitized in a commercial paper. The advantages for investors are that structured products cover
n every market expectation, rising, falling or sideways,n every risk profile, from low-risk capital protection products
to high-risk leverage products,n every investment class, including those usually not accessible
to many investors, including precious metals, commodities and emerging markets,
n high liquidity in the secondary market as provided by the issuer.
Categorization modelThe SSPA’s Swiss Derivative Map is a systematic, easy-to-understand way to categorize structured products, successfully used for many years by investors and issuers alike. Other European industry associations have since adopted it. Experts examine the Map regularly and adjust it to reflect new market developments. Products are allocated to a given category by payoff, often defined in more detail by means of additional features.
The structured road to the right product
1 How do you expect the market to perform in general and as regards specific underlyings? Structured products allow investing in rising, falling or sideways-performing markets and markets with high or low volatility.
3 How should the underlying develop to produce a profit? Refer to the termsheet for the main product characteristics.
4 Do you know the market scenarios that would result in a loss? Depending on the product, outperforming or failing to reach certain barriers can produce vastly different outcomes.
5 Do you know the product issuer and concomitant risk? Go to our website for more issuer information. The termsheet provides information on additional credit risks associated with reference issuer certificates.
6 Is the product within the limits of your risk profile? Choose from among- risk averse: mainly capital-protection products- limited risk: yield enhancement and participation products- high risk: participation and leverage products.
7 Have you absorbed all of a product’s relevant information? Read the term-sheet closely, and seek the advice of an investment adviser as needed.
Your investment decision
2 Are you familiar with the underlying and its past performance? What do the experts say? What are the alternatives?
20 LEVERAGE
Char
acte
rist
ics
Smal
l inv
estm
ent g
ener
atin
g a
leve
rage
d pe
rform
ance
rela
tive
to th
e un
derly
ing
Incr
ease
d ris
k of
tota
l los
s (li
mite
d to
in
itial
inve
stm
ent)
Suita
ble
for s
pecu
latio
n or
hed
ging
Cont
inuo
us m
onito
ring
requ
ired
Imm
edia
tely
exp
ires
wor
thle
ss in
cas
e th
e ba
rrier
is b
reac
hed
durin
g pr
oduc
t lif
etim
eM
inor
influ
ence
of v
olat
ility
and
mar
gina
l los
s of
tim
e-va
lue
Mar
ket
expe
ctat
ion
Knoc
k-O
ut (C
all):
Risi
ng u
nder
lyin
gKn
ock-
Out
(Put
): Fa
lling
unde
rlyin
g
Prof
it
0
Loss
Under
lying
Knock
-Out
Call
Knock
-Out
Put K
nock
-Out
War
rant
with
Kno
ck-O
ut
(220
0)
Char
acte
rist
ics
Smal
l inv
estm
ent g
ener
atin
g a
leve
rage
d pe
rform
ance
rela
tive
to th
e un
derly
ing
Incr
ease
d ris
k of
tota
l los
s (li
mite
d to
in
itial
inve
stm
ent)
Suita
ble
for s
pecu
latio
n or
hed
ging
Cont
inuo
us m
onito
ring
requ
ired
A re
sidua
l val
ue is
rede
emed
follo
win
g a
Stop
-Los
s Ev
ent
No
influ
ence
of v
olat
ility
Mar
ket
expe
ctat
ion
Min
i-Fut
ure
(Lon
g): R
ising
und
erly
ing
Min
i-Fut
ure
(Sho
rt): F
allin
g un
derly
ing
Prof
it
0
Loss
Stop
-Los
s
Finan
cing
Leve
lFin
ancin
gLe
vel
Under
lying
Min
i-Fut
ure
(221
0)
SSPA
SW
ISS
DER
IVA
TIV
E M
AP
2018
LEV
ERA
GE
PRO
DU
CTS
INV
ESTM
ENT
PRO
DU
CTS
Prof
it
0
Loss
Co
upo
n
Under
lying
Prof
it
0
Loss
Reb
ate
Under
lying
Barr
ier
Strik
e
Prof
it
0
Loss
Under
lying
Strik
e
Strik
e
Prof
it
0
Loss
last
Obs
erva
tion
n. O
bser
vatio
n2nd
Obs
erva
tion
1st O
bser
vatio
n0
Barr
ier
Strik
e
Under
lying
Strik
e
Prof
it
0
Loss
Barr
ier
Cap
Under
lying
Strik
eSt
rike
Prof
it
0
Loss
Under
lying
Cap
Strik
e
Prof
it
0
Loss
Barr
ier
Cap
Under
lying
Strik
e Prof
it
0
Loss
Barr
ier Und
erlyi
ng
Strik
e
Prof
it
0
Loss
Under
lying
Strik
e
Barr
ier
Prof
it
0
Loss
Barr
ier
Strik
e
Under
lying
Prof
it
0
Loss
Under
lying
Strik
e
13 PARTICIPATION 12 YIELD ENHANCEMENT 11 CAPITAL PROTECTION
© S
wiss
Str
uctu
red
Prod
ucts
Ass
ocia
tion
SSPA
, Zur
ich. S
ourc
e: w
ww
.sspa
-ass
ocia
tion.
ch, V
ersio
n 2.
