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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 fromwww.sspa-association.ch/map.
What are structured products?Structured products combine classic investments with derivati-ves. 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 profi le, from low-risk capital protection products
to high-risk leverage products,n every investment class, including those usually not acces-
sible to many investors, including precious metals, commodi-ties 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-under-stand 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 refl ect new market developments. Products are allocated to a given category by payoff, often defi ned in more detail by means of additional features.
1 How do you expect the market to perform in general and as regards specifi c underlyings? Structured products allow investing in rising, fal-ling or sideways-performing markets and markets with high or low volatility.
3 How should the underlying develop to produce a profi t? 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 web-site for more issuer information. The termsheet provides information on additional credit risks associated with reference issuer certifi cates.
6 Is the product within the limits of your risk profi le? 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?
The structured road to the right product
20 LEVERAGE
Ch
arac
teri
stic
s
Smal
l inv
estm
ent
gene
ratin
g a
leve
rage
d pe
rfor
man
ce r
elat
ive
to t
he
unde
rlyin
gIn
crea
sed
risk
of t
otal
loss
(lim
ited
to
initi
al in
vest
men
t)Su
itabl
e fo
r sp
ecul
atio
n or
hed
ging
Con
tinuo
us m
onito
ring
requ
ired
Imm
edia
tely
exp
ires
wor
thle
ss in
cas
e th
e ba
rrie
r is
bre
ache
d du
ring
prod
uct
lifet
ime
Min
or in
fluen
ce o
f vo
latil
ity a
nd
mar
gina
l los
s of
tim
e-va
lue
Mar
ket
exp
ecta
tio
nK
nock
-Out
(Cal
l): R
isin
g un
derly
ing
Kno
ck-O
ut (P
ut):
Falli
ng u
nder
lyin
g
Pro
fit
0
Loss
Underlyi
ng
Knock-O
ut Cal
l
Knock-O
ut Put K
no
ck-O
ut
War
rant
wit
h K
nock
-Out
(2
200)
Ch
arac
teri
stic
s
Smal
l inv
estm
ent
gene
ratin
g a
leve
rage
d pe
rfor
man
ce r
elat
ive
to t
he
unde
rlyin
gIn
crea
sed
risk
of t
otal
loss
(lim
ited
to
initi
al in
vest
men
t)Su
itabl
e fo
r sp
ecul
atio
n or
hed
ging
Con
tinuo
us m
onito
ring
requ
ired
A r
esid
ual v
alue
is r
edee
med
fol
low
ing
a St
op-L
oss
Even
tN
o in
fluen
ce o
f vo
latil
ity
Mar
ket
exp
ecta
tio
nM
ini-F
utur
e (L
ong)
: Ris
ing
unde
rlyin
gM
ini-F
utur
e (S
hort
): Fa
lling
und
erly
ing
Pro
fit
0
Loss
Sto
p-L
oss
Fina
ncin
gLe
vel
Fina
ncin
gLe
vel
Underlyi
ng
Min
i-Fut
ure
(221
0)
SSPA
SW
ISS
DER
IVA
TIV
E M
AP
2016
LEV
ERA
GE
PRO
DU
CTS
INV
ESTM
ENT
PRO
DU
CTS
Pro
fit
0
Loss
Co
up
on
Underlyi
ng
Pro
fit 0
Loss
Re
ba
te
Underlyi
ng
Bar
rie
r
Stri
ke
Pro
fit 0
Loss
Underlyi
ng
Stri
ke
Stri
ke
Pro
fit
0
Loss
last
Obs
erva
tion
n. O
bser
vatio
n
2nd O
bser
vatio
n
1st O
bser
vatio
n0
Bar
rier
Stri
ke
Underlyi
ng
Stri
ke
Pro
fit
0
Loss
Bar
rie
rC
ap
Underlyi
ng
Stri
keSt
rike
Pro
fit
0
Loss
Underlyi
ng
Cap
Stri
ke
Pro
fit
0
Loss
Bar
rie
rC
ap
Underlyi
ng
Stri
ke Pro
fit 0
Loss
Bar
rier Under
lying
Stri
ke
Pro
fit
0
Loss
Underlyi
ng
Stri
ke
Bar
rier
Pro
fit
0
Loss
Bar
rier
Stri
ke
Underlyi
ng
Pro
fit
0
Loss
Underlyi
ng
Stri
ke
13 PARTICIPATION 12 YIELD ENHANCEMENT 11 CAPITAL PROTECTION
© S
wis
s St
ruct
ured
Pro
duct
s A
ssoc
iatio
n SS
PA, Z
uric
h. S
ourc
e: w
ww
.ssp
a-as
soci
atio
n.ch
, Ver
sion
1.8
, Jan
uary
201
6
This
publ
icatio
n is
prod
uced
in c
oope
ratio
n w
ith V
erla
g Fin
anz
und
Wirt
scha
ft A
G, S
IX S
truct
ured
Pro
duct
s Ex
chan
ge A
G a
nd D
eriva
tive
Partn
ers.
All
right
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
or in
par
t, in
this
form
at w
ithou
t the
exp
ress
per
miss
ion
in w
ritin
g of
the
auth
ors.
Add
ition
al c
opie
s of
this
pub
licat
ion
can
be re
ques
ted
free
of c
harg
e at
ww
w.s
spa-
asso
ciat
ion.
ch/m
ap.
14 INVESTMENT PRODUCTS WITH REFERENCE ENTITIES
Add
itio
nal f
eatu
res
Cat
egor
izat
ion
can
be m
ore
clos
ely
defin
ed a
s fo
llow
s:
Asi
an o
ptio
n U
ses
the
aver
age
unde
rlyin
g pr
ice
over
a n
umbe
r of
pre
defin
ed p
erio
ds
(mon
thly
, qua
rter
ly, a
nnua
lly) r
athe
r th
e pr
ice
at a
spe
cific
tim
e.A
uto-
Calla
ble
If, o
n an
obs
erva
tion
day,
the
pric
e of
the
und
erly
ing
is e
ither
on
or a
bove
(bul
l), o
r,
on
or
belo
w (b
ear)
a p
revi
ousl
y de
fined
bar
rier
("au
toca
ll tr
igge
r"),
the
prod
uct
is
re
deem
ed p
rior
to m
atur
ity.
Calla
ble
The
issu
er h
as t
he r
ight
to
canc
el e
arly
, how
ever
, the
re is
no
oblig
atio
n to
do
so.
Capp
ed p
artic
ipat
ion
The
prod
uct
has
a m
axim
um y
ield
.Co
ndit
iona
l Cou
pon
A s
cena
rio e
xist
s w
here
the
cou
pon
is n
ot r
epai
d (a
lso:
cou
pon
at r
isk)
.CO
SI
The
issu
er o
f C
olla
tera
l Sec
ured
Inst
rum
ents
pro
vide
s SI
X S
wis
s Ex
chan
ge w
ith
colla
tera
l cov
erin
g th
eir
curr
ent
valu
e. F
or t
he in
vest
or t
his
mea
ns p
rote
ctio
n in
ca
se o
f is
suer
def
ault.
