SSPA SWISS DERIVATIVE MAP ©

INVESTMENT PRODUCTS
Uncapped Capital Exchangeable Certificates Capped Capital Capital Protection Capital Protection Capital Protection
Protection (1100) (1110) Protection (1120) with Knock-Out (1130) with double Knock-Out (1135) with Coupon (1140)
Market Expectation Market Expectation Market Expectation Market Expectation Market Expectation Market Expectation
Rising underlying Sharply rising underlying Rising underlying Rising underlying Rising or falling underlying Rising underlying
Rising volatility Rising volatility Sharply falling underlying possible Sharply falling underlying possible No large price swings (underlying Sharply falling underlying possible
Sharply falling underlying possible Sharply falling underlying possible remains within a range)

Profit
Profit Profit Profit Profit Profit Coupon
Cap
Rebate Rebate Rebate
11 CAPITAL PROTECTION

0 0 0 0 0 0
Strike Knock-Out Knock-Out Knock-Out
Strike

g
g

g
lyin

lyin

lyin
lyin

lyin
g
lyin
r

r
de

de
r

de
de

de
r
Un

Un

Un
de
Un

Un
Loss Loss Loss Loss

Un
Loss Loss

Characteristics Characteristics Characteristics Characteristics Characteristics Characteristics

Minimum redemption at expiry
equivalent to the capital protection
Capital protection is defined as a
percentage of the nominal (e.g. 100%)
Capital protection refers to the nominal
only, and not to the purchase price
Value of the product may fall below its
capital protection during the lifetime
Unlimited participation in a positive
performance of the underlying
Any payouts attributable to the
underlying are used in favour of the
strategy
Minimum redemption at expiry equivalent
to the capital protection
Capital protection is defined as a
percentage of the nominal (e.g. 100%)
Capital protection refers to the nominal
only, and not to the purchase price
Value of the product may fall below its
capital protection during the lifetime
Unlimited participation in a positive
performance of the underlying above the
Strike (Conversion Price)
Coupon payment possible
Any payouts attributable to the underlying
are used in favour of the strategy
Minimum redemption at expiry equivalent
to the capital protection
Capital protection is defined as a
percentage of the nominal (e.g. 100%)
Capital protection refers to the nominal
only, and not to the purchase price
Value of the product may fall below its
capital protection during the lifetime
Participation in a positive performance of
the underlying up to the Cap
Any payouts attributable to the underlying
are used in favour of the strategy
Limited profit potential (Cap)
Minimum redemption at expiry equivalent
to the capital protection
Capital protection is defined as a
percentage of the nominal (e.g. 100%)
Capital protection refers to the nominal
only, and not to the purchase price
Value of the product may fall below its
capital protection during the lifetime
Participation in a positive performance of
the underlying until Knock-Out
Possible payment of a Rebate following a
Knock-Out
Any payouts attributable to the underlying
are used in favour of the strategy
Limited profit potential
Minimum redemption at expiry equivalent
to the capital protection
Capital protection is defined as a
percentage of the nominal (e.g. 100%)
Capital protection refers to the nominal
only, and not to the purchase price
Value of the product may fall below its
capital protection during the lifetime
The product contains an upper and a
lower Barrier
Participation in the rising or falling of the
underlying until a Barrier is breached
Possible payment of a Rebate following a
Knock-Out
Any payouts attributable to the underlying
are used in favour of the strategy
Limited profit potential
Minimum redemption at expiry equivalent
to the capital protection
Capital protection is defined as a
percentage of the nominal (e.g. 100%)
Capital protection refers to the nominal
only, and not to the purchase price
Value of the product may fall below its
capital protection during the lifetime
The coupon amount is dependent on the
development of the underlying
Any payouts attributable to the under-
lying are used in favour of the strategy
Limited profit potential