0, Ja
nuar
y 20
18
This
publ
icatio
n is
prod
uced
in co
oper
atio
n w
ith V
erlag
Fin
anz
und
Wirt
scha
ft AG
, SIX
Stru
ctur
ed P
rodu
cts E
xcha
nge
AG a
nd D
eriva
tive
Partn
ers.
All r
ight
s to
the
desig
n fo
rmat
are
rese
rved
by
thes
e pa
rties
. Th
e SS
PA S
wiss
Der
ivativ
e M
ap© m
ay n
ot b
e re
prod
uced
or d
istrib
uted
, eith
er in
full o
r in
part,
in th
is fo
rmat
with
out t
he e
xpre
ss p
erm
issio
n in
writ
ing
of th
e au
thor
s.A
dditi
onal
copi
es o
f thi
s pub
licat
ion
can
be re
ques
ted
free
of c
harg
e at
ww
w.ss
pa-a
ssoc
iatio
n.ch
/map
.
14 INVESTMENT PRODUCTS WITH REFERENCE ENTITIES
Add
ition
al fe
atur
esCa
tego
rizat
ion
can
be m
ore
close
ly de
fined
as
follo
ws:
Asi
an o
ptio
n Us
es th
e av
erag
e un
derly
ing
price
ove
r a n
umbe
r of p
rede
fined
per
iods
(m
onth
ly, q
uarte
rly, a
nnua
lly) r
athe
r the
pric
e at
a s
pecif
ic tim
e.A
uto-
Calla
ble
If, o
n an
obs
erva
tion
day,
the
price
of t
he u
nder
lying
is e
ither
on
or a
bove
(bul
l), or
,
on o
r bel
ow (b
ear)
a pr
evio
usly
defin
ed b
arrie
r ("a
utoc
all t
rigge
r"),
the
prod
uct i
s
rede
emed
prio
r to
mat
urity
.Ca
llabl
e Th
e iss
uer h
as th
e rig
ht to
can
cel e
arly,
how
ever
, the
re is
no
oblig
atio
n to
do
so.
Capp
ed p
artic
ipat
ion
The
prod
uct h
as a
max
imum
yie
ld.
Cond
ition
al C
oupo
n A
sce
nario
exis
ts w
here
the
coup
on is
not
repa
id (a
lso: c
oupo
n at
risk
).CO
SI
The
issue
r of C
olla
tera
l Sec
ured
Inst
rum
ents
pro
vides
SIX
Sw
iss E
xcha
nge
with
co
llate
ral c
over
ing
thei
r cur
rent
val
ue. F
or th
e in
vest
or th
is m
eans
pro
tect
ion
in
case
of i
ssue
r def
ault.
Euro
pean
Bar
rier
Onl
y th
e la
st-d
ay c
losin
g pr
ice is
rele
vant
for m
onito
ring
the
barri
er.
Lock
-In
If th
e lo
ck-in
leve
l is
reac
hed,
repa
ymen
t is
at le
ast i
n a
prea
ssig
ned
amou
nt
rega
rdle
ss o
f fut
ure
deve
lopm
ent o
f the
und
erlyi
ng p
rice.
Look
-bac
k Ba
rrier
and
/or s
trike
are
set
with
a ti
me
dela
y (L
ook-
back
pha
se).
Mem
ory
coup
on
One
sce
nario
for a
n un
paid
-out
con
ditio
nal c
oupo
n is
a ca
tch-
up p
aym
ent a
t
a la
ter d
ate.
Part
ial c
apita
l Ca
pita
l pro
tect
ion
is be
twee
n 90
% a
nd 1
00%
of t
he n
omin
al v
alue
. pr
otec
tion
Putt
able
Th
e in
vest
or h
as th
e rig
ht to
retu
rn th
e pr
oduc
t to
the
issue
r on
certa
in d
ays
du
ring
the
term
.Va
riabl
e co
upon
Th
e co
upon
am
ount
can
var
y, de
pend
ing
on a
pre
defin
ed s
cena
rio.