Euro
pean
Bar
rier
Onl
y th
e la
st-d
ay c
losi
ng p
rice
is r
elev
ant
for
mon
itorin
g th
e ba
rrie
r.Lo
ck-In
If
the
lock
-in le
vel i
s re
ache
d, r
epay
men
t is
at
leas
t in
a p
reas
sign
ed a
mou
nt
rega
rdle
ss o
f fu
ture
dev
elop
men
t of
the
und
erly
ing
pric
e.Lo
okba
ck
Barr
ier
and/
or s
trik
e ar
e se
t w
ith a
tim
e de
lay
(look
-bac
k ph
ase)
.M
emor
y co
upon
O
ne s
cena
rio f
or a
n un
paid
-out
con
ditio
nal c
oupo
n is
a c
atch
-up
paym
ent
at
a
late
r da
te.
Part
ial c
apit
al
Cap
ital p
rote
ctio
n is
bet
wee
n 90
% a
nd 1
00%
of
the
nom
inal
val
ue.
prot
ecti
on
Putt
able
Th
e in
vest
or h
as t
he r
ight
to
retu
rn t
he p
rodu
ct t
o th
e is
suer
on
cert
ain
days
du
ring
the
term
.V
aria
ble
coup
on
The
coup
on a
mou
nt c
an v
ary,
dep
endi
ng o
n a
pred
efin
ed s
cena
rio.
Ch
arac
teri
stic
s
Min
imum
rede
mpt
ion
at e
xpiry
equ
iva-
lent
to
the
capi
tal p
rote
ctio
nC
apita
l pro
tect
ion
is d
efine
d as
a
perc
enta
ge o
f th
e no
min
al (e
.g. 1
00%
)C
apita
l pro
tect
ion
refe
rs t
o th
e no
mi-
nal o
nly,
and
not
to
the
purc
hase
pric
eVa
lue
of t
he p
rodu
ct m
ay f
all b
elow
its
capi
tal p
rote
ctio
n du
ring
the
lifet
ime
Part
icip
atio
n in
und
erly
ing
pric
e in
crea
se a
bove
the
str
ike
Mar
ket
exp
ecta
tio
nRi
sing
und
erly
ing
Risi
ng v
olat
ility
Sh
arpl
y fa
lling
und
erly
ing
poss
ible
Pro
fit 0
Loss
Underlyi
ng
Stri
ke
Ch
arac
teri
stic
s
Min
imum
rede
mpt
ion
at e
xpiry
equ
iva-
lent
to
the
capi
tal p
rote
ctio
nC
apita
l pro
tect
ion
is d
efine
d as
a
perc
enta
ge o
f th
e no
min
al (e
.g. 1
00%
)C
apita
l pro
tect
ion
refe
rs t
o th
e no
mi-
nal o
nly,
and
not
to
the
purc
hase
pric
eVa
lue
of t
he p
rodu
ct m
ay f
all b
elow
its
capi
tal p
rote
ctio
n du
ring
the
lifet
ime
Part
icip
atio
n in
und
erly
ing
pric
e in
crea
-se
abo
ve t
he s
trik
e (c
onve
rsio
n pr
ice)
Cou
pon
paym
ent
poss
ible
Mar
ket
exp
ecta
tio
nRi
sing
und
erly
ing
Risi
ng v
olat
ility
Sh
arpl
y fa
lling
und
erly
ing
poss
ible
Pro
fit 0
Loss
Underlyi
ng
Stri
ke
Ch
arac
teri
stic
s
Min
imum
rede
mpt
ion
at e
xpiry
equ
iva-
lent
to
the
capi
tal p
rote
ctio
nC
apita
l pro
tect
ion
is d
efine
d as
a
perc
enta
ge o
f th
e no
min
al (e
.g. 1
00%
)C
apita
l pro
tect
ion
refe
rs t
o th
e no
mi-
nal o
nly,
and
not
to
the
purc
hase
pric
eVa
lue
of t
he p
rodu
ct m
ay f
all b
elow
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
the
und
erly
ing
Perio
dic
coup
on p
aym
ent
is e
xpec
ted
Lim
ited
profi
t op
port
unity
Mar
ket
exp
ecta
tio
nRi
sing
und
erly
ing
Shar
ply
falli
ng u
nder
lyin
g po
ssib
le
Pro
fit
0
Loss
Co
up
on
Underlyi
ng
Ch
arac
teri
stic
s
Min
imum
rede
mpt
ion
at e
xpiry
equ
iva-
lent
to
the
capi
tal p
rote
ctio
nC
apita
l pro
tect
ion
is de
fined
as
a pe
rcen
tage
of t
he n
omin
al (e
.g. 1
00%
)C
apita
l pro
tect
ion
refe
rs t
o th
e no
mi-
nal o
nly,
and
not
to
the
purc
hase
pric
eVa
lue
of t
he p
rodu
ct m
ay f
all b
elow
its
capi
tal p
rote
ctio
n du
ring
the
lifet
ime
Part
icip
atio
n in
und
erly
ing
pric
e in
crea
-se
abo
ve t
he s
trik
e up
to
the
barr
ier
Poss
ibili
ty o
f re
bate
pay
men
t on
ce
barr
ier
is b
reac
hed
Lim
ited
profi
t po
tent
ial
Mar
ket
exp
ecta
tio
nRi
sing
und
erly
ing
Shar
ply
falli
ng u
nder
lyin
g po
ssib
leU
nder
lyin
g is
not
goi
ng t
o to
uch
or
go a
bove
the
bar
rier
durin
g pr
oduc
t lif
etim
e
Pro
fit 0
Loss
Re
ba
te
Underlyi
ng
Bar
rie
r
Stri
ke
Capi
tal P
rote
ctio
n Ce
rtifi
cate
w
ith
Part
icip
atio
n (1
100)
Conv
erti
ble
Cert
ifica
te
(111
0)Ca
pita
l Pro
tect
ion
Cert
ifica
te
wit
h Co
upon
(11
40)
Barr
ier
Capi
tal P
rote
ctio
n Ce
rtifi
cate
(11
30)
Ch
arac
teri
stic
s
Shou
ld t
he u
nder
lyin
g cl
ose
belo
w t
he
strik
e on
exp
iry, t
he u
nder
lyin
g an
d/or
a
cash
am
ount
is r
edee
med
Dis
coun
t C
ertifi
cate
s en
able
inve
stor
s to
ac
quire
the
und
erly
ing
at a
low
er p
rice
Cor
resp
onds
to
a bu
y-w
rite-
stra
tegy
Redu
ced
risk
com
pare
d to
a d
irect
in
vest
men
t in
to t
he u
nder
lyin
g W
ith h
ighe
r ris
k le
vels
mul
tiple
un
derly
ings
(Wor
st-o
f) a
llow
for
hi
gher
dis
coun
tsLi
mite
d pr
ofit
oppo
rtun
ity (C