Discount Certificates Barrier Discount Reverse Convertibles Barrier Reverse Capped Outperformance Capped Bonus Express Certificates
(1200) Certificates (1210) (1220) Convertibles (1230) Certificates (1240) Certificates (1250) (1260)
Market Expectation Market Expectation Market Expectation Market Expectation Market Expectation Market Expectation Market Expectation
Underlying moving sideways or Underlying moving sideways or slightly rising Underlying moving sideways or Underlying moving sideways or slightly rising Rising underlying Underlying moving sideways or Underlying moving sideways or slightly rising
slightly rising Falling volatility slightly rising Falling volatility slightly rising Underlying will not breach Barrier during
Falling volatility Underlying will not breach Barrier during Falling volatility Underlying will not breach Barrier during Underlying will not breach Barrier product lifetime
product lifetime product lifetime during product lifetime

Profit Profit Profit Profit Profit Profit Profit

Cap last Observation
Cap n Observation
Cap Cap Barrier
Barrier Cap Barrier Cap 2nd Observation
Barrier 1st Observation
0 0 0 0 0 0 0
Strike Strike Strike Strike Strike
Strike Strike

g
g
g

g
g

g
in
in
in

in
in

in

in
rly
rly
rly

rly
rly

rly

rly
de
de
de

de
de

de

de
Un
Un

Loss Loss Loss Loss Loss Loss

Un

Un
Un

Un

Un
Loss
12 YIELD ENHANCEMENT

Characteristics Characteristics Characteristics Characteristics Characteristics Characteristics Characteristics

Should the underlying close below the
Strike at 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
Reduced loss potential compared to a
direct investment
Larger discounts can be achieved at a
greater risk if the product is based on
multiple underlyings (multi-asset)
Any payouts attributable to the underlying
are used in favour of the strategy
Limited profit potential (Cap)
The maximum redemption amount (Cap) is
payed out if the Barrier is never breached
Barrier Discount Certificates enable investors
to acquire the underlying at a lower price
A Barrier Discount Certificate turns into a
Discount Certificate after breaching the
Barrier
The probability of a maximum redemption
is larger due to the conditional capital protec-
tion, the discount achieved however is smaller
Reduced loss potential compared to a
direct investment
Larger discounts or lower barriers can be
achieved at a greater risk if the product is
based on multiple underlyings (multi-asset)
Any payouts attributable to the underlying
are used in favour of the strategy
Limited profit potential (Cap)
Should the underlying close below the
Strike at 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 always paid, irrespective of
the development of the underlying
Reduced loss potential compared to a
direct investment
Larger coupons can be achieved at a
greater risk if the product is based on
multiple underlyings (multi-asset)
Any payouts attributable to the underlying
are used in favour of the strategy
Limited profit potential (Cap)
Should the Barrier never be breached, the
nominal plus coupon is paid at redemption
A Barrier Reverse Convertible turns into a
Reverse Convertible after breaching the
barrier
The probability of a maximum redemption
is larger due to the conditional capital protec-
tion, the coupon achieved however is smaller
The coupon is always paid, irrespective of
the development of the underlying
Reduced loss potential compared to a direct
investment
Larger coupon payments or lower barriers
can be achieved at a greater risk if the
product is based on multiple underlyings
(multi-asset)
Any payouts attributable to the underlying
are used in favour of the strategy
Limited profit potential (Cap)
Reflects underlying price moves 1:1 when
below the Strike
Disproportional participation (Outper-
formance) in a positive performance of
the underlying up to the Cap
Risk comparable to a direct investment
Any payouts attributable to the
underlying are used in favour of the
strategy
Limited profit potential (Cap)
Minimum redemption is equal to the
Strike if the Barrier is never breached
Lower risk than a direct investment due
to the conditional capital protection
Larger Bonus payments or lower barriers
can be achieved at a greater risk if the
product is based on multiple underlyings
(multi-asset)
Any payouts attributable to the
underlying are used in favour of the
strategy
Limited profit potential (Cap)
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 redemp-
tion combined with an attractive yield
opportunity
Lower risk than a direct investment due to
the conditional capital protection
Larger coupon payments or lower barriers
can be achieved at a greater risk if the
product is based on multiple underlyings
(multi-asset)
Any payouts attributable to the underlying
are used in favour of the strategy
Limited profit potential