Char
acte
rist
ics
Min
imum
rede
mpt
ion
at e
xpiry
equ
iva-
lent
to th
e ca
pita
l pro
tect
ion
Capi
tal p
rote
ctio
n is
defin
ed a
s a
perc
enta
ge o
f the
nom
inal
(e.g
. 100
%)
Capi
tal p
rote
ctio
n re
fers
to th
e no
mi
-na
l onl
y, an
d no
t to
the
purc
hase
pric
eVa
lue
of th
e pr
oduc
t may
fall
belo
w it
s ca
pita
l pro
tect
ion
durin
g th
e lif
etim
ePa
rtici
patio
n in
und
erly
ing
pric
e in
crea
se a
bove
the
strik
e
Mar
ket
expe
ctat
ion
Risin
g un
derly
ing
Risin
g vo
latil
ity
Shar
ply
fallin
g un
derly
ing
poss
ible
Prof
it
0
Loss
Under
lying
Strik
e
Char
acte
rist
ics
Min
imum
rede
mpt
ion
at e
xpiry
equ
iva-
lent
to th
e ca
pita
l pro
tect
ion
Capi
tal p
rote
ctio
n is
defin
ed a
s a
perc
enta
ge o
f the
nom
inal
(e.g
. 100
%)
Capi
tal p
rote
ctio
n re
fers
to th
e no
mi
-na
l onl
y, an
d no
t to
the
purc
hase
pric
eVa
lue
of th
e pr
oduc
t may
fall
belo
w it
s ca
pita
l pro
tect
ion
durin
g th
e lif
etim
ePa
rtici
patio
n in
und
erly
ing
pric
e in
crea
-se
abo
ve th
e st
rike
(con
vers
ion
pric
e)Co
upon
pay
men
t pos
sible
Mar
ket
expe
ctat
ion
Risin
g un
derly
ing
Risin
g vo
latil
ity
Shar
ply
fallin
g un
derly
ing
poss
ible
Prof
it
0
Loss
Under
lying
Strik
e
Char
acte
rist
ics
Min
imum
rede
mpt
ion
at e
xpiry
equ
iva-
lent
to th
e ca
pita
l pro
tect
ion
Capi
tal p
rote
ctio
n is
defin
ed a
s a
perc
enta
ge o
f the
nom
inal
(e.g
. 100
%)
Capi
tal p
rote
ctio
n re
fers
to th
e no
mi-
nal o
nly,
and
not t
o th
e pu
rcha
se p
rice
Valu
e of
the
prod
uct m
ay fa
ll be
low
its
capi
tal p
rote
ctio
n du
ring
the
lifet
ime
The
coup
on a
mou
nt is
dep
ende
nt o
n th
e de
velo
pmen
t of t
he u
nder
lyin
gPe
riodi
c co
upon
pay
men
t is
expe
cted
Lim
ited
profi
t opp
ortu
nity
Mar
ket
expe
ctat
ion
Risin
g un
derly
ing
Shar
ply
fallin
g un
derly
ing
poss
ible
Prof
it
0
Loss
Co
upo
n
Under
lying
Char
acte
rist
ics
Min
imum
rede
mpt
ion
at e
xpiry
equ
iva-
lent
to th
e ca
pita
l pro
tect
ion
Capi
tal p
rote
ctio
n is
defin
ed a
s a
perc
enta
ge o
f the
nom
inal
(e.g
. 100
%)
Capi
tal p
rote
ctio
n re
fers
to th
e no
mi
-na
l onl
y, an
d no
t to
the
purc
hase
pric
eVa
lue
of th
e pr
oduc
t may
fall
belo
w it
s ca
pita
l pro
tect
ion
durin
g th
e lif
etim
ePa
rtici
patio
n in
und
erly
ing
pric
e in
crea
-se
abo
ve th
e st
rike
up to
the
barri
erPo
ssib
ility
of re
bate
pay
men
t onc
e ba
rrier
is b
reac
hed
Lim
ited
profi
t pot
entia
l
Mar
ket
expe
ctat
ion
Risin
g un
derly
ing
Shar
ply
fallin
g un
derly
ing
poss
ible
Und
erly
ing
is no
t goi
ng to
touc
h or
go
abo
ve th
e ba
rrier
dur
ing
prod
uct l
ifetim
e
Prof
it
0
Loss
Reb
ate
Under
lying
Barr
ier
Strik
e
Capi
tal P
rote
ctio
n Ce
rtifi
cate
w
ith P
artic
ipat
ion
(110
0)Co
nver
tible
Cer
tifica
te
(111
0)Ca
pita
l Pro
tect
ion
Cert
ifica
te
with
Cou
pon
(114
0)Ba
rrie
r Ca
pita
l Pro
tect
ion
Cert
ifica
te (1
130)
Char
acte
rist
ics
Shou
ld th
e un
derly
ing
clos
e be
low
the
strik
e on
exp
iry, t
he u
nder
lyin
g an
d/or
a
cash
am
ount
is re
deem
edD
iscou
nt C
ertifi
cate
s en
able
inve
stor
s to
ac
quire
the
unde
rlyin
g at
a lo
wer
pric
eCo
rresp
onds
to a
buy
-writ
e-st
rate
gyRe
duce
d ris
k co
mpa
red
to a
dire
ct
inve
stm
ent i
nto
the
unde
rlyin
g W
ith h
ighe
r risk
leve
ls m
ultip
le
unde
rlyin
gs (W
orst
-of)
allo