ap)
Mar
ket
exp
ecta
tio
nU
nder
lyin
g m
ovin
g si
dew
ays
or
slig
htly
ris
ing
Falli
ng v
olat
ility
Pro
fit
0
Loss
Underlyi
ng
Cap
Stri
ke
Ch
arac
teri
stic
s
The
max
imum
rede
mpt
ion
amou
nt (C
ap)
is pa
id o
ut if
the
barr
ier i
s ne
ver b
reac
hed
Barr
ier
Dis
coun
t C
ertifi
cate
s en
able
in
vest
ors
to a
cqui
re t
he u
nder
lyin
g at
a
low
er p
rice
Due
to
the
barr
ier,
the
pro
babi
lity
of
max
imum
red
empt
ion
is h
ighe
r;
the
disc
ount
, how
ever
, is
smal
ler
than
fo
r a
Dis
coun
t C
ertif
icat
eIf
the
barr
ier
is b
reac
hed
the
prod
uct
chan
ges
into
a D
isco
unt
Cer
tifica
teRe
duce
d ris
k co
mpa
red
to a
dire
ct
inve
stm
ent
into
the
und
erly
ing
Lim
ited
profi
t po
tent
ial (
Cap
)
With
hig
her
risk
leve
ls m
ultip
le
unde
rlyin
gs (W
orst
-of)
allo
w f
or
high
er d
isco
unts
or
low
er b
arrie
rs
Mar
ket
exp
ecta
tio
nU
nder
lyin
g m
ovin
g si
dew
ays
or
slig
htly
ris
ing
Falli
ng v
olat
ility
U
nder
lyin
g w
ill n
ot b
reac
h ba
rrie
r du
ring
prod
uct
lifet
ime
Pro
fit
0
Loss
Bar
rie
rC
ap
Underlyi
ng
Stri
ke
Ch
arac
teri
stic
s
Shou
ld t
he b
arrie
r ne
ver
be b
reac
hed,
th
e no
min
al p
lus
coup
on is
pai
d at
re
dem
ptio
nD
ue t
o t
he b
arrie
r, t
he p
roba
bilit
y of
m
axim
um r
edem
ptio
n is
hig
her;
the
co
upon
, how
ever
, is
smal
ler
than
for
a
Reve
rse
Con
vert
ible
If th
e ba
rrie
r is
bre
ache
d th
e pr
oduc
t ch
ange
s in
to a
Rev
erse
Con
vert
ible
The
coup
on is
pai
d re
gard
less
of
the
unde
rlyin
g de
velo
pmen
tRe
duce
d ris
k co
mpa
red
to a
dire
ct
inve
stm
ent
into
the
und
erly
ing
With
hig
her
risk
leve
ls,
mul
tiple
un
derly
ings
(Wor
st-o
f) a
llow
for
hi
gher
cou
pons
or
low
er b
arrie
rsLi
mite
d pr
ofit
pote
ntia
l (C
ap)
Mar
ket
exp
ecta
tio
nU
nder
lyin
g m
ovin
g si
dew
ays
or
slig
htly
ris
ing
Falli
ng v
olat
ility
U
nder
lyin
g w
ill n
ot b
reac
h ba
rrie
r du
ring
prod
uct
lifet
ime
Stri
ke
Pro
fit
0
Loss
Bar
rie
rC
apUnder
lying
Stri
ke
-
Ch
arac
teri
stic
s
Shou
ld t
he u
nder
lyin
g tr
ade
abov
e th
e St
rike
on t
he o
bser
vatio
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
Off
ers
the
poss
ibili
ty o
f an
ear
ly r
edem
ptio
n co
mbi
ned
with
an
attr
activ
e yi
eld
oppo
rtun
ityRe
duce
d ris
k co
mpa
red
to a
dire
ct
inve
stm
ent
into
the
und
erly
ing
With
hig
her
risk
leve
ls,
mul
tiple
un
derly
ings
(Wor
st-o
f) a
llow
for
hi
gher
cou
pons
or
low
er b
arrie
rs
Lim
ited
prof
it op
port
unity
(Cap
)
Mar
ket
exp
ecta
tio
nU
nder
lyin
g m
ovin
g si
dew
ays
or
Dec
reas
ing
vola
tility
sl
ight
ly r
isin
g
Und
erly
ing
will
not
bre
ach
barr
ier
durin
g pr
oduc
t lif
etim
e
Stri
ke
Pro
fit
0
Loss
last
Obs
erva
tion
n. O
bser
vatio
n
2nd O
bser
vatio
n
1st O
bser
vatio
n0
Bar
rier
Stri
ke
Underlyi
ng
Ch
arac
teri
stic
s
Shou
ld t
he u
nder
lyin
g cl
ose
belo
w t
he
strik
e on
exp
iry, t
he u
nder
lyin
g an
d/or
a
cash
am
ount
is r
edee
med
Shou
ld t
he u
nder
lyin
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 r
edem
ptio
nTh
e co
upon
is p
aid
rega
rdle
ss o
f th
e un
derly
ing
deve
lopm
ent
Redu
ced
risk
com
pare
d to
a d
irect
in
vest
men
t in
to t
he u
nder
lyin
gW
ith h
ighe
r ris
k le
vels
, m
ultip
le
unde
rlyin
gs (W
orst
-of)
allo
w f
or
high
er c
oupo
nsLi
mite
d pr
ofit
pote
ntia
l (C
ap)
Mar
ket
exp
ecta
tio
nU
nder
lyin
g m
ovin
g si
dew
ays
or
slig
htly
ris
ing
Fa
lling
vol
atili
ty
Stri
ke
Pro
fit
0
Loss
Underlyi
ng
Cap
Stri
ke
Dis
coun
t Ce
rtifi
cate
(12
00)
Barr
ier
Dis
coun
t Ce
rtifi
cate
(1
210)
Barr
ier
Reve
rse
Conv
erti
ble
(123
0)Ex
pres
s Ce
rtifi
cate
(12
60)
Reve
rse
Conv
erti
ble
(122
0)
Ch
arac
teri
stic
s
Part
icip
atio
n in
dev
elop
men
t of
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 t
he u
nder
lyin
g
Mar
ket
exp
ecta
tio
nRi
sing
und
erly
ing
Pro
fit
0
Loss
Underlyi
ng
Ch
arac
teri
stic
s
Part
icip
atio
n in
dev
elop
men
t of
the
un
derly
ing
Min
imum
red
empt
ion
is e
qual
to
the
nom
inal
pro
vide
d th
e ba
rrie
r ha
s no
t be
en b
reac
hed
If th
e ba
rrie
r is
bre
ache
d th
e pr
oduc
t ch
ange
s in
to a
Tra
cker
Cer
tifica
teW
ith g
reat
er r
isk
mul
tiple
und
erly
ings
(W
orst
-of)