Tracker Certificates Outperformance Bonus Certificates Outperformance Twin-Win Certificates DEFINITION OF TERMS
(1300) Certificates (1310) (1320) Bonus Certificates (1330) (1340) Barrier
The barrier defines the price of the underlying instrument at which the payoff scenario
Market Expectation Market Expectation Market Expectation Market Expectation Market Expectation changes when it is touched. If this threshold is breached it results in changes to the
Rising underlying Rising or slightly falling underlying repayment terms (payoff) of the structured product. As long as the underlying moves
Tracker Certificate (Bull): Rising underlying Underlying moving sideways or rising Rising underlying above the barrier the investor receives a minimum redemption (conditional capital
Tracker Certificate (Bear): Falling Rising volatility Underlying will not breach Barrier Underlying will not breach Barrier Underlying will not breach Barrier protection).
underlying during product lifetime during product lifetime during product lifetime
Bear/short
A bear or short investment means speculating on a fall in the underlying instrument.
Tracker certificates can be labeled «bear», for example. Mini-futures are labeled
Profit Profit Profit Profit Profit «short».
Be

ll
Bu
ar

Barrier Barrier Bull/long

Barrier A bull or long investment means speculating on a rise in the underlying instrument.
0 0 0 0 0 Tracker certificates can be labeled «bull», for example. Mini-futures are labeled «long».
Strike Strike Strike
13 PARTICIPATION

Strike Cap
g

The cap is the upper limit of the participation of a structured product in the underlying.
g

g
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in
lyin

lyin
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in

rly
rly
er

er
er

de
de
d

d
d

Loss Loss Loss Loss Loss

Un
Un

Un
Un
Un

Current income
Examples of current income are dividends on shares and interest on bonds.
Characteristics Characteristics Characteristics Characteristics Characteristics
Unlimited participation in the Unlimited participation in the Unlimited participation in the development Unlimited participation in the development Unlimited participation in the development Issuer risk
development of the underlying development of the underlying of the underlying of the underlying of the underlying In law, structured products are bonds, and, like bonds and fixed-term depo¬sit
Reflects underlying price moves 1:1 Disproportional participation A Bonus Certificate turns into a Tracker Minimum redemption is equal to the Minimum redemption is equal to the Strike investments, are subject to issuer risk. As in other forms of investment, the principle of
(Outperformance) in a positive diversification applies: spreading the amount invested over a number of different
(adjusted by conversion ratio and any Certificate after breaching the Barrier Strike if the Barrier is never breached if the Barrier is never breached
issuers. In addition, movements in the issuer’s creditworthiness should be tracked
related fees) performance of the underlying Minimum redemption is equal to the Strike Disproportional participation (Outperformance) Profits possible with rising and falling (available on the SSPA website, www.sspa-association.ch. Taking these two measures
Risk comparable to a direct investment Reflects underlying price moves 1:1 if the Barrier is never breached in a positive performance of the underlying underlying ensures a high level of security and reduces the counterparty risk. To minimize the
Fees generally in the form of when below the Strike Lower risk than a direct investment due to An Outperformance Bonus Certificate Falling underlying price converts into profit issuer risk, Collateralized Secured Instruments (COSI) may also be acquired.
management fees or through the Risk comparable to a direct investment the conditional capital protection turns into an Outperformance Certificate until the Barrier
Any payouts attributable to the Nominal
retention of payouts attributable to the Larger Bonus payments or lower barriers can after breaching the Barrier A Twin-Win Certificate turns into a Tracker
The nominal is the denomination of a structured product. The redemption of a product
underlying during the lifetime of the underlying are used in favour of the be achieved at a greater risk if the product Lower risk than a direct investment due to Certificate after breaching the Barrier refers to this value. Usually the issue price equals the nominal of a product.
product strategy is based on multiple underlyings (multi-asset) the conditional capital protection Any payouts attributable to the underlying
Any payouts attributable to the underlying Any payouts attributable to the underlying are used in favour of the strategy Option
are used in favour of the strategy are used in favour of the strategy An option entitles (but does not oblige) the buyer to accept a time-limited offer. In the
offer, the underlying instrument, maturity and strike price are fixed. A distinction is
made between call and put options. When a buyer purchases a call option (right to
purchase), he is speculating on increased prices in the underlying instrument; with a
put option (right to sell), he is speculating on falling prices in the underlying instrument.
Options are one of the principal components of structured products.

