Structured Products Under Subscription

Issuer Creditworthiness

Structured products are bonds

Legally, structured products are bonds (claims), so that the default risk of these securities (the same as for bond issues) depends on the creditworthiness of the issuer, or provider of security respectively. Which is the reason issuers’ or security providers’ credit ratings should influence structured product choices.

The SSPA is now publishing credit ratings, credit spreads and core capital ratios (tier 1 ratings) of its members, alphabetically and in order of issuer (issue vehicle).

Credit ratings, credit spreads and core capital ratios (tier 1 ratings) refer to the issuer, or provider of security in the case that claims against the issuer are covered by a guarantee or other security such as letter of responsibility or keep-well agreements. In the latter case, the nature of the security is also stated. This information, together with a structured product’s term sheet, allows investors to quickly and simply determine liable parties and the extent of their liability.


Credit Spreads

Credit spreads help investors to obtain a better understanding of an issuer’s or security provider’s creditworthiness. The information refers to corporate bonds of one-year’s and five-year’s duration respectively. The base points listed represent the investor’s hypothetical insurance premium to cover against the default of the issuer’s structured products. Credit spreads provide more accurate and current creditworthiness information on issuers. A small spread typically indicates high creditworthiness.


Credit ratings

Credit ratings refer to the respective provider of the guarantee. In principle this is the group’s parent company (special cases are described). Individual credit ratings by Moody’s, S&P and Fitch are shown separately. The rating agencies have not assessed all issuers.


Core capital ratio (tier 1 ratings)

The «tier 1» core capital ratio (according to Basel II) is the ratio of core capital and risk-weighted credit amounts. The core capital is made up of the share capital, disclosed reserves and profit carried forward. Equity requirements according to Basel II require a minimum tier 1 rating of 4%.



Please note that issuers’ rating, credit spread and core capital ratio are only three of several criteria influencing the choice of a structured product. The information below should not be considered investment advice, nor does it constitute an offer or recommendation to buy or sell a product or take the place of a person-to-person consultation. Rather than investing in a single product, we recommend diversification. This prevents a single product in an investment portfolio from gaining too much weight, and in cases of default having too great an effect on the portfolio’s overall value.

Rating, credit spread and core capital ratio information is provided by the issuers. The SSPA and the issuers listed are in no way responsible for the completeness or accuracy of the information. No special verification procedures were performed.

The following table «Issuer Creditworthiness» gives an overview of issuers´/guarantors´ credit ratings and credit spreads. The table «Core Capital Ratio» shows issuers´/guarantors´ core capital ratios (tier 1 ratings). Credit ratings and credit spreads are updated weekly, core capital ratios (tier 1 ratings) quarterly.

Product Finder

Summary Risk Indicator (SRI)

The Summary Risk Indicator (SRI) is a standardised risk indicator that takes into account both the volatility of a financial instrument (market risk) and the creditworthiness of the issuer (credit risk). Based on this combination, the financial instrument is then classified on a seven-point scale, with 1 representing the lowest risk and 7 the highest risk.

PRIIP providers use the following format for presenting the Summary Risk Indicator (SRI) in the Key Information Document (KID). As shown below, the relevant figure is highlighted to indicate the SRI of the PRIIP.

Lower Risk
Higher Risk

This risk indicator is based on the assumption that you will hold the product (for x years / until [date] [if there is no specific maturity date]).
(Where applicable:) If you liquidate an investment prematurely, the actual risk may significantly differ from that indicated and you may get back less than you invested.
(If classified as illiquid:) (It is [not] possible [under certain circumstances] to liquidate an investment prematurely.) If an investment is liquidated prematurely, you will / may incur significant additional costs. (If classified as associated with significant liquidity risk:) It may be that you cannot readily sell (terminate) your product without having to sell (terminate) it at a price that significantly reduces the amount you get back.


The SSPA categorization model consists of three hierarchy levels. On the top level the model distinguished investment products from leverage products. These two main categories are made up of five product categories on the second level, ranging from low-risk capital protection products to 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 information on the investor’s market expectations as well as product-specific characteristics.

Participation: Bonus Certificate (1320)

Market expectation

  • Underlying moving sideways or rising
  • Underlying will not breach Barrier during product lifetime


  • Participation in development of the underlying
  • Minimum redemption is equal to the nominal provided the barrier has not been breached
  • If the barrier is breached the product changes into a Tracker Certificate
  • With greater risk multiple underlyings (Worst-of) allow for a higher bonus level or lower barrier
  • Smaller risk of loss than with direct investment in the underlying

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