w fo
r hi
gher
disc
ount
sLi
mite
d pr
ofit
oppo
rtuni
ty (C
ap)
Mar
ket
expe
ctat
ion
Und
erly
ing
mov
ing
sidew
ays
or
sligh
tly ri
sing
Fallin
g vo
latil
ity
Prof
it
0
Loss
Under
lying
Cap
Strik
e
Char
acte
rist
ics
The
max
imum
rede
mpt
ion
amou
nt (C
ap)
is pa
id o
ut if
the
barri
er is
nev
er b
reac
hed
Barri
er D
iscou
nt C
ertifi
cate
s en
able
in
vest
ors
to a
cqui
re th
e un
derly
ing
at
a lo
wer
pric
eD
ue to
the
barri
er,
the
prob
abilit
y of
m
axim
um re
dem
ptio
n is
high
er;
the
disc
ount
, how
ever
, is
smal
ler t
han
for a
Disc
ount
Cer
tifica
teIf
the
barri
er is
bre
ache
d th
e pr
oduc
t ch
ange
s in
to a
Disc
ount
Cer
tifica
teRe
duce
d ris
k co
mpa
red
to a
dire
ct
inve
stm
ent i
nto
the
unde
rlyin
g
Lim
ited
profi
t pot
entia
l (Ca
p)
With
hig
her r
isk le
vels
mul
tiple
un
derly
ings
(Wor
st-o
f) al
low
for
high
er d
iscou
nts
or lo
wer
bar
riers
Mar
ket
expe
ctat
ion
Und
erly
ing
mov
ing
sidew
ays
or
sligh
tly ri
sing
Fallin
g vo
latil
ity
Und
erly
ing
will
not b
reac
h ba
rrier
du
ring
prod
uct l
ifetim
e
Prof
it
0
Loss
Barr
ier
Cap
Under
lying
Strik
e
Char
acte
rist
ics
Shou
ld th
e ba
rrier
nev
er b
e br
each
ed,
the
nom
inal
plu
s co
upon
is p
aid
at
rede
mpt
ion
Due
to t
he b
arrie
r, th
e pr
obab
ility
of
max
imum
rede
mpt
ion
is hi
gher
; the
co
upon
, how
ever
, is s
mal
ler t
han
for a
Re
vers
e Co
nver
tible
If th
e ba
rrier
is b
reac
hed
the
prod
uct
chan
ges
into
a R
ever
se C
onve
rtibl
eTh
e co
upon
is p
aid
rega
rdle
ss o
f the
un
derly
ing
deve
lopm
ent
Redu
ced
risk
com
pare
d to
a d
irect
in
vest
men
t int
o th
e un
derly
ing
With
hig
her r
isk le
vels,
mul
tiple
un
derly
ings
(Wor
st-o
f) al
low
for
high
er c
oupo
ns o
r low
er b
arrie
rsLi
mite
d pr
ofit p
oten
tial (
Cap)
Mar
ket
expe
ctat
ion
Und
erly
ing
mov
ing
sidew
ays
or
sligh
tly ri
sing
Fallin
g vo
latil
ity
Und
erly
ing
will
not b
reac
h ba
rrier
du
ring
prod
uct l
ifetim
e Strik
e
Prof
it
0
Loss
Barr
ier
Cap
Under
lying
Strik
e
-
Char
acte
rist
ics
Shou
ld th
e un
derly
ing
trade
abo
ve th
e St
rike
on th
e ob
serv
atio
n da
te, a
n ea
rly
rede
mpt
ion
cons
istin
g of
nom
inal
plu
s an
add
ition
al c
oupo
n am
ount
is p
aid
Offe
rs th
e po
ssib
ility
of a
n ea
rly re
dem
ptio
n co
mbi
ned
with
an
attra
ctiv
e yi
eld
oppo
rtuni
tyRe
duce
d ris
k co
mpa
red
to a
dire
ct
inve
stm
ent i
nto
the
unde
rlyin
gW
ith h
ighe
r risk
leve
ls, m
ultip
le
unde
rlyin
gs (W
orst
-of)
allo
w fo
r hi
gher
cou
pons
or l
ower
bar
riers
Li
mite
d pr
ofit
oppo
rtuni
ty (C
ap)
Mar
ket
expe
ctat
ion
Und
erly
ing
mov
ing
sidew
ays
or
Dec
reas
ing
vola
tility
sli
ghtly
risin
g
Und
erly
ing
will
not b
reac
h ba
rrier
du
ring
prod
uct l
ifetim
e Strik
e
Prof
it
0
Loss
last
Obs
erva
tion
n. O
bser
vatio
n2nd
Obs
erva
tion
1st O
bser
vatio
n0
Barr
ier
Strik
e
Under
lying
Char
acte
rist
ics
Shou
ld th
e un
derly
ing
clos
e be
low
the
strik
e on
exp
iry, t
he u
nder
lyin
g an
d/or
a
cash
am
ount
is re
deem
edSh
ould
the
unde
rlyin
g cl
ose
abov
e th
e St
rike
at e
xpiry
, the
nom
inal
plu
s th
e co
upon
is p
aid
at re
dem
ptio
nTh
e co
upon
is p
aid
rega
rdle
ss o
f the
un
derly
ing
deve
lopm
ent
Redu
ced
risk
com
pare
d to
a d
irect
in
vest
men
t int
o th
e un
derly
ing
With
hig
her r
isk le
vels,
mul
tiple
un
derly