allo
w f
or a
hig
her
bonu
s le
vel o
r lo
wer
bar
rier
Redu
ced
risk
com
pare
d to
a d
irect
in
vest
men
t in
to t
he u
nder
lyin
gW
ith g
reat
er r
isk
mul
tiple
und
erly
ings
(W
orst
-of)
allo
w f
or a
hig
her
bonu
s le
vel o
r lo
wer
bar
rier
Redu
ced
risk
com
pare
d to
a d
irect
in
vest
men
t in
to t
he u
nder
lyin
g
With
hig
her
risk
leve
ls, m
ultip
le
unde
rlyin
gs (W
orst
-of)
allo
w f
or a
hi
gher
bon
us le
vel o
r lo
wer
bar
rier
Redu
ced
risk
com
pare
d to
a d
irect
in
vest
men
t in
to t
he u
nder
lyin
g
Mar
ket
exp
ecta
tio
nU
nder
lyin
g m
ovin
g si
dew
ays
or r
isin
gU
nder
lyin
g w
ill n
ot b
reac
h ba
rrie
r du
ring
prod
uct
lifet
ime
Pro
fit
0
Loss
Bar
rier
Stri
ke
Underlyi
ng
Ch
arac
teri
stic
s
Part
icip
atio
n in
dev
elop
men
t of
the
un
derly
ing
Dis
prop
ortio
nate
par
ticip
atio
n (o
ut-
perf
orm
ance
) in
posi
tive
perf
orm
ance
ab
ove
the
strik
eRe
flect
s un
derly
ing
pric
e m
oves
1:1
w
hen
belo
w t
he S
trik
eRi
sk c
ompa
rabl
e to
dire
ct in
vest
men
t in
the
und
erly
ing
Mar
ket
exp
ecta
tio
nRi
sing
und
erly
ing
Risi
ng v
olat
ility
Pro
fit
0
Loss
Underlyi
ng
Stri
ke
Ch
arac
teri
stic
s
Part
icip
atio
n in
dev
elop
men
t of
the
un
derly
ing
Dis
prop
ortio
nate
par
ticip
atio
n (o
ut-
perf
orm
ance
) in
posi
tive
perf
orm
ance
ab
ove
the
strik
eM
inim
um r
edem
ptio
n is
equ
al t
o th
e no
min
al p
rovi
ded
the
barr
ier
has
not
been
bre
ache
dIf
the
barr
ier
is b
reac
hed
the
prod
uct
chan
ges
into
a O
utpe
rfor
man
ce
Cer
tifica
te
Mar
ket
exp
ecta
tio
nRi
sing
und
erly
ing
Und
erly
ing
will
not
bre
ach
barr
ier
durin
g pr
oduc
t lif
etim
e
Pro
fit
0
Loss
Underlyi
ng
Stri
ke
Bar
rier
Ch
arac
teri
stic
s
Part
icip
atio
n in
dev
elop
men
t of
the
un
derly
ing
Profi
ts p
ossi
ble
with
ris
ing
and
falli
ng
unde
rlyin
gFa
lling
und
erly
ing
pric
e co
nver
ts in
to
profi
t up
to
the
barr
ier
Min
imum
red
empt
ion
is e
qual
to
the
nom
inal
pro
vide
d th
e ba
rrie
r ha
s no
t be
en b
reac
hed
If th
e ba
rrie
r is
bre
ache
d th
e pr
oduc
t ch
ange
s in
to a
Tra
cker
Cer
tifica
te
Mar
ket
exp
ecta
tio
nRi
sing
or
slig
htly
fal
ling
unde
rlyin
g U
nder
lyin
g w
ill n
ot b
reac
h ba
rrie
r du
ring
prod
uct
lifet
ime
Pro
fit 0
Loss
Bar
rier Under
lying
Stri
ke
Trac
ker
Cert
ifica
te (
1300
)Bo
nus
Cert
ifica
te (
1320
)O
utpe
rfor
man
ce C
erti
fica
te
(131
0)Bo
nus
Out
perf
orm
ance
Ce
rtifi
cate
(13
30)
Twin
-Win
Cer
tifi
cate
(13
40)
Ch
arac
teri
stic
s
Smal
l inv
estm
ent
gene
ratin
g a
leve
rage
d pe
rfor
man
ce r
elat
ive
to t
he
unde
rlyin
gIn
crea
sed
risk
of t
otal
loss
(lim
ited
to
initi
al in
vest
men
t)Su
itabl
e fo
r sp
ecul
atio
n or
hed
ging
Dai
ly lo
ss o
f tim
e va
lue
(incr
ease
s as
pr
oduc
t ex
piry
app
roac
hes)
Con
tinuo
us m
onito
ring
requ
ired
Mar
ket
exp
ecta
tio
nW
arra
nt (C
all):
Ris
ing
unde
rlyin
g, r
isin
g vo
latil
ity
War
rant
(Put
): Fa
lling
und
erly
ing,
ris
ing
vola
tility
Pro
fit
0
Loss
Underlyi
ng
Call
Put
Stri
ke
Ch
arac
teri
stic
s
Smal
l inv
estm
ent
gene
ratin
g a
leve
rage
d pe
rfor
man
ce r
elat
ive
to t
he
unde
rlyin
g In
crea
sed
risk
of t
otal
loss
(lim
ited
to
initi
al in
vest
men
t)D
aily
loss
of
time
valu
e (in
crea
ses
as
prod
uct
expi
ry a
ppro
ache
s)C
ontin
uous
mon
itorin
g re
quire
dLi
mite
d pr
ofit
pote
ntia
l (C
ap)
Mar
ket
exp
ecta
tio
nSp
read
War
rant
(Bul
l): R
isin
g un
derly
ing
Spre
ad W
arra
nt (B
ear)
: Fal
ling
unde
rlyin
g
Pro
fit
0
Loss
Underlyi
ng
Bull
Bear
Stri
ke
War
rant
(21
00)
Spre
ad W
arra
nt (
2110
)
Mar
ket
Exp
ecta
tio
nLo
ng: R
isin
g un
derly
ing
Shor
t: F
allin
g un
derly
ing
Ch
arac
teri
stic
s
Smal
l inv
estm
ent
gene
ratin
g a
leve
rage
d pe
rfor
man
ce r
elat
ive
to t
he u
nder
lyin
gIn
crea
sed
risk
of t
otal
loss
(lim
ited
to
initi
al in
vest
men
t)A
pot
entia
l sto
p lo
ss a
nd/o
r ad
just
men
t m
echa
nism
pre
vent
s th
e va
lue
of t
he
prod
uct
from
bec
omin
g ne
gativ
eFr
eque
nt s
hift
s in
dire
ctio
n of
the
pric
e of
th
e un
derly
ing
have
a n
egat
ive
effe
ct o
n th
e pr
oduc
t pe
rfor
man
ceRe
sett
ing
on a
reg
ular
bas
is e
nsur
e a
cons
tant
leve
rage
Con
tinuo
us m
onito
ring
requ
