Categorization
 
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
 
Yield enhancement products: Discount Certificate (1200)
 
 
 
Market expectation
  • Underlying moving sideways or slightly rising
  • Falling volatility
Characteristics
  • Should the underlying close below the strike on expiry, the underlying and/or a cash amount is redeemed
  • Discount Certificates enable investors to acquire the underlying at a lower price
  • Corresponds to a buy-write-strategy
  • Smaller risk of loss than with direct investment in the underlying
  • With higher risk levels multiple underlyings (Worst-of) allow for higher discounts
  • Limited profit potential (Cap)
 
Yield enhancement products: Barrier Discount Certificate (1210)
 
 
 
Market expectation
  • Underlying moving sideways or slightly rising
  • Falling volatility
  • Underlying will not breach Barrier during product lifetime
Characteristics
  • The maximum redemption amount (Cap) is paid out if the barrier is never breached
  • Barrier Discount Certificates enable investors to acquire the underlying at a lower price
  • Due to the barrier,  the  probability of maximum redemption is higher; the discount, however, is smaller than for a Discount Certificate
  • If the barrier is breached the product changes into a Discount Certificate
  • Smaller risk of loss than with direct investment in the underlying
  • With higher risk levels multiple underlyings (“Worst-of”) allow for higher discounts or lower barriers
  • Limited profit potential (Cap)
 
Yield enhancement products: Reverse Convertible (1220)
 
 
 
Market expectation
  • Underlying moving sideways or slightly rising
  • Falling volatility
Characteristics
  • Should the underlying close below the strike on expiry, the underlying and/or a cash amount is redeemed
  • Should the underlying close above the Strike at expiry, the nominal plus the coupon is paid at redemption
  • The coupon is paid regardless of the underlying development
  • Smaller risk of loss than with direct investment in the underlying
  • With higher risk levels,  multiple underlyings (Worst-of) allow for higher coupons
  • Limited profit potential (Cap)
 
Yield enhancement products: Barrier Reverse Convertible (1230)
 
 
 
Market expectation
  • Underlying moving sideways or slightly rising
  • Falling volatility
  • Underlying will not breach Barrier during product lifetime
Characteristics
  • Should the barrier never be breached, the nominal plus coupon is paid at redemption
  • Due to  the barrier,  the probability of maximum redemption is higher; the coupon, however, is smaller than for a Reverse Convertible
  • If the barrier is breached the product changes into a Reverse Convertible
  • The coupon is paid regardless of the underlying development
  • Smaller risk of loss than with direct investment in the underlying
  • With higher risk levels,  multiple underlyings (Worst-of) allow for higher coupons or lower barriers
  • Limited profit potential (Cap)
 
Yield enhancement products: Express Certificate (1260)
 
 
 
Market expectation
  • Underlying moving sideways or slightly rising
  • Decreasing volatility
  • Underlying will not breach Barrier during product lifetime
Characteristics
  • Should the underlying trade above the Strike on the observation date, an early redemption consisting of nominal plus an additional coupon amount is paid
  • Offers the possibility of an early redemption combined with an attractive yield opportunity
  • Smaller risk of loss than with direct investment in the underlying
  • With higher risk levels,  multiple underlyings (Worst-of) allow for higher coupons or lower barriers
  • Limited profit potential (Cap)
 
Yield enhancement products: Miscellaneous Yield Enhancement Certificates (1299)
 
 
 
Market expectation
  • Depends on product structure 
Characteristics
  • Depends on product structure