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We evaluate every major structure — expand a category to see how each type is built and who it is for.
Designed for investors who prioritize safeguarding principal. Most of the notional sits in a fixed-income component, with a smaller option sleeve for upside. Suits conservative portfolios, retirement savings, and endowment mandates.
Periodic fixed interest plus full principal at maturity. Coupons tend to be lower than comparable bonds because of the embedded call.
How it works: Zero-coupon bond + ATM call on the reference asset
Typical deal: 5-year note paying 3% p.a. referenced to S&P 500
A percentage share of underlying gains with principal guaranteed. Participation is typically 50–100% and may be capped.
Typical deal: 80% participation in NASDAQ gains, return capped at 25%
Early-redemption trigger: if the asset hits a set level on an observation date, the note matures early and pays a premium above par.
Typical deal: 3-year note, 110% trigger, 8% coupon if called early
Issuer or third-party insurer backs the full notional. Common in European and Asian private banking; tighter return potential.
Freed-up capital finances a larger option component — higher participation or richer coupons, with a first-loss buffer of 5–20%.
Typical deal: 90% guarantee with 120% participation in gold
Built for above-market yields in exchange for conditional capital risk. Income typically comes from writing options — collecting premium in return for bearing tail-event losses. Best in sideways or range-bound markets.
Above-market coupon in return for the risk of receiving shares if the stock breaches a knock-in barrier at maturity.
Typical deal: 6-month AAPL note, 70% barrier, 12% annualised coupon
Linked to a basket; if any name breaches, conversion is based on the weakest performer. Higher coupons, higher correlation risk.
Coupons paid only when the asset sits above a coupon barrier on each observation date. Possible zero-income periods.
Typical deal: 3-year note, 10% coupon if S&P 500 stays above 80% of strike
Missed coupons are banked and paid in full once the asset recovers above the barrier — lower headline coupon than a plain Phoenix.
Fixed daily coupon when the asset closes inside a corridor. Days outside contribute nothing.
Typical deal: 10% for days EUR/USD stays between 1.05 and 1.15
Coupon changes by zone inside the corridor — paying more near the centre, less near the edges.
Aimed at traders with strong market views who want amplified exposure. Heavily options-based with little or no bond floor — gains and losses are magnified. Best used with short horizons and disciplined risk management.
Participate in both rising and falling markets, with a cap on gains and a floor on losses (e.g. max −10%). Structured as a zero-premium collar.
Higher participation (150–200% of asset return) with full principal at risk — a leveraged directional position packaged as a note.
2x or 3x the daily return via synthetic swaps. Daily rebalancing makes them unsuitable for buy-and-hold — volatility drag erodes value in choppy markets.
Profit when the reference asset falls. Same daily-rebalancing risks as bulls, plus theoretically unlimited loss if the asset rallies sharply.
Replicate total return of a reference index — including reinvested dividends — via a swap wrapper.
Option overlay (e.g. covered-call writing) on a tracker. Capped upside in exchange for a yield boost or downside buffer.
The most complex corner of the universe: multiple asset classes, exotic option payoffs, and bespoke pricing. Typically issued for institutional portfolios, hedge-fund mandates, or UHNW allocations.
Payout hinges on the weakest performer. A single laggard can eliminate the entire return — correlation modelling is critical.
Payout driven by the strongest performer. Benefits from low correlation; more expensive to structure than worst-of.
Custom weighting formulas so assets contribute unequally. Almost no secondary market; exit typically requires issuer buyback.
Bundle equities, commodities, rates, and FX. Performance depends on inter-asset correlations that can shift under stress.
Catastrophe bonds and similar: enhanced coupons unless a defined event triggers a principal write-down. Requires actuarial plus derivatives pricing.
Direct exposure to implied or realised volatility (VIX futures, variance swaps). Powerful hedge in sell-offs; subject to contango roll decay in calm markets.
Returns pegged to a CPI, often with a deflation floor and inflation cap. Useful for pension and real-return mandates.
Structured exposure to oil, metals, or agriculture without physical delivery. May include Asian averaging, seasonal rolls, or downside buffers.
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