An uncapped call product is a type of structured product in which the return is based on a call option and there is no limit or cap on the potential return. A typical example would be a product that provided a minimum return of 100% of the sum invested plus 80% of any rise in the S&P 500 index.

All structured products provide a return based on the performance of some underlying reference asset or index. The most popular underlyings used are single stock, domestic and international equities indices, commodities, and currencies. Other underlying reference assets can be baskets of individual shares, indices of house prices, the prices of managed funds including hedge funds, and a variety of other financial assets.

A barrier option that pays, or is activated, only when the underlying asset reaches a predetermined level above the strike before expiry.

A barrier option that pays, or remains activated, only when the underlying asset does not reach a predetermined level above the strike before expiry.

A vanilla or “plain vanilla” option is a standard call or put option in its most basic form.

The percent change in the price of an option for a given change in the volatility of the underlying asset. Vega is at its highest when an option is at-the-money. It decreases the farther the market is from the strike price.

A statistical measure of the dispersion of returns. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index.

The curve depicting the implied volatilities of options with different maturities. Implied Volatility

A structure where there is an inner range and one or more outer ranges, where the payout from the product is at its maximum when the underlying remains in the inner range. The payout is reduced successively when the spot reaches each outer range.

A worst-of option is an option that is exercisable against the worst performing of a given number of underlying assets.

A wrapper is a term used to describe the form in which a structured product, or any investment product, is sold. Typical structured investment wrappers are unsecured senior notes issued by financial institutions and Certificates of Deposit issued by banks.

A line that plots the interest rates of bonds or lending rates having equal credit quality, but differing maturity dates. The most frequently observed yield curve is that of the yields on US Treasury notes and bonds. Many structured products are based on the yield curve of Constant Maturity Swap rates.

An option that pays based on the shape of a yield curve without taking absolute interest rates. It is normally structured as the yield of a longer maturity bond minus the yield of a shorter one. A call would therefore appreciate in value as a curve

flattened and a put would decrease in value.

A structured note or CD that pays a periodic coupon that is reset based on the difference between the Constant Maturity Swap rates of different maturities. The rate paid is higher when a specific longer-term rate is greater than a particular shorter-term rate. The structures may guarantee a fixed coupon for an initial period of months or years and thereafter pay a coupon that resets periodically.

A bond that does not pay coupons or periodic interest payments. The price of such a bond is therefore at a discount to its final maturity value.

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