Categorization
The SSPA categorization model consists of three hierarchy levels. On the top level the model distinguishes investment products from leverage products. These two main categories are made up of five product categories on the second level, ranging from the low-risk capital protection products to the higher risk leverage products with knock-out.
On the third hierarchy level, each of these five product categories comprises a number of specific product types. These product types illustrate how a single structured product functions by means of its respective payoff diagram. The descriptions also provide further information on the investor's market expectations as well as product-specific characteristics.
 
Monthly updates
Date Title Download
05.10.2012 Categorization model PDF
05.10.2012 Description of product types PDF
05.10.2012 Additional features PDF
05.10.2012 Graphics of all product types ZIP
 
Capital protection products: Capital Protection Certificate with Participation (1100)
 
 
 
Market expectation
  • Rising underlying
  • Rising volatility
  • Sharply falling underlying possible
Characteristics
  • Minimum redemption at expiry equivalent to the capital protection
  • Capital protection is defined as a percentage of the nominal (e.g. 100%)
  • Capital protection refers to the nominal only, and not to the purchase price
  • Value of the product may fall below its capital protection during the lifetime
  • Participation in underlying price increase above the strike
 
Capital protection products: Convertible Certificate (1110)
 
 
 
Market expectation
  • Rising underlying
  • Rising volatility
  • Sharply falling underlying possible
Characteristics
  • Minimum redemption at expiry equivalent to the capital protection
  • Capital protection is defined as a percentage of the nominal (e.g. 100%)
  • Capital protection refers to the nominal only, and not to the purchase price
  • Value of the product may fall below its capital protection during the lifetime
  • Participation in underlying price increase above the strike (conversion price)
  • Coupon payment possible
 
Capital protection products: Barrier Capital Protection Certificate (1130)
 
 
 
Market expectation
  • Rising underlying
  • Sharply falling underlying possible
  • Underlying is not going to touch or go above the barrier during product lifetime
Characteristics
  • Minimum redemption at expiry equivalent to the capital protection
  • Capital protection is defined as a percentage of the nominal (e.g. 100%)
  • Capital protection refers to the nominal only, and not to the purchase price
  • Value of the product may fall below its capital protection during the lifetime
  • Participation in underlying price increase above the strike up to the barrier
  • Possibility of rebate payment once barrier is breached
  • Limited profit potential
 
Capital protection products: Capital Protection Certificate with Coupon (1140)
 
 
 
Market expectation
  • Rising underlying
  • Sharply falling underlying possible
Characteristics
  • Minimum redemption at expiry equivalent to the capital protection
  • Capital protection is defined as a percentage of the nominal (e.g. 100%)
  • Capital protection refers to the nominal only, and not to the purchase price
  • Value of the product may fall below its capital protection during the lifetime
  • The coupon amount is dependent on the development of the underlying
  • Periodic coupon payment is expected
  • Limited profit potential
 
Capital protection products: Miscellaneous Capital Protection Certificates (1199)
 
 
 
Market expectation
  • Depends on product structure
Characteristics
  • Depends on product structure