ired
Cons
tant
Lev
erag
e Ce
rtif
icat
e (
2300
)
Pro
fit
0
Loss
Underlyi
ng
Long
Short
Ch
arac
teri
stic
s
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
the
cred
it ris
k of
the
issu
er, r
edem
ptio
n is
sub
ject
to
the
solv
ency
(non
-occ
urre
nce
of a
cre
dit
even
t) o
f th
e re
fere
nce
entit
y Re
dem
ptio
n is
mad
e at
leas
t in
the
am
ount
of
cond
ition
al c
apita
l pr
otec
tion
at m
atur
ity, p
rovi
ded
that
no
cred
it ev
ent
of t
he r
efer
ence
en
tity
has
occu
rred
If
a cr
edit
even
t oc
curs
at
the
refe
renc
e en
tity
durin
g th
e lif
e tim
e, t
he
prod
uct
will
be
rede
emed
at
an a
mou
nt c
orre
spon
ding
to
the
cred
it ev
ent
The
prod
uct
valu
e ca
n fa
ll be
low
con
ditio
nal c
apita
l pro
tect
ion
durin
g its
lif
etim
e, a
mon
g ot
her
thin
gs d
ue t
o a
nega
tive
asse
ssm
ent
of r
efer
ence
is
suer
cre
ditw
orth
ines
sC
ondi
tiona
l cap
ital p
rote
ctio
n on
ly a
pplie
s to
the
nom
inal
and
not
the
pu
rcha
se p
rice
Part
icip
atio
n in
dev
elop
men
t of
the
und
erly
ing,
pro
vide
d a
refe
renc
e en
tity
cred
it ev
ent
has
not
occu
rred
The
prod
uct
allo
ws
high
er y
ield
at
grea
ter
risk
Mar
ket
exp
ecta
tio
nRi
sing
und
erly
ing
Shar
ply
falli
ng u
nder
lyin
g po
ssib
le
No
cred
it ev
ent
of t
he r
efer
ence
ent
ity
Refe
renc
e En
tity
Cer
tifi
cate
wit
hCo
ndit
iona
l Cap
ital
Pro
tect
ion
(141
0)
Ch
arac
teri
stic
s
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
cred
it ris
k, r
edem
ptio
n of
the
pro
duct
is s
ubje
ct t
o th
e so
lven
cy (n
on-o
ccur
renc
e of
a c
redi
t ev
ent)
of
the
refe
renc
e en
tity
If a
cred
it ev
ent
occu
rs a
t th
e re
fere
nce
entit
y du
ring
the
life
time,
the
pr
oduc
t w
ill b
e re
deem
ed a
t an
am
ount
cor
resp
ondi
ng t
o th
e cr
edit
even
t Th
e pr
oduc
t va
lue
can
fall
durin
g its
life
time,
am
ong
othe
r th
ings
due
to
a ne
gativ
e as
sess
men
t of
ref
eren
ce e
ntity
cre
ditw
orth
ines
s If
the
unde
rlyin
g is
low
er t
han
the
exer
cise
pric
e up
on m
atur
ity, t
he
unde
rlyin
g is
del
iver
ed a
nd/o
r a
cash
set
tlem
ent
is m
ade,
pro
vide
d th
at
no c
redi
t ev
ent
of t
he r
efer
ence
ent
ity h
as o
ccur
red
If th
e un
derly
ing
is h
ighe
r th
an t
he e
xerc
ise
pric
e up
on m
atur
ity, t
he
nom
inal
is r
epai
d, p
rovi
ded
that
no
cred
it ev
ent
of t
he r
efer
ence
ent
ity
has
occu
rred
D
epen
ding
on
the
char
acte
ristic
s of
the
pro
duct
, eith
er a
cou
pon
or a
di
scou
nt t
o th
e un
derly
ing
can
appl
y A
cou
pon
is p
aid
out
rega
rdle
ss o
f pe
rfor
man
ce o
f th
e un
derly
ing,
pro
vi-
ded
that
no
cred
it ev
ent
of t
he r
efer
ence
ent
ity h
as o
ccur
red
In a
dditi
on, t
he p
rodu
ct c
an f
eatu
re a
bar
rier
With
gre
ater
ris
k, m
ultip
le u
nder
lyin
gs (W
orst
-of)
allo
w f
or h
ighe
r co
upon
s, la
rger
dis
coun
ts, o
r lo
wer
bar
riers
Li
mite
d Pr
ofit
Pote
ntia
l (C
ap)
The
prod
uct
allo
ws
high
er y
ield
at
grea
ter
risk
Mar
ket
exp
ecta
tio
nU
nder
lyin
g m
ovin
g si
dew
ays
or s
light
ly r
isin
g Fa
lling
vol
atili
ty o
f th
e un
derly
ing
N
o cr
edit
even
t of
the
ref
eren
ce e
ntity
Refe
renc
e En
tity
Cer
tifi
cate
wit
h Y
ield
En
hanc
emen
t (1
420)
Ch
arac
teri
stic
s
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
cred
it ris
k, r
edem
ptio
n of
the
pro
duct
is s
ubje
ct t
o th
e so
lven
cy (n
on-o
ccur
renc
e of
a c
redi
t ev
ent)
of
the
refe
renc
e en
tity
If a
cred
it ev
ent
occu
rs a
t th
e re
fere
nce
entit
y du
ring
the
life
time,
the
pr
oduc
t w
ill b
e re
deem
ed a
t an
am
ount
cor
resp
ondi
ng t
o th
e cr
edit
even
t Th
e pr
oduc
t va
lue
can
fall
durin
g its
life
time,
am
ong
othe
r th
ings
due
to
a ne
gativ
e as
sess
men
t of
ref
eren
ce e
ntity
cre
ditw
orth
ines
s Pa
rtic
ipat
ion
in d
evel
opm
ent
of t
he u
nder
lyin
g, p
rovi
ded
a re
fere
nce
entit
y cr
edit
even
t ha
s no
t oc
curr
ed
In a
dditi
on, t
he p
rodu
ct c
an f
eatu
re a
bar
rier
The
prod
uct
allo
ws
high
er y
ield
at
grea
ter
risk
Mar
ket
exp
ecta
tio
nRi
sing
und
erly
ing
No
cred
it ev
ent
of t
he r
efer
ence
ent
ity
Refe
renc
e En
tity
Cer
tifi
cate
wit
h Pa
rtic
ipat
ion
(143
0)
Long
Short
Dis
cove
r the
pot
entia
l.
