The book

Despite stormy times, the structured products industry has continued to develop. The transparency efforts on the part of the SSPA – Swiss Structured Products Association – represent a central point. The SSPA Swiss Derivative Map published by the association has provided an overview of the most important product types since 2006. Together with the latest map, the third edition of the work «World of Structured Products», which was published in cooperation with the Swiss Derivative Institute, has now been published.

You can order the book here

 

Table of contents

 

1 Introduction

 

2 The Market of Structured Products

• 2.1 History of derivatives and structured products
• 2.2 Definitions and scope
• 2.3 The four main advantages of structured products
  • 2.3.1 Every individual market expectation can be replicated
  • 2.3.2 For each individual investor profile, there is a suitable product
  • 2.3.3 Acces to all asset classes
  • 2.3.4 Highest level of liquidity and flexibility

• 2.4 Risks and disadvantages of structured products
  • 2.4.1 Risks
  • 2.4.2 Disadvantages

 

3 Components of Structured Products

• 3.1 Underlyings
  • 3.1.1 Shares
  • 3.1.2 Indices
  • 3.1.3 Commodities
  • 3.1.4 Foreign exchange
  • 3.1.5 Money market, fixed income
  • 3.1.6 Alternative underlyings
  • 3.1.7 Dynamic strategies
• 3.2 Indexing
  • 3.2.1 Introduction
    • 3.2.1.1 Newcomer and top dogs
    • 3.2.1.2 The first index step is the most difficult
    • 3.2.1.3 The europeans’ race to catch-up
    • 3.2.1.4 The three-factor model, the beginning of smart beta
  • 3.2.2  Choice of indices
  • 3.2.3  Customized indices
  • 3.2.4  SIX Structured Products strategy indices
• 3.3 Options
  • 3.3.1 Classification of Options
  • 3.3.2 Plain-Vanilla-Options
    • 3.3.2.1 Intrinsic value and time value
    • 3.3.2.2 Moneyness
    • 3.3.2.3 Influencing factors on the value of the option – sensitivities
  • 3.3.3 Theoretical pricing of options
    • 3.3.3.1 The Single-period model
    • 3.3.3.2 Binomial model
    • 3.3.3.3 Black-Scholes model (B&S Model)
    • 3.3.3.4 Monte Carlo simulation
  • 3.3.4 Payoff Diagram
  • 3.3.5 LEPO (Low Exercise Price Option)
  • 3.3.6 Path-dependent options and path-independent options
  • 3.3.7 Barrier options
  • 3.3.8 Asian options
  • 3.3.9 Lookback options
  • 3.3.10 Multi-Asset options
  • 3.3.11 Parisian options
  • 3.3.12 Quanto options
  • 3.3.13 Other exotic options
• 3.4 Zero Bonds

 

4 Static Option Strategies and the Put/Call Parity

• 4.1 Static options strategies
  • 4.1.1 Bull and bear spread
  • 4.1.2 Straddle/Strangle
  • 4.1.3 Butterfly (Butterfly Spread)
  • 4.1.4 Condor
• 4.2 Arbitrage strategies: Put/Call parity (Conversion)
  • 4.2.1 Protective put
  • 4.2.2 Covered call writing
  • 4.2.3 Synthetic hedge of a protective put
  • 4.2.4 Reverse convertible

 

