Structured Products

Structured Products Research Reports

Our new Structured Products Review contains Research Reports on over 20,000 Structured Products including over 10,000 Reverse Convertibles.

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Structured Product Details shows critical parameters and product information such as the issue and maturity dates, the reference asset, and the issuer. It also shows important valuation parameters such as the reference asset initial level, its implied volatility, and its dividend rate. The computed fair of price of the product is also shown in the section.
Related Research links to papers that describe structured products and their valuation in more detail.
Each Report provides the contact information for an expert who can answer questions about the product and valuation.
The Description provides a rundown of the product features, such as the type of product and its payout characteristics, as well as details of the issuance and maturity of the product.
The Payoff Curve at Maturity plots the payoff that investors would receive at maturity for various ending values of the reference asset. The Payoff Curve at Maturity matches the sum of the components described in the Valuation section. It also compares the payoff at maturity to the payoff of simply purchasing the reference asset directly (which may or may not be possible).
The Valuation section describes how this product can be valued using information as of the issue date. Most products can be decomposed into simple options positions, coupons and a zero-coupon bond, which can each be valued independently. This section also discusses liquidity and other market concerns.