Pro
fit
0
Loss
Underlyi
ng
Pro
fit
0
Loss
Underlyi
ng
Cap
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13 PARTICIPATION 12 YIELD ENHANCEMENT 11 CAPITAL PROTECTION
© S
wis
s St
ruct
ured
Pro
duct
s A
ssoc
iatio
n SS
PA, Z
uric
h. S
ourc
e: w
ww
.ssp
a-as
soci
atio
n.ch
, Ver
sion
1.8
, Jan
uary
201
6
This
publ
icatio
n is
prod
uced
in c
oope
ratio
n w
ith V
erla
g Fin
anz
und
Wirt
scha
ft A
G, S
IX S
truct
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Pro
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s Ex
chan
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G a
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Partn
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All
right
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desig
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are
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by
thes
e pa
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. Th
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wiss
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ay n
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t, in
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at w
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t the
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ress
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miss
ion
in w
ritin
g of
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ors.
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opie
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pub
licat
ion
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ques
ted
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ap.
14 INVESTMENT PRODUCTS WITH REFERENCE ENTITIES
Add
itio
nal f
eatu
res
Cat
egor
izat
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can
be m
ore
clos
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defin
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s fo
llow
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the
aver
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If, o
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ither
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The
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The
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ield
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ndit
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A s
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The
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X S
wis
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or t
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bser
vatio
n0
Bar
rier
Stri
ke
Underlyi
ng
Ch
arac
teri
stic
s
Shou
ld t
he u
nder
lyin
g cl
ose
belo
w t
he
strik
e on
exp
iry, t
he u
nder
lyin
g an
d/or
a
cash
am
ount
is r
edee
med
Shou
ld t
he u
nder
lyin
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 r
edem
ptio
nTh
e co
upon
is p
aid
rega
rdle
ss o
f th
e un
derly
ing
deve
lopm
ent
Redu
ced
risk
com
pare
d to
a d
irect
in
vest
men
t in
to t
he u
nder
lyin
gW
ith h
ighe
r ris
k le
vels
, m
ultip
le
unde
rlyin
gs (W
orst
-of)
allo
w f
or
high
er c
oupo
nsLi
mite
d pr
ofit
pote
ntia
l (C
ap)
Mar
ket
exp
ecta
tio
nU
nder
lyin
g m
ovin
g si
dew
ays
or
slig
htly
ris
ing
Fa
lling
vol
atili
ty
Stri
ke
Pro
fit
0
Loss
Underlyi
ng
Cap
Stri
ke
Dis
coun
t Ce
rtifi
cate
(12
00)
Barr
ier
Dis
coun
t Ce
rtifi
cate
(1
210)
Barr
ier
Reve
rse
Conv
erti
ble
(123
0)Ex
pres
s Ce
rtifi
cate
(12
60)
Reve
rse
Conv
erti
ble
(122
0)
Ch
arac
teri
stic
s
Part
icip
atio
n in
dev
elop
men
t of
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 t
he u
nder
lyin
g
Mar
ket
exp
ecta
tio
nRi
sing
und
erly
ing
Pro
fit
0
Loss
Underlyi
ng
Ch
arac
teri
stic
s
Part
icip
atio
n in
dev
elop
men
t of
the
un
derly
ing
Min
imum
red
empt
ion
is e
qual
to
the
nom
inal
pro
vide
d th
e ba
rrie
r ha
s no
t be
en b
reac
hed
If th
e ba
rrie
r is
bre
ache
d th
e pr
oduc
t ch
ange
s in
to a
Tra
cker
Cer
tifica
teW
ith g
reat
er r
isk
mul
tiple
und
erly
ings
(W
orst
-of)
allo
w f
or a
hig
her
bonu
s le
vel o
r lo
wer
bar
rier
Redu
ced
risk
com
pare
d to
a d
irect
in
vest
men
t in
to t
he u
nder
lyin
gW
ith g
reat
er r
isk
mul
tiple
und
erly
ings
(W
orst
-of)
allo
w f
or a
hig
her
bonu
s le
vel o
r lo
wer
bar
rier
Redu
ced
risk
com
pare
d to
a d
irect
in
vest
men
t in
to t
he u
nder
lyin
g
With
hig
her
risk
leve
ls, m
ultip
le
unde
rlyin
gs (W
orst
-of)
allo
w f
or a
hi
gher
bon
us le
vel o
r lo
wer
bar
rier
Redu
ced
risk
com
pare
d to
a d
irect
in
vest
men
t in
to t
he u
nder
lyin
g
Mar
ket
exp
ecta
tio
nU
nder
lyin
g m
ovin
g si
dew
ays
or r
isin
gU
nder
lyin
g w
ill n
ot b
reac
h ba
rrie
r du
ring
prod
uct
lifet
ime
Pro
fit
0
Loss
Bar
rier
Stri
ke
Underlyi
ng
Ch
arac
teri
stic
s
Part
icip
atio
n in
dev
elop
men
t of
the
un
derly
ing
Dis
prop
ortio
nate
par
ticip
atio
n (o
ut-
perf
orm
ance
) in
posi
tive
perf
orm
ance
ab
ove
the
strik
eRe
flect
s un
derly
ing
pric
e m
oves
1:1
w
hen
belo
w t
he S
trik
eRi
sk c
ompa
rabl
e to
dire
ct in
vest
men
t in
the
und
erly
ing
Mar
ket
exp
ecta
tio
nRi
sing
und
erly
ing
Risi
ng v
olat
ility
Pro
fit
0
Loss
Underlyi
ng
Stri
ke
Ch
arac
teri
stic
s
Part
icip
atio
n in
dev
elop
men
t of
the
un
derly
ing
Dis
prop
ortio
nate
par
ticip
atio
n (o
ut-
perf
orm
ance
) in
posi
tive
perf
orm
ance
ab
ove
the
strik
eM
inim
um r
edem
ptio
n is
equ
al t
o th