5 Evaluation and Key Figures

• 5.1 Sensitivites
  • 5.1.1 Delta
  • 5.1.2 The Gamma
  • 5.1.3 The Vega (the Kappa)
  • 5.1.4 Theta
  • 5.1.5 Leverage (Omega) and Gearing
  • 5.1.6 The Rho
• 5.2 Yields
  • 5.2.1 Maximum yield – total/p. a. in %
  • 5.2.2 Sideways yield – total/p. a. in %
  • 5.2.3 Bonus yield – total/p. a. in %
  • 5.2.4 Discount – total/p. a. in %
• 5.3 The pricing of Structured Products
  • 5.3.1 Volatility as a price-determining factor
  • 5.3.2 Theoretical value (fair value) of a product
  • 5.3.3 Costs
• 5.4 Liquidity
  • 5.4.1 Price availability in %
  • 5.4.2 Bid-ask spread in %
  • 5.4.3 Volume on offer (bid/ask)
  • 5.4.4 Investor sentiment (Buyback-Ratio)
  • 5.4.5 Payoff Market Making Index (PMMI)
• 5.5 Key figures
  • 5.5.1 SRI – Summary Risk Indicator
  • 5.5.2 Difference between underlying and Knock-Out/Stop-Loss in %
  • 5.5.3 Difference between underlying and barrier in %
  • 5.5.4 Barrier hit probability in %
  • 5.5.5 Intrinsic value
  • 5.5.6 Fair value
  • 5.5.7 Premium – total/p. a. in %
  • 5.5.8 Break-even
  • 5.5.9 Autocall probability
  • 5.5.10 Issuercall probability

 

6 Players in the Market

• 6.1 The stock exchange and trading
  • 6.1.1 SIX Swiss Exchange
  • 6.1.2 BX Swiss
  • 6.1.3 Swiss Dots
• 6.2 Trading and market making
• 6.3 The issuer
  • 6.3.1 Issuer’s credit rating
  • 6.3.2 COSI®
• 6.4 The lead manager and the co-lead manager
• 6.5 The investment manager and the asset manager
• 6.6 Regulator: FINMA (Swiss Financial Market Supervisory Authority)
• 6.7 Swiss Structural Products Association (SSPA)
• 6.8 The investors

 

7 Application of Structured Products

• 7.1 Product life cycle
  • 7.1.1 Concept and construction
  • 7.1.2 Primary market: subscription, marketing and settlement
  • 7.1.3 Secondary market: trading
  • 7.1.4 Expiry and settlement
• 7.2 Description of products and product reports
  • 7.2.1 The term sheet
  • 7.2.2 The product information sheet
  • 7.2.3 Basic Information Document (BIB)
• 7.3 Hedging with Structured Products
  • 7.3.1  Protection through Put Warrants (2100)
    • 7.3.1.1 Statistic Delta-hedge
    • 7.3.1.2 Dynamic Delta-hedge
  • 7.3.2 Protection through Knock-Out Warrants (Put, 2200)
  • 7.3.3 Protection through Mini Futures (Short, 2210)
  • 7.3.4 Summary
• 7.4 How to find the appropriate product
• 7.5 Life cycle management
• 7.6 Consideration within the portfolio context

 

8 Taxes and Fees

• 8.1 Types of taxation
• 8.2 Income tax
  • 8.2.1 Transparent and intransparent products
  • 8.2.2 Predominantly once-off interest-bearing product or periodically interest-bearing product (IUP vs. Non-IUP)
    • 8.2.2.1 Products which are not predominantly once-off interest-bearing (non-IUP)
    • 8.2.2.2 Products which are predominantly once-off interest-bearing (IUP)
• 8.3 871m

 

9 Product Categories and Product Types

• 9.1 The SSPA Swiss Derivative Map©
• 9.2 Capital protection products
• 9.3 Yield enhancement products
• 9.4 Participation products
• 9.5 Investment products with additional credit risk
• 9.6 Leverage products

 

10 Capital Protection Note with Participation

11 Capital Protection with Barrier

12 Capital Protection with Twin-Win

13 Capital Protection with Coupon

14 Discount Certificates

15 Barrier Discount Certificate

16 Reverse Convertible

17 Barrier Reverse Convertible

18 Conditional Coupon Reverse Convertible

19 Conditional Coupon Barrier Reverse Convertible

20 Tracker Certificate

21 Outperformance Certificate

22 Bonus Certificate

23 Bonus Outperformance Certificate

24 Twin-Win Certificate

25 Credit-Linked Note

26 Conditional Capital Protection Note with Additional Credit Risk

27 Yield Enhancement Certificate with Additional Credit Risk

28 Participation Certificate with Additional Credit Risk

29 Warrant

30 Spread Warrant

31 Warrant with Knock-Out

32 Mini-Future

33 Constant Leverage Certificate

 

Annex

• Tax Matrix
• Glossary
• Abbreviations Key Guide

 

You can order the book here