Intermediate
Structured notes and embedded derivatives
A structured note combines an issuer obligation with a return formula linked to another asset. The formula and issuer credit must be assessed separately.
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Hybrid Securities Trading Guide
Understand securities that combine features of debt, equity and derivatives. Follow eight stages covering preferred shares, convertibles, corporate hybrids, bank capital and structured notes.
Start with What makes a security a hybrid, then follow the next lesson links. Explore 32 lessons with worked examples, exercises and further reading.
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Structured Notes and Payoff Design · All lessons
Structured Notes and Payoff Design
Decode participation, caps, barriers, autocalls and issuer credit exposure.
Intermediate
Participation rates caps and principal protection
Participation and caps define how much of an asset move reaches the investor. Principal protection is a conditional issuer obligation, usually assessed at a specified date.
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Intermediate
Reverse convertibles and the cost of enhanced income
A reverse convertible can exchange a high coupon for exposure to losses in a reference asset. The additional income compensates for a risk that can overwhelm...
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Intermediate
Autocalls barriers and the path of the underlying asset
Autocalls and barriers make observation dates part of the payoff. Two investments with the same final asset price can have different outcomes when the earlier paths...
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