Structured Products

Notes combining a bond with a derivative for a customized payoff.

What is Structured Products?

Typically a bank note whose return is linked to an index, with features like partial principal protection, caps on upside, or leveraged participation. Any protection depends on the issuer's credit. They are complex, often illiquid before maturity, and their costs are embedded rather than visible.

Structured Products: a worked example

A 5-year note returning 100% of the S&P 500's gain, capped at 40%, with principal returned at maturity - if the bank is solvent.

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