e no
min
al p
rovi
ded
the
barr
ier
has
not
been
bre
ache
dIf
the
barr
ier
is b
reac
hed
the
prod
uct
chan
ges
into
a O
utpe
rfor
man
ce
Cer
tifica
te
Mar
ket
exp
ecta
tio
nRi
sing
und
erly
ing
Und
erly
ing
will
not
bre
ach
barr
ier
durin
g pr
oduc
t lif
etim
e
Pro
fit
0
Loss
Underlyi
ng
Stri
ke
Bar
rier
Ch
arac
teri
stic
s
Part
icip
atio
n in
dev
elop
men
t of
the
un
derly
ing
Profi
ts p
ossi
ble
with
ris
ing
and
falli
ng
unde
rlyin
gFa
lling
und
erly
ing
pric
e co
nver
ts in
to
profi
t up
to
the
barr
ier
Min
imum
red
empt
ion
is e
qual
to
the
nom
inal
pro
vide
d th
e ba
rrie
r ha
s no
t be
en b
reac
hed
If th
e ba
rrie
r is
bre
ache
d th
e pr
oduc
t ch
ange
s in
to a
Tra
cker
Cer
tifica
te
Mar
ket
exp
ecta
tio
nRi
sing
or
slig
htly
fal
ling
unde
rlyin
g U
nder
lyin
g w
ill n
ot b
reac
h ba
rrie
r du
ring
prod
uct
lifet
ime
Pro
fit 0
Loss
Bar
rier Under
lying
Stri
ke
Trac
ker
Cert
ifica
te (
1300
)Bo
nus
Cert
ifica
te (
1320
)O
utpe
rfor
man
ce C
erti
fica
te
(131
0)Bo
nus
Out
perf
orm
ance
Ce
rtifi
cate
(13
30)
Twin
-Win
Cer
tifi
cate
(13
40)
Ch
arac
teri
stic
s
Smal
l inv
estm
ent
gene
ratin
g a
leve
rage
d pe
rfor
man
ce r
elat
ive
to t
he
unde
rlyin
gIn
crea
sed
risk
of t
otal
loss
(lim
ited
to
initi
al in
vest
men
t)Su
itabl
e fo
r sp
ecul
atio
n or
hed
ging
Dai
ly lo
ss o
f tim
e va
lue
(incr
ease
s as
pr
oduc
t ex
piry
app
roac
hes)
Con
tinuo
us m
onito
ring
requ
ired
Mar
ket
exp
ecta
tio
nW
arra
nt (C
all):
Ris
ing
unde
rlyin
g, r
isin
g vo
latil
ity
War
rant
(Put
): Fa
lling
und
erly
ing,
ris
ing
vola
tility
Pro
fit
0
Loss
Underlyi
ng
Call
Put
Stri
ke
Ch
arac
teri
stic
s
Smal
l inv
estm
ent
gene
ratin
g a
leve
rage
d pe
rfor
man
ce r
elat
ive
to t
he
unde
rlyin
g In
crea
sed
risk
of t
otal
loss
(lim
ited
to
initi
al in
vest
men
t)D
aily
loss
of
time
valu
e (in
crea
ses
as
prod
uct
expi
ry a
ppro
ache
s)C
ontin
uous
mon
itorin
g re
quire
dLi
mite
d pr
ofit
pote
ntia
l (C
ap)
Mar
ket
exp
ecta
tio
nSp
read
War
rant
(Bul
l): R
isin
g un
derly
ing
Spre
ad W
arra
nt (B
ear)
: Fal
ling
unde
rlyin
g
Pro
fit
0
Loss
Underlyi
ng
Bull
Bear
Stri
ke
War
rant
(21
00)
Spre
ad W
arra
nt (
2110
)
Mar
ket
Exp
ecta
tio
nLo
ng: R
isin
g un
derly
ing
Shor
t: F
allin
g un
derly
ing
Ch
arac
teri
stic
s
Smal
l inv
estm
ent
gene
ratin
g a
leve
rage
d pe
rfor
man
ce r
elat
ive
to t
he u
nder
lyin
gIn
crea
sed
risk
of t
otal
loss
(lim
ited
to
initi
al in
vest
men
t)A
pot
entia
l sto
p lo
ss a
nd/o
r ad
just
men
t m
echa
nism
pre
vent
s th
e va
lue
of t
he
prod
uct
from
bec
omin
g ne
gativ
eFr
eque
nt s
hift
s in
dire
ctio
n of
the
pric
e of
th
e un
derly
ing
have
a n
egat
ive
effe
ct o
n th
e pr
oduc
t pe
rfor
man
ceRe
sett
ing
on a
reg
ular
bas
is e
nsur
e a
cons
tant
leve
rage
Con
tinuo
us m
onito
ring
requ
ired
Cons
tant
Lev
erag
e Ce
rtif
icat
e (
2300
)
Pro
fit
0
Loss
Underlyi
ng
Long
Short
Ch
arac
teri
stic
s
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
the
cred
it ris
k of
the
issu
er, r
edem
ptio
n is
sub
ject
to
the
solv
ency
(non
-occ
urre
nce
of a
cre
dit
even
t) o
f th
e re
fere
nce
entit
y Re
dem
ptio
n is
mad
e at
leas
t in
the
am
ount
of
cond
ition
al c
apita
l pr
otec
tion
at m
atur
ity, p
rovi
ded
that
no
cred
it ev
ent
of t
he r
efer
ence
en
tity
has
occu
rred
If
a cr
edit
even
t oc
curs
at
the
refe
renc
e en
tity
durin
g th
e lif
e tim
e, t
he
prod
uct
will
be
rede
emed
at
an a
mou
nt c
orre
spon
ding
to
the
cred
it ev
ent
The
prod
uct
valu
e ca
n fa
ll be
low
con
ditio
nal c
apita
l pro
tect
ion
durin
g its
lif
etim
e, a
mon
g ot
her
thin
gs d
ue t
o a
nega
tive
asse
ssm
ent
of r
efer
ence
is
suer
cre
ditw
orth
ines
sC
ondi
tiona
l cap
ital p
rote
ctio
n on
ly a
pplie
s to
the
nom
inal
and
not
the
pu
rcha
se p
rice
Part
icip
atio
n in
dev
elop
men
t of
the
und
erly
ing,
pro
vide
d a
refe
renc
e en
tity
cred
it ev
ent
has
not
occu
rred
The
prod
uct
allo
ws
high
er y
ield
at
grea
ter
risk
Mar
ket
exp
ecta
tio
nRi
sing
und
erly
ing
Shar
ply
falli
ng u
nder
lyin
g po
ssib
le
No
cred
it ev
ent
of t
he r
efer
ence
ent
ity
Refe
renc
e En
tity
Cer
tifi
cate
wit
hCo
ndit
iona
l Cap
ital
Pro
tect
ion
(141
0)
Ch
arac
teri
stic
s
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
cred
it ris
k, r
edem
ptio
n of
the
pro
duct
is s
ubje
ct t
o th
e so
lven
cy (n
on-o
ccur
renc
e of
a c
redi
t ev
ent)
of
the
refe
renc
e en
tity
If a
cred
it ev
ent
occu
rs a
t th
e re
fere
nce
entit
y du
ring
the
life
time,
the
pr
oduc
t w
ill b
e re
deem
ed a
t an
am
ount
cor
resp
ondi
ng t
o th
e cr
edit
even
t Th
e pr
oduc
t va
lue
can
fall
durin
g its
life
time,
am
ong
othe
r th
ings
due
to
a ne
gativ
e as
sess
men
t of
ref
eren
ce e
ntity
cre
ditw
orth
ines
s If
the
unde
rlyin
g is
low
er t
han
the
exer
cise
pric
e up
on m
atur
ity, t
he
unde
rlyin
g is
del
iver
ed a
nd/o
r a
cash
set
tlem
ent
is m
ade,
pro
vide
d th
at
no c
redi
t ev
ent
of t
he r
efer
ence
ent
ity h
as o
ccur
red
If th
e un
derly
ing
is h
ighe
r th
an t
he e
xerc
ise
pric
e up
on m
atur
ity, t
he
nom
inal
is r
epai
d, p
rovi
ded
that
no
cred
it ev
ent
of t
he r
efer
ence
ent
ity
has
occu
rred
D
epen
ding
on
the
char
acte
ristic
s of
the
pro
duct
, eith
er a
cou
pon
or a
di
scou
nt t
o th
e un
derly
ing
can
appl
y A
cou
pon
is p
aid
out
rega
rdle
ss o
f pe
rfor
man
ce o
f th
e un
derly
ing,
pro
vi-
ded
that
no
cred
it ev
ent
of t
he r
efer
ence
ent
ity h
as o
ccur
red
In a
dditi
on, t
he p
rodu
ct c
an f
eatu
re a
bar
rier
With
gre
ater
ris
k, m
ultip
