Templates/Structured Products

Templates are the models you'll use to describe over the counter (OTC) contracts or to replicate public structures.


Name Description
Accelerator

Long Outperformance certificates (Accelerator) is a product which partecipates to the positive performance of the underlying, the product will pay a positive amount that depends on the Up Participation factor. In case of negative performance of the underlying the payout depends on the Down Participation factor.

Autocall

An autocallable (also known as a kickout, target return or express certificate) is a feature of a structured product that matures early if one or more underlying assets reaches target levels at predefined dates. Typically, if an autocallable event is triggered, investors will receive capital as well as a predefined coupon based on the performance of the underlying asset(s). An investment with an autocallable feature, which matures early and automatically if a set of predefined market conditions are met, should not be confused with a callable feature, which can mature at the issuer's discretion. This template also models Express Certificates and Cash Collect Autocallable Certificates.

Autocall Absolute Return - Twin Win

An absolute return autocall (also known as twin win) is a feature of a structured product which give, at any review date, the possibility of early redemption conditioned the underlying is above to the auto call threshold. In this case the nominal amount plus a coupon will be paid. At maturity, if the product has not been called, if the underlying returns are positive, the underlying returns subject to a maximum upside return is paid. Otherwise, if the underlying is greater or equal to the absolute return threshold the absolute value of the underlying returns is paid. The template will also allow to specify additional contingent coupons payable at any review date and the possibility of shaping the final payoff by specifying the participation to the underlying performance.

Autocall Bonus Plus

An "autocall bonus plus" is a feature of a structured product that matures early if one or more underlying assets reaches target levels at a predefined dates. Typically, if an autocallable event is triggered, investors will receive capital as well as a predefined coupon based on the performance of the underlying asset(s). An investment with an autocallable feature, which matures early and automatically if a set of predefined market conditions are met. In addition to the typical autocall payout, the investor will receive additional unconditional coupons called "plus", which are paid until early redemption is possible. If the product runs to maturity, the product will repay the greater between the "bonus level" and underlying price conditioned to being greater than the "payout threshold". Otherwise the product will repay the initial investment less any negative worst performing (or basket average) underlying measured over the term of the product. Finally the final payout can be subject to an optional cap.

Autocall Flex Observations

An autocallable (also known as a kickout, target return or express certificate) is a feature of a structured product that matures early if one or more underlying assets reaches target levels at a predefined dates. Typically, if an autocallable event is triggered, investors will receive capital as well as a predefined coupon based on the performance of the underlying asset(s). Differently from the autocall template, this template allows user to specify a custom schedule for the observation dates.

Autocall Floating Coupons

An "autocall with floating coupons" is a feature of a structured product that matures early if one or more underlying assets reaches target levels at predefined dates. If an autocallable event is triggered, investors will receive capital as well as a floating coupon proportional to the performance of the underlying asset(s) and conditioned to the reaching of a given target level. Floating coupons will be equal to a multiplier times the underlying value at given observation dates. The observation periods used for the determination of the floating coupons could be from the strike date to the current observation date or from the previous observation date to the current one.

Autocall Lock-In

An "Autocall Lock-In" is a feature of a structured product that matures early if one or more underlying assets reaches target levels at predefined dates. Typically, if an autocallable event is triggered, investors will receive capital as well as a predefined coupon based on the performance of the underlying asset(s). This templates allows also to model an additional protection (lock-in event or primo protection).

Autocall Plus - Income Plan

An "autocall plus" is a feature of a structured product that matures early if one or more underlying assets reaches predefined levels at a predefined dates. Typically, if an autocallable event is triggered, investors will receive capital as well as a predefined coupon based on the performance of the underlying asset(s). An investment with an autocallable feature, which matures early and automatically if a set of predefined criteria are met, should not be confused with a callable feature, which can mature at the issuer's discretion. This templates allows also to model income or growth plans because in addition to the typical autocall payout, it allow to define additional conditional or unconditional coupons called "plus", which are paid prior early redemption periods. Also models Cash Collect Certificates, Digital certficates, Express Certificates and Express Protection Certificates.

Autocall Reverse

A reverse autocall is a feature of a structured product which matures early if the underlying asset (basket or worst of) drops below the target predefined levels at the observation dates. Typically, if an autocallable event is triggered, investors will receive capital as well as a predefined coupon based on the performance of the underlying asset(s).

Autocall with Equity and Index linked Kick Out

An autocall is a feature of a structured product that matures early if one or more underlying assets reaches target levels at predefined dates. Typically, if an autocall event is triggered, investors will receive the invested capital as well as a predefined coupon based on the performance of the underlying asset(s). Differently from the standard autocall template in this product type, when the product runs to maturity and the final shares levels are below the target level, the return of investment is linked to the performance of a different index.

Autocall Zenith Max

An Autocall Zenith Max is a structured product that matures early if one or more underlying assets reaches target levels at predefined dates. If an autocallable event is triggered, investors will receive capital plus a participation to the maximum performance of the underlying asset(s) from strike date to the call date. This template models Zenith Max, Zenith Max Leveraged, Zenith Max Switch Protected and Swift Zenith Max products issued by Exane Derivatives.

Bonus Cap

A Bonus Cap is a product designed to outperform an underlying index, stock or basket in moderately rising or moderately falling markets. The payout is the maximum between a fixed payout (called bonus level) and the underlying level up to a cap level, provided that the stock or index is above the protection level at the final observation date (or during the observation period). If the Protection Barrier will be reached, the product will pay the minimum between the Cap Level and the underlying level. This template also models Bonus Certificates and Outperformance Conditional Protected.

Bonus Reverse Cap

A Bonus Reverse Cap is a product designed to outperform an underlying index, stock or basket with negative performance or in stable or moderately rising markets. This product lets partecipate to negative performance of underlying up to a maximum level, the Cap Level, and corresponds a Bonus for stable or moderately decreasing levels of the underlying. Condition to receive the Bonus is that the underlying does not reach the Protection Barrier during the observation period (any date between the strike and the maturity). If the Protection Barrier will reached, the product will pay a value inversely proportional to the performance of underlying. In this case the certificate do not guarantee repayment of the invested capital.

Discount

Discount certificates make it possible to buy an underlying instrument for less than its current market price. However, the maximum payback on a discount certificate is limited to a predetermined amount (cap). The lower the cap, the greater the discount. Discount certificates have usually maturities standing between one to three years. The payout is as follows: If the underlying level is at or above the cap, the product will pay an amount reflected by the cap. If the price of the underlying stock is below the cap the product will pay a cash settlement reflecting the value of the underlying instrument. Neglecting credit risk considerations, by holding a discount certificate till maturity, an investor will incur a loss only if the price of the underlying instrument has fallen so far that the discount has been totally eroded. In essence, the discount works like a cushion against price declines in the underlying instrument: any loss derived by a discount certificate, will be less than the loss derived by investing directly in the underlying instrument.

Equity Protection

An Equity Protection Certificate is a product which partecipates to the positive performance of the underlying (index or stocks) up to an optional cap level. At maturity the capital can be completely or partially protected.

Synthetic Zero

A Synthetic Zero is a product designed to outperform an underlying index, stock or basket in moderately rising or moderately falling markets. It provides a fixed return, called the Synthetic Level, provided that the stock or index is above the Barrier Level at Expiry. Otherwise the product pays the equivalent of the stock price, index or basket level at Expiry.


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