ings
(Wor
st-o
f) al
low
for
high
er c
oupo
nsLi
mite
d pr
ofit p
oten
tial (
Cap)
Mar
ket
expe
ctat
ion
Und
erly
ing
mov
ing
sidew
ays
or
sligh
tly ri
sing
Fa
lling
vola
tility
Strik
e
Prof
it
0
Loss
Under
lying
Cap
Strik
e
Dis
coun
t Ce
rtifi
cate
(120
0)Ba
rrie
r D
isco
unt
Cert
ifica
te
(121
0)Ba
rrie
r Re
vers
e Co
nver
tible
(1
230)
Expr
ess
Cert
ifica
te (1
260)
Reve
rse
Conv
ertib
le (1
220)
Char
acte
rist
ics
Parti
cipa
tion
in d
evel
opm
ent o
f the
un
derly
ing
Refle
cts
unde
rlyin
g pr
ice
mov
es 1
:1
(adj
uste
d by
con
vers
ion
ratio
and
any
re
late
d fe
es)
Risk
com
para
ble
to d
irect
inve
stm
ent
in th
e un
derly
ing
Mar
ket
expe
ctat
ion
Risin
g un
derly
ing
Prof
it
0
Loss
Under
lying
Char
acte
rist
ics
Parti
cipa
tion
in d
evel
opm
ent o
f the
un
derly
ing
Min
imum
rede
mpt
ion
is eq
ual t
o th
e no
min
al p
rovi
ded
the
barri
er h
as n
ot
been
bre
ache
dIf
the
barri
er is
bre
ache
d th
e pr
oduc
t ch
ange
s in
to a
Tra
cker
Cer
tifica
teW
ith g
reat
er ri
sk m
ultip
le u
nder
lyin
gs
(Wor
st-o
f) al
low
for a
hig
her b
onus
le
vel o
r low
er b
arrie
rRe
duce
d ris
k co
mpa
red
to a
dire
ct
inve
stm
ent i
nto
the
unde
rlyin
gW
ith g
reat
er ri
sk m
ultip
le u
nder
lyin
gs
(Wor
st-o
f) al
low
for a
hig
her b
onus
le
vel o
r low
er b
arrie
rRe
duce
d ris
k co
mpa
red
to a
dire
ct
inve
stm
ent i
nto
the
unde
rlyin
g
With
hig
her r
isk le
vels,
mul
tiple
un
derly
ings
(Wor
st-o
f) al
low
for a
hi
gher
bon
us le
vel o
r low
er b
arrie
rRe
duce
d ris
k co
mpa
red
to a
dire
ct
inve
stm
ent i
nto
the
unde
rlyin
g
Mar
ket
expe
ctat
ion
Und
erly
ing
mov
ing
sidew
ays
or ri
sing
Und
erly
ing
will
not b
reac
h ba
rrier
du
ring
prod
uct l
ifetim
e
Prof
it
0
Loss
Barr
ier
Strik
e
Under
lying
Char
acte
rist
ics
Parti
cipa
tion
in d
evel
opm
ent o
f the
un
derly
ing
Disp
ropo
rtion
ate
parti
cipa
tion
(out
-pe
rform
ance
) in
posit
ive
perfo
rman
ce
abov
e th
e st
rike
Refle
cts
unde
rlyin
g pr
ice
mov
es 1
:1
whe
n be
low
the
Strik
eRi
sk c
ompa
rabl
e to
dire
ct in
vest
men
t in
the
unde
rlyin
g
Mar
ket
expe
ctat
ion
Risin
g un
derly
ing
Risin
g vo
latil
ity
Prof
it
0
Loss
Under
lying
Strik
e
Char
acte
rist
ics
Parti
cipa
tion
in d
evel
opm
ent o
f the
un
derly
ing
Disp
ropo
rtion
ate
parti
cipa
tion
(out
-pe
rform
ance
) in
posit
ive
perfo
rman
ce
abov
e th
e st
rike
Min
imum
rede
mpt
ion
is eq
ual t
o th
e no
min
al p
rovi
ded
the
barri
er h
as n
ot
been
bre
ache
dIf
the
barri
er is
bre
ache
d th
e pr
oduc
t ch
ange
s in
to a
Out
perfo
rman
ce
Certi
ficat
e
Mar
ket
expe
ctat
ion
Risin
g un
derly
ing
Und
erly
ing
will
not b
reac
h ba
rrier
du
ring
prod
uct l
ifetim
e
Prof
it
0
Loss
Under
lying
Strik
e
Barr
ier
Char
acte
rist
ics
Parti
cipa
tion
in d
evel
opm
ent o
f the
un
derly
ing
Profi
ts p
ossib
le w
ith ri
sing
and
fallin
g un
derly
ing
Fallin
g un
derly
ing
pric
e co
nver
ts in
to
profi
t up
to th
e ba
rrier
Min
imum
rede
mpt
ion
is eq
ual t
o th
e no
min
al p
rovi
ded
the
barri
er h
as n
ot
been
bre
ache
dIf
the
barri
er is
bre
ache
d th
e pr
oduc
t ch
ange
s in
to a
Tra
cker
Cer
tifica
te
Mar
ket
expe
ctat
ion
Risin
g or
slig
htly
fallin
g un
derly
ing
Und
erly
ing
will
not b
reac
h ba
rrier
du
ring
prod
uct l
ifetim
e
Prof
it
0
Loss
Barr
ier Und
erlyi
ng
Strik
e
Trac
ker
Cert
ifica