LEVERAGE PRODUCTS Rebate

A redemption after a barrier breach is called rebate. The rebate is reported as a
percentage of the nominal value.

Knock-Out Warrants Mini-Futures Star classification

Warrants Spread Warrants The star classification is a further improvement to the SSPA (Swiss Structured Products
(2100) (2110) (2200) (2210) Association) classification system. If the product type number of a structured product is
marked with a star «*» in the product index, this means that the product differs slightly
Market Expectation Market Expectation Market Expectation from the respective product type. There are currently 15 different «star features»,
Market Expectation
including «lookback», «hard call» or «lock-in». Full details of the star classification
Warrant (Call): Rising underlying, Spread Warrant (Bull): Rising Knock-Out (Call): Rising underlying Mini-Future (Long): Rising underlying
system are given on the website of the SSPA (www.sspa-association.ch).
rising volatility underlying Knock-Out (Put): Falling underlying Mini-Future (Short): Falling underlying
Warrant (Put): Falling underlying, Spread Warrant (Bear): Falling Strike (exercise price)
rising volatility underlying The strike of an option determines the price at which an investor can buy (call option)
or sell (put option) the underlying. In the case of Participation- and Yield Enhancement
ll

Profit Profit
Ca
Kn
WITHOUT KNOCK-OUT

oc

ut

Price of Mini-Futures Products, the strike defines the reference rates of the underlyings that make up the
k-

O
k-
O
ut

oc

structured product. Barriers, bonus levels and cap levels, for example, are derived from
Kn
Pu

Profit Profit
t
Pu

ll

the strike or reference rate.

Ca
t

0 0
ll
Pu

Ca

Structured products
t

WITH KNOCK-OUT

Financing
Level
0 0 A structured financial product is a product in which financial assets such as bonds or
g
in

shares are combined with derivatives (usually options) and securitized in a stand-alone
g

Knock-Out
rly

in
rly
de

Stop-Loss
security. The re¬payment value of a structured product is amongst others dependent
de
Un

Strike Strike Loss Loss

Un
g

g
in

on movement in one or more underlying instruments.

in
rly

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de

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Un

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22 LEVERAGE

Loss Characteristics Characteristics

21 LEVERAGE

Loss
Underlying
Small investment generating a leveraged Small investment generating a The underlying assets of structured products can be stocks, indices, currencies,
Characteristics Characteristics performance relative to the underlying leveraged performance relative to the commodities, interest-rates etc.
Small investment generating a leveraged Increased risk of total loss (limited to initial underlying
Small investment generating a leveraged Volatility
performance relative to the underlying investment) Increased risk of total loss (limited to
performance relative to the underlying Volatility indicates the extent to which an underlying may fluctuate in value.
Increased risk of total loss (limited to Immediately expires worthless in case the initial investment)
Increased risk of total loss (limited to
initial investment) Barrier is breached during product lifetime A residual value is redeemed following 99 products
initial investment)
Suitable for short term speculation or Suitable for short term speculation or a stop loss event The SSPA product index includes some products that have a «99» in their product type
Daily loss of time value (increases as
hedging Suitable for short term speculation or number. The «99» means that the structured product cannot be assigned to a product
hedging product expiry approaches) type and is classified in the «Various» category. For example, number «1399» is a
Daily loss of time value (increases as Small influence of volatility and small loss hedging
Limited profit potential (Cap) «Various Participation Product». Products labeled with «9999» are «Various Products»
product expiry approaches) of time-value No influence of volatility which cannot be assigned to either a product type or a product category.
Continuous monitoring required
Continuous monitoring required Continuous monitoring required Continuous monitoring required

© Swiss Structured Products Association SSPA, Zurich. Source: www.sspa-association.ch, Version 1.1, October 2010
This publication is produced in cooperation with Verlag Finanz und Wirtschaft AG, Scoach Schweiz AG and Derivative Partners. All rights to the design format are reserved by these parties. The SSPA Swiss Derivative Map© may not be reproduced or distributed, either in full or in part, in this format without the express permission in writing of the authors.
Additional copies of this publication can be requested free of charge at www.sspa-association.ch/map.