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Every structured product is a sum of simple parts.

A zero bond, a call, a put, a digital, sometimes a barrier or a credit default swap. This site draws each product as that sum, so you can see what you are buying and what it costs you.

Find a productSee how one is built

Shown: a barrier reverse convertible with strike 100, barrier 65 and coupon 8.

A barrier reverse convertible drawn as the sum of a zero bond and a short putThe payoff line rises one for one from 8 at an underlying of 0 to 73 at the barrier of 65, then jumps to 108 and stays flat. Below it, drawn separately, are its two parts: a zero bond paying 108 everywhere, and a short down-and-in put worth minus 100 at an underlying of 0, rising to minus 35 at the barrier and zero beyond it.050100150200-100-50050100Underlying at maturity (% of initial level)Strike 100Barrier 65coupon 8barrier never touched: nominal + couponleft of the barrier the put is alive: losses one for oneZero bond, face 108Short down-and-in put, strike 100+108 %

What a structured product is

A structured product is a security issued by a bank that bundles a bond with one or more derivatives. The bond part decides how much of your money comes back whatever happens; the derivative part decides how the rest depends on an underlying — a share, an index, a basket, a currency or an interest rate.

The useful way to read one is to take it apart. A capital protection note is a zero bond plus a call. A reverse convertible is a zero bond plus a sold put. A bonus certificate is the underlying plus a knock-out put. Once you can name the parts, the payoff diagram stops being a mystery and becomes arithmetic: the lines of the parts add up to the line of the product, point for point.

That addition is the organising idea of this site. Every chart here is produced by one payoff engine that evaluates each block and the product formula separately, and a test suite checks that the sum of the blocks equals the product for every product, every scenario and every parameter.

How a structured product is built

The blocks assemble step by step, in sync with the chart.

Start with a zero bond

It costs less than 100 today and repays exactly 100 at maturity. Whatever the underlying does, this line does not move. The money it does not cost is the budget for everything else.

Spend the budget on a call

A call is worth nothing if the underlying ends below the strike and one for one above it. On its own it is a leveraged bet; the whole premium can be lost.

Add them: a capital protection note

Lift the call onto the bond. The floor is the bond, the slope is the call. The note repays 100 at worst and takes part in every rise above the strike, at maturity, if the issuer can pay.

A capital protection note assembled from a zero bond and a callA zero bond is a flat line at 100. A call is flat at 0 until the strike of 100, then rises one for one. Lifted onto the bond, the call gives the product: flat at 100, then rising to 200 at an underlying of 200.050100150200050100150200Strike 100Zero bond, face 100100 %Long call, strike 100Capital protection note (1100)+

Five categories, one map

The Swiss Derivative Map sorts products by what they do to the bond. The same order is used here; the codes are the map's own.

All 33 products
  1. 1100 – 1140Capital Protection ProductsA floor under your nominal, with an option on top.7products
  2. 1200 – 1260Yield Enhancement ProductsSell the upside, collect a coupon or a discount.6products
  3. 1300 – 1340Participation ProductsOne for one with the underlying, sometimes more.6products
  4. 1400 – 1430Additional Credit RiskA second borrower stands behind the bond.4products
  5. 2100 – 2300Leverage ProductsSmall capital, large exposure, short horizon.10products

Four places to start

The most common structure, the simplest, a popular middle ground and a leveraged one.

  • Payoff shape of Barrier Reverse Convertible (1230)1230Yield Enhancement ProductsBarrier Reverse Convertible
    A reverse convertible with a safety barrier: the nominal is repaid unless the barrier was touched and the underlying ends below the strike.
  • Payoff shape of Capital Protection Note with Participation (1100)1100Capital Protection ProductsCapital Protection Note with Participation
    Your nominal back at maturity, plus a share of any rise in the underlying.
  • Payoff shape of Bonus Certificate (1320)1320Participation ProductsBonus Certificate
    At least the bonus level at maturity if the barrier was never touched; a plain tracker if it was.
  • Payoff shape of Mini-Future - Long (2210)2210Leverage ProductsMini-Future — Long
    The underlying bought partly on credit from the issuer; a stop-loss closes the position before the credit is exhausted.