Net present value and internal rate of return, in seconds.

Structured Products: An Overview

Structured products are packaged notes issued by banks. Each combines a bond with one or more options, so the payoff depends on an underlying (a share, an index or a basket) rather than only on the issuer's interest rate.

The main families

Product	Payoff in brief	Market view it fits	Main risk
Reverse convertible	Fixed coupon; at maturity, capital back, or shares if below the strike	Neutral to mildly bullish	Full downside of the underlying, capped upside
Barrier reverse convertible	Fixed coupon; capital protected unless a barrier (e.g. 60%) is breached	Neutral, expecting no big fall	Loss if the barrier is hit
Phoenix autocall	Periodic coupon if above a coupon barrier; early redemption if above the autocall level; barrier protection at maturity	Sideways or slowly rising	Barrier breach, early call ends coupons
Athena autocall	No periodic coupon; early redemption at par plus accumulated coupon if above the autocall level	Moderately bullish	Same barrier risk, no income if not called
Capital-protected note	100% capital at maturity plus partial participation in the upside	Bullish but cautious	Opportunity cost, issuer credit
Tracker / participation certificate	Follows the underlying 1:1, no coupon	Directional (bullish)	Full market risk
Bonus certificate	Minimum bonus payout if a barrier is never breached; otherwise tracks the underlying	Bullish with a safety margin	Loss on barrier breach, no coupon

Reverse convertible

Payoff in brief: Fixed coupon; at maturity, capital back, or shares if below the strike
Market view it fits: Neutral to mildly bullish
Main risk: Full downside of the underlying, capped upside

Barrier reverse convertible

Payoff in brief: Fixed coupon; capital protected unless a barrier (e.g. 60%) is breached
Market view it fits: Neutral, expecting no big fall
Main risk: Loss if the barrier is hit

Phoenix autocall

Payoff in brief: Periodic coupon if above a coupon barrier; early redemption if above the autocall level; barrier protection at maturity
Market view it fits: Sideways or slowly rising
Main risk: Barrier breach, early call ends coupons

Athena autocall

Payoff in brief: No periodic coupon; early redemption at par plus accumulated coupon if above the autocall level
Market view it fits: Moderately bullish
Main risk: Same barrier risk, no income if not called

Capital-protected note

Payoff in brief: 100% capital at maturity plus partial participation in the upside
Market view it fits: Bullish but cautious
Main risk: Opportunity cost, issuer credit

Tracker / participation certificate

Payoff in brief: Follows the underlying 1:1, no coupon
Market view it fits: Directional (bullish)
Main risk: Full market risk

Bonus certificate

Payoff in brief: Minimum bonus payout if a barrier is never breached; otherwise tracks the underlying
Market view it fits: Bullish with a safety margin
Main risk: Loss on barrier breach, no coupon

Common building blocks

Strike or initial level: the reference price, set at issue (100%).
Barrier: a threshold level, observed at maturity or continuously.
Autocall level: the level that triggers early redemption.
Memory feature: missed coupons are paid later if the underlying recovers.
Worst-of: the payoff depends on the weakest asset in a basket.
Maturity: typically 1 to 8 years.

Where they are typically used

Yield enhancement in low-rate environments (reverse convertibles, Phoenix).
Defined-outcome exposure to equity markets (autocalls, bonus certificates).
Downside limitation for cautious investors (capital-protected notes).
Simple market access to a theme or index (trackers).

Structural features shared by all

Issued as unsecured debt of the bank, so they carry issuer credit risk.
Priced with embedded fees, so fair value at issue is below par.
Secondary market prices are quoted by the issuer, usually with a spread.
Payoffs are fixed at issue and can be viewed in the term sheet (KID/PRIIPs document in the EU).

For information only, not investment advice. Levels shown are illustrative.