le u
nder
lyin
gs (W
orst
-of)
allo
w f
or h
ighe
r co
upon
s, la
rger
dis
coun
ts, o
r lo
wer
bar
riers
Li
mite
d Pr
ofit
Pote
ntia
l (C
ap)
The
prod
uct
allo
ws
high
er y
ield
at
grea
ter
risk
Mar
ket
exp
ecta
tio
nU
nder
lyin
g m
ovin
g si
dew
ays
or s
light
ly r
isin
g Fa
lling
vol
atili
ty o
f th
e un
derly
ing
N
o cr
edit
even
t of
the
ref
eren
ce e
ntity
Refe
renc
e En
tity
Cer
tifi
cate
wit
h Y
ield
En
hanc
emen
t (1
420)
Ch
arac
teri
stic
s
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
cred
it ris
k, r
edem
ptio
n of
the
pro
duct
is s
ubje
ct t
o th
e so
lven
cy (n
on-o
ccur
renc
e of
a c
redi
t ev
ent)
of
the
refe
renc
e en
tity
If a
cred
it ev
ent
occu
rs a
t th
e re
fere
nce
entit
y du
ring
the
life
time,
the
pr
oduc
t w
ill b
e re
deem
ed a
t an
am
ount
cor
resp
ondi
ng t
o th
e cr
edit
even
t Th
e pr
oduc
t va
lue
can
fall
durin
g its
life
time,
am
ong
othe
r th
ings
due
to
a ne
gativ
e as
sess
men
t of
ref
eren
ce e
ntity
cre
ditw
orth
ines
s Pa
rtic
ipat
ion
in d
evel
opm
ent
of t
he u
nder
lyin
g, p
rovi
ded
a re
fere
nce
entit
y cr
edit
even
t ha
s no
t oc
curr
ed
In a
dditi
on, t
he p
rodu
ct c
an f
eatu
re a
bar
rier
The
prod
uct
allo
ws
high
er y
ield
at
grea
ter
risk
Mar
ket
exp
ecta
tio
nRi
sing
und
erly
ing
No
cred
it ev
ent
of t
he r
efer
ence
ent
ity
Refe
renc
e En
tity
Cer
tifi
cate
wit
h Pa
rtic
ipat
ion
(143
0)
Long
Short
Dis
cove
r the
pot
entia
l.
Pro
fit
0
Loss
Underlyi
ng
Pro
fit
0
Loss
Underlyi
ng
Cap
Stri
ke
Pro
fit 0
Loss
Underlyi
ng
Stri
ke
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 Switzerland.
More information – more knowledgeGo to www.svsp-verband.ch for more structured products in-formation. Use our interactive information tool and test your structured product knowledge. You can check on the Swiss Deri-vative Map how your products are categorized.
DEFINITIONAdditional features
Additional features help refi ne the Swiss Structured Products Association (SSPA) categori-zation 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 Certifi cates. These products are based on a dynamic strategy. The com-position of the underlying basket may be altered during the lifetime of the product depen-ding on the predefi ned 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 certifi cates, for instance, can carry the suffi x bear; mini-futures the suffi x short.
Bull/long Bull or long investments are speculations on rising underlyings. Tracker certifi cates, for instance, can carry the suffi x bull; mini-futures the suffi x long.
Cap Caps are the upper limit of participation of a structured product in profi ts from the under-lying.
Capitalprotectioncertifi cate
Issuers of capital protection certifi cates provide capital protection, i.e. assured payment of a specifi c amount, set by the issuer on issue and paid out on the date of repayment. Capital protection certifi cates 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 classifi ed as credit events: reference issuer insolvency; non-payment by refe-rence issuer; potential early debt maturity; early debt maturity; non-recognition or post-ponement of payment obligation by the reference issuer; debt restructuring.
Income accruing Examples of income accruing on underlyings are share dividends and bond interest pay-ments.
Issuer risk Legally, structured products are debt obligations subject to issuer risk, similar to e.g. bonds and fi xed term deposits. As with other kinds of investment the principle of diversifi cation 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 cer-tifi cates, e.g. Collateral 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 con-tract 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 underly-ing. Options are an important component of structured products.
Payoff diagram Payoff diagrams are graphics of a fi nancial instrument’s repayment structure on maturity. Those on the SSPA’s Swiss Derivative Map show a product type’s typical repayment mecha-nism on maturity. For clarity’s sake the list of investment products does not include pro-ducts 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 certifi cate is based. It defi nes 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 defi nes the reference price of the underlyings of the structured product concerned. Barriers, bo-nus levels and cap levels are based on the reference price.
Structured products
Structured fi nancial products are instruments that combine, for instance, bonds or shares with derivatives, usually options, securitized in a stand-alone commercial paper. The re-payment value of structured products depends, among other things, on movements of one or more underlying 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, currenci-es, commodities, interest rates, bonds, etc.
Volatility Shows an underlying’s range of fl uctuation.
Worst-of If a worst-of scenario is being triggered the redemption amount or physical delivery will be defi ned 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
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Discover the potential
An information brochure issued by SSPA,
the Swiss Structured Products Association
Martin F. Meier
Paolo Vanini
Philippe Béguelin
Daniel Manser
Eric Wasescha
Die Welt der Strukturierten Produkte.
Das Buch zur SVSP Swiss Derivative Map©
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 SSPA Compendium – only available in German.
Leporello
SVSP