te (1
300)
Bonu
s Ce
rtifi
cate
(132
0)O
utpe
rfor
man
ce C
ertifi
cate
(1
310)
Bonu
s O
utpe
rfor
man
ce
Cert
ifica
te (1
330)
Twin
-Win
Cer
tifica
te (1
340)
Char
acte
rist
ics
Smal
l inv
estm
ent g
ener
atin
g a
leve
rage
d pe
rform
ance
rela
tive
to th
e un
derly
ing
Incr
ease
d ris
k of
tota
l los
s (li
mite
d to
in
itial
inve
stm
ent)
Suita
ble
for s
pecu
latio
n or
hed
ging
Dai
ly lo
ss o
f tim
e va
lue
(incr
ease
s as
pr
oduc
t exp
iry a
ppro
ache
s)Co
ntin
uous
mon
itorin
g re
quire
d
Mar
ket
expe
ctat
ion
War
rant
(Cal
l): R
ising
und
erly
ing,
risin
g vo
latil
ity
War
rant
(Put
): Fa
lling
unde
rlyin
g, ri
sing
vola
tility
Prof
it
0
Loss
Under
lying
Call
Put
Strik
e
Char
acte
rist
ics
Smal
l inv
estm
ent g
ener
atin
g a
leve
rage
d pe
rform
ance
rela
tive
to th
e un
derly
ing
Incr
ease
d ris
k of
tota
l los
s (li
mite
d to
in
itial
inve
stm
ent)
Dai
ly lo
ss o
f tim
e va
lue
(incr
ease
s as
pr
oduc
t exp
iry a
ppro
ache
s)Co
ntin
uous
mon
itorin
g re
quire
dLi
mite
d pr
ofit p
oten
tial (
Cap)
Mar
ket
expe
ctat
ion
Spre
ad W
arra
nt (B
ull):
Risi
ng
unde
rlyin
gSp
read
War
rant
(Bea
r): F
allin
g un
derly
ing
Prof
it
0
Loss
Under
lying
Bull
Bear
Strik
e
War
rant
(210
0)Sp
read
War
rant
(211
0)
Mar
ket
Expe
ctat
ion
Long
: Risi
ng u
nder
lying
Shor
t: Fa
lling
unde
rlyin
g
Char
acte
ristic
sSm
all i
nves
tmen
t gen
erat
ing
a le
vera
ged
perfo
rman
ce re
lativ
e to
the
unde
rlyin
gIn
crea
sed
risk
of to
tal l
oss
(lim
ited
to in
itial
in
vest
men
t)A
pot
entia
l sto
p lo
ss a
nd/o
r adj
ustm
ent
mec
hani
sm p
reve
nts
the
valu
e of
the
prod
uct f
rom
bec
omin
g ne
gativ
eFr
eque
nt s
hifts
in d
irect
ion
of th
e pr
ice o
f th
e un
derly
ing
have
a n
egat
ive e
ffect
on
the
prod
uct p
erfo
rman
ceRe
setti
ng o
n a
regu
lar b
asis
ensu
re a
co
nsta
nt le
vera
geCo
ntin
uous
mon
itorin
g re
quire
d
Cons
tant
Lev
erag
e Ce
rtifi
cate
(23
00)
Pro
fit
0
Loss
Under
lying
Long
Short
Char
acte
rist
ics
Ther
e ar
e on
e or
mor
e re
fere
nce
entit
ies
unde
rlyin
g th
e pr
oduc
t In
add
ition
to th
e cr
edit
risk
of th
e iss
uer,
rede
mpt
ion
is su
bjec
t to
the
solv
ency
(non
-occ
urre
nce
of a
cre
dit e
vent
) of t
he re
fere
nce
entit
y Re
dem
ptio
n is
mad
e at
leas
t in
the
amou
nt o
f con
ditio
nal c
apita
l pr
otec
tion
at m
atur
ity, p
rovi
ded
that
no
cred
it ev
ent o
f the
refe
renc
e en
tity
has
occu
rred
If a
cred
it ev
ent o
ccur
s at
the
refe
renc
e en
tity
durin
g th
e lif
e tim
e, th
e pr
oduc
t will
be re
deem
ed a
t an
amou
nt c
orre
spon
ding
to th
e cr
edit
even
t Th
e pr
oduc
t val
ue c
an fa
ll be
low
con
ditio
nal c
apita
l pro
tect
ion
durin
g its
lif
etim
e, a
mon
g ot
her t
hing
s du
e to
a n
egat
ive
asse
ssm
ent o
f ref
eren
ce
issue
r cre
ditw
orth
ines
sCo
nditi
onal
cap
ital p
rote
ctio
n on
ly a
pplie
s to
the
nom
inal
and
not
the
purc
hase
pric
e Pa
rtici
patio
n in
dev
elop
men
t of t
he u
nder
lyin
g, p
rovi
ded
a re
fere
nce
entit
y cr
edit
even
t has
not
occ
urre
dTh
e pr
oduc
t allo
ws
high
er y
ield
at g
reat
er ri
sk
Mar
ket
expe
ctat
ion
Risin
g un
derly
ing
Shar
ply
fallin
g un
derly
ing
poss
ible
N
o cr
edit
even
t of t
he re
fere
nce
entit
y
Refe
renc
e En
tity
Cert
ifica
te w
ithCo
nditi
onal
Cap
ital P
rote
ctio
n (1
410)
Char
acte
rist
ics
Ther
