A barrier option in which the barrier is triggered only if the underlying is beyond the barrier level for longer than a specified period.

Structured notes or CD's that pay a return that is calculated by multiplying any rise in the underlying index by a fixed percentage. This percentage is often called the participation or participation rate.

Many structured notes provide a minimum fixed return plus an additional return that is calculated by multiplying any rise in the underlying index by a fixed percentage. This percentage is often called the participation or participation rate.

An option in which the payout is based on movements in the price of the underlying during the life of the option (as opposed to solely the price at expiry.)

This is a general term often used to describe the return that is provided by a structured note or an option. So, for example, one could say that the payout of a product is equal to 100% plus 80% of the rise in the underlying index.

A structured note or CD that pays a return at maturity based on the sum of the Annual Performance for each year. Each year the Annual Performance will equal the performance of the best performing stock in the basket, measured since inception. The best performing stock is then removed from the basket and the remaining stocks will be observed to determine the best performer in the following years.

The phenomenon where a small move in the underlying can have a significant impact on the value of an at-the-money option shortly before expiration.

Any investment product which may pay a return based on the performance of an underlying asset and guarantees the return of principal at maturity. Such products are normally constructed by buying a deep discount bond (often a zero-coupon bond) and using the rest of the money to buy embedded call or put options to gain exposure to a second asset. In the case of Principal Protected Notes, the return of principal at maturity is subject to credit risk of the issuer.

This is a type of structured note that provides a degree of capital protection together with participation in any rise in the underlying index.

This is the level of the underlying index that, once breached, could result in a loss of capital.

This is a type of derivative that gives the holder the right, but not the obligation, to sell a set quantity of the underlying reference asset at a given price (the strike price) on or before a specified date (sometimes called the exercise date).

A relationship between a European-style put and call option which states that the sum of the value of an underlying asset plus a put option on that asset is equal to the sum of a call option with the same strike price and expiration on the same asset plus the cash equivalent of the present value of the strike price.

An option on an asset in one currency denominated in a second currency. Also known as a Guaranteed Exchange Rate option, the exchange rate at which the purchaser converts the currency is fixed at the start. This allows investors exposure to foreign assets without the foreign exchange risk.

A return based on the performance of a basket whose best-performing assets are weighted more heavily than those that performs less well. The underlying reference asset is typically a basket of sector or regional indexes.

A structured note or CD in which the return is based on the number of days that the underlying price or index is within preset levels. The longer the underlying reference asset stays in the range, the higher the return produced.

A range accrual product is a type of structured note in which the return is based on the number of days that the underlying price or index is within pre-set levels. The longer the underlying reference asset stays in the range, the higher the return produced.

A feature often associated with barrier options, a rebate is an amount paid to the holder of the derivative if the instrument is knocked out or is never activated during its lifetime as partial recompense for their initial investment.

The risk that an investor will be unable to match the yield from an interest paying investment when reinvesting its coupon payments and principal repayments.

A type of structured note also called a Reverse Exchangeable. The typical structure offers a high fixed level of income and a full return of capital unless an underlying reference asset or index falls over the term of the investment. If the underlying

reference asset does breach a protection level, the return of capital will be reduced by the percentage fall in the underlying.

A type of structured note also called a Reverse Convertible. The typical structure offers a high fixed level of income and a full return of capital unless an underlying reference asset or index falls over the term of the investment. If the underlying

reference asset does breach a protection level, the return of capital will be reduced by the percentage fall in the underlying.

A type of structured note or CD that may pay interest equal to participation in the appreciation of an underlying Index. Interest is paid at maturity only if the Index level does not breach a predetermined barrier, or level, during the observation period. The barrier is set on pricing date and is higher than the initial level.

Notes will pay periodic coupons (typically,monthly) and will automatically be called if the Reference Stock on any call date is greater than the Initial Price. If not called, if the price is at or above the barrier on final valuation date, notes return principal. If the Reference Stock is below the barrier (ONLY on valuation date), notes will return a predetermined number of shares of the Reference Stock (or cash equivalent) at maturity.

This term refers to a feature of some structured notes that provides a full return of capital subject to the underlying reference index not falling below a set level prior to maturity.

An option for which the underlying is the price differential between two assets (a difference option) or the same asset at different times or places. An example is the credit spread option, the underlying for which is the spread between two debt issues; another is the cross-currency cap, where the underlying is the spread between interest rates in two different currencies.

Notes or CD’s that pay a fixed periodic interest rate and are callable at the issuer’s option prior to maturity. If not called, the fixed coupon increases at predetermined intervals.

Formally, a process that can be described by the change of some random variable over time, which may be either discrete or continuous. Geometric Stochastic processes are used in finance to develop pricing models for derivative instruments.

The risk that the financial system as a whole may not withstand the effects of a market crisis. Concern on the part of banking regulators has been caused by the concentration of derivative risk among a relatively small number of market participants, and therefore the failure of a major dealer could have serious effects for the market.

The effect on an option’s price of a one-day decrease in time to expiration. The farther the market is from the strike price, the less effect theta has on an option’s price.

The value of an option excluding its intrinsic value., including cost of carry and the probability that the option will be exercised.

A securitiy is considered to be 'trading clean' when the price quoted does not include any accrued interest. This is the typical method of quoting prices of coupon-paying bonds.

A security is considered to be 'trading dirty' when accrued interest is included in the price.

Most structured products are tranche products, meaning that they are only available for a limited period. This offer period is typically 3-4 weeks and is the period during which the product is available for investment. Structured products that accept

investments for an unlimited period are called open-ended products.

The level(s) that an underlying asset(s) has to reach to cause certain path-dependent options to activate or deactivate.

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