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
 
Investment Products with Reference Entities: Reference Entity Certificate with Conditional Capital Protection (1410)
 
 
 
Market expectation
  • Increasing underlying
  • Sharply declining underlying possible
  • No credit event of the reference entity
Characteristics
  • There are one or more reference entities underlying the product
  • In addition to the credit risk of the issuer, redemption is subject to the solvency (non-occurrence of a credit event) of the reference entity
  • Redemption is made at least in the amount of conditional capital protection at maturity, provided that no credit event of the reference entity has occurred
  • If a credit event occurs at the reference entity during the life time, the product will be redeemed at an amount corresponding to the credit event
  • The product value can fall below conditional capital protection during its lifetime, among other things due to a negative assessment of reference issuer creditworthiness
  • Conditional capital protection only applies to the nominal and not the purchase price
  • Participation in development of the underlying, provided a reference entity credit event has not occurred
  • The product allows higher yield at greater risk
 
Investment Products with Reference Entities: Reference Entity Certificate with Yield Enhancement (1420)
 
 
 
Market expectation
  • Underlying moving sideways or slightly rising
  • Falling volatility of the underlying
  • No credit event of the reference entity
Characteristics
  • There are one or more reference entities underlying the product
  • In addition to credit risk, redemption of the product is subject to the solvency (non-occurrence of a credit event) of the reference entity
  • If a credit event occurs at the reference entity during the life time, the product will be redeemed at an amount corresponding to the credit event
  • The product value can fall during its lifetime, among other things due to a negative assessment of reference entity creditworthiness
  • If the underlying is lower than the exercise price upon maturity, the underlying is delivered and/or a cash settlement is made, provided that no credit event of the reference entity has occurred
  • If the underlying is higher than the exercise price upon maturity, the nominal is repaid, provided that no credit event of the reference entity has occurred
  • Depending on the characteristics of the product, either a coupon or a discount to the underlying can apply
  • A coupon is paid out regardless of performance of the underlying, provided that no credit event of the reference entity has occurred
  • In addition, the product can feature a barrier
  • More than one underlying (Worst-of) allows higher coupons, larger discounts, or lower barriers for greater risk -Limited Profit Potential (Cap)
  • The product allows higher yield at greater risk