e ar
e on
e or
mor
e re
fere
nce
entit
ies
unde
rlyin
g th
e pr
oduc
t In
add
ition
to c
redi
t risk
, red
empt
ion
of th
e pr
oduc
t is
subj
ect t
o th
e so
lven
cy (n
on-o
ccur
renc
e of
a c
redi
t eve
nt) o
f the
refe
renc
e en
tity
If a
cred
it ev
ent o
ccur
s at
the
refe
renc
e en
tity
durin
g th
e lif
e tim
e, th
e pr
oduc
t will
be re
deem
ed a
t an
amou
nt c
orre
spon
ding
to th
e cr
edit
even
t Th
e pr
oduc
t val
ue c
an fa
ll du
ring
its li
fetim
e, a
mon
g ot
her t
hing
s du
e to
a
nega
tive
asse
ssm
ent o
f ref
eren
ce e
ntity
cre
ditw
orth
ines
s If
the
unde
rlyin
g is
low
er th
an th
e ex
erci
se p
rice
upon
mat
urity
, the
un
derly
ing
is de
liver
ed a
nd/o
r a c
ash
settl
emen
t is
mad
e, p
rovi
ded
that
no
cre
dit e
vent
of t
he re
fere
nce
entit
y ha
s oc
curre
d If
the
unde
rlyin
g is
high
er th
an th
e ex
erci
se p
rice
upon
mat
urity
, the
no
min
al is
repa
id, p
rovi
ded
that
no
cred
it ev
ent o
f the
refe
renc
e en
tity
has
occu
rred
Dep
endi
ng o
n th
e ch
arac
teris
tics
of th
e pr
oduc
t, ei
ther
a c
oupo
n or
a
disc
ount
to th
e un
derly
ing
can
appl
y A
cou
pon
is pa
id o
ut re
gard
less
of p
erfo
rman
ce o
f the
und
erly
ing,
pro
vi-
ded
that
no
cred
it ev
ent o
f the
refe
renc
e en
tity
has
occu
rred
In a
dditi
on, t
he p
rodu
ct c
an fe
atur
e a
barri
er
With
gre
ater
risk
, mul
tiple
und
erly
ings
(Wor
st-o
f) al
low
for
high
er
coup
ons,
larg
er d
iscou
nts,
or lo
wer
bar
riers
Li
mite
d Pr
ofit P
oten
tial (
Cap)
The
prod
uct a
llow
s hi
gher
yie
ld a
t gre
ater
risk
Mar
ket
expe
ctat
ion
Und
erly
ing
mov
ing
sidew
ays
or s
light
ly ri
sing
Fallin
g vo
latil
ity o
f the
und
erly
ing
N
o cr
edit
even
t of t
he re
fere
nce
entit
y
Refe
renc
e En
tity
Cert
ifica
te w
ith Y
ield
En
hanc
emen
t (1
420)
Char
acte
rist
ics
Ther
e ar
e on
e or
mor
e re
fere
nce
entit
ies
unde
rlyin
g th
e pr
oduc
t In
add
ition
to c
redi
t risk
, red
empt
ion
of th
e pr
oduc
t is
subj
ect t
o th
e so
lven
cy (n
on-o
ccur
renc
e of
a c
redi
t eve
nt) o
f the
refe
renc
e en
tity
If a
cred
it ev
ent o
ccur
s at
the
refe
renc
e en
tity
durin
g th
e lif
e tim
e, th
e pr
oduc
t will
be re
deem
ed a
t an
amou
nt c
orre
spon
ding
to th
e cr
edit
even
t Th
e pr
oduc
t val
ue c
an fa
ll du
ring
its li
fetim
e, a
mon
g ot
her t
hing
s du
e to
a
nega
tive
asse
ssm
ent o
f ref
eren
ce e
ntity
cre
ditw
orth
ines
s Pa
rtici
patio
n in
dev
elop
men
t of t
he u
nder
lyin
g, p
rovi
ded
a re
fere
nce
entit
y cr
edit
even
t has
not
occ
urre
d In
add
ition
, the
pro
duct
can
feat
ure
a ba
rrier
Th
e pr
oduc
t allo
ws
high
er y
ield
at g
reat
er ri
sk
Mar
ket
expe
ctat
ion
Risin
g un
derly
ing
No
cred
it ev
ent o
f the
refe
renc
e en
tity
Refe
renc
e En
tity
Cert
ifica
te w
ith
Part
icip
atio
n (1
430)
Long
Short
Dis
cove
r the
pot
entia
l.
Prof
it
0
Loss
Under
lying
Prof
it
0
Loss
Under
lying
Cap
Strik
e
Prof
it
0
Loss
Under
lying
Strik
e
1
2
3
4
5
6
Six SSPA risk classes The SSPA Risk Figure assesses a structured product’s market risk based on the Value at Risk (VaR), which may change during a product’s lifetime depending on the market. The Risk Figure helps investors calculate their portfolio value. Go to the SSPA website for more information as well as Risk Figures of products listed in Swit-zerland.
More information – more knowledgeGo to www.svsp-verband.ch for more structured products infor-mation. Use our interactive information tool and test your structured product knowledge. You can check on the Swiss Derivative Map how your products are categorized.
Additional features
Additional features help refine the Swiss Structured Products Association (SSPA) categorization model. One asterisk next to a structured product’s product type number in the product index denotes a slight deviation from the respective product type. Go to the SSPA website www.svsp-verband.ch for more detailed information on additional features.
AMC Actively Managed Certificates. These products are based on a dynamic strategy. The composi-tion of the underlying basket may be altered during the lifetime of the product depending on the predefined investment guidelines (discretionary or rule based).
Barrier Barriers denote a threshold of the price of the underlying. Outperforming or failing to reach the barrier changes the structured product’s repayment conditions (payoff).
Bear/short Bear or short investments are speculations on falling underlyings. Tracker certificates, for in-stance, can carry the suffix bear; mini-futures the suffix short.
Bull/long Bull or long investments are speculations on rising underlyings. Tracker certificates, for instance, can carry the suffix bull; mini-futures the suffix long.
Cap Caps are the upper limit of participation of a structured product in profits from the underlying.
Capitalprotectioncertificate
Issuers of capital protection certificates provide capital protection, i.e. assured payment of a specific amount, set by the issuer on issue and paid out on the date of repayment. Capital protection certi-ficates have protection of at least 90% of the nominal.
Conditional capital protection
Conditional capital protection indicates that capital protection is linked to a condition which might be the non-occurrence of a credit event or that a barrier has not been breached.
COSI Collateral Secured Instruments. A segment of structured products that minimizes issuer risk. Based on a product’s market price and theoretical value, a security in the form of collateral is deposited on a SIX Swiss Exchange account at SIX SIS.
Credit event This refers to the debtor’s inability to repay a creditor’s loan. One or more of the following events are classified as credit events: reference issuer insolvency; non-payment by reference issuer; potential early debt maturity; early debt maturity; non-recognition or postponement of payment obligation by the reference issuer; debt restructuring.
Income accruing Examples of income accruing on underlyings are share dividends and bond interest payments.
Issuer risk Legally, structured products are debt obligations subject to issuer risk, similar to e.g. bonds and fixed term deposits. As with other kinds of investment the principle of diversification and using different issuers applies. Monitoring issuer creditworthiness (using aids that can be found on the SSPA website, www.svsp-verband.ch) is also advised. Collateralized certificates, e.g. Colla-teral Secured Instruments, minimize issuer risk.
Leverage Leverage is a dynamic indicator of an option’s or a warrant’s leverage effect. It shows the percentage increase in the price of a call (put) if the underlying’s price increases (declines) by 1%. Leverage products have at least 200% leverage (leverage factor 2) on issue.
Nominal The nominal is a structured product’s nominal value. Repayment of the product refers to this amount.
Option Options give buyers the right to accept or refuse a time-limited contract offer. The contract offer states the underlying, the term and the strike. There are call options and put options. Buyers speculating on rising underlying price exercise a call option, or right to buy. Put options, or the right to sell, refer to speculations on a price drop of the underlying. Options are an im-portant component of structured products.
Payoff diagram Payoff diagrams are graphics of a financial instrument’s repayment structure on maturity. Those on the SSPA’s Swiss Derivative Map show a product type’s typical repayment mechanism on maturity. For clarity’s sake the list of investment products does not include products of the bear type.
Rebate Payouts when a barrier has been breached are rebates, with the amounts expressed as a percentage of the nominal.
Reference issuer The debtor in a reference loan.
Reference loan This is the loan taken by the reference issuer and on which the reference issuer certificate is based. It defines the product’s additional credit risk (see also Credit event).
Strike An option’s strike refers to the investor’s buying price (call option) or selling price (put option) of the underlying. For participation and yield enhancement products strike defines the refe-rence price of the underlyings of the structured product concerned. Barriers, bonus levels and cap levels are based on the reference price.
Structured products
Structured financial products are instruments that combine, for instance, bonds or shares with derivatives, usually options, securitized in a stand-alone commercial paper. The repayment va-lue of structured products depends, among other things, on movements of one or more un-derlying assets, and/or on the non-occurrence of a credit event on the part of the respective reference issuer.
Underlying The asset on which a structured product is based. Examples are stocks, indexes, currencies, commodities, interest rates, bonds, etc.
Volatility Shows an underlying’s range of fluctuation.
Worst-of If a worst-of scenario is being triggered the redemption amount or physical delivery will be defined by the underlying with the worst performance/price development at expiration.
Risk Class / Risk Perception Comparable to low Money Market, Deposits
moderate Bonds
medium Mixed Portfolio Bonds / Shares
increased Blue Chips
high Small / Mid Caps, Emerging Markets
very high Options, Futures
You can also order the Brochure, the Swiss Derivative Map in poster form, as well as the accompanying SSPA Compendium.Feel free to visit our website!
Vademecum Compendium – also available in German.
Leporello
Definition