Tools

# Structured Product Calculators

Made By: SLCG Economic Consulting Staff

## PLUS® Calculator

### (Return Optimization Securities/Stock Market Upturn Notes)

PLUS®, Return Optimization Securities, and Stock Market Upturn Notes Value are structured products with the same type of payoff. These products expose investors to the linked security's downside risk while offering levered but generally limited upside potential. They do not make coupon payments or promise any interest. Some varieties also have a capped return.

## Principal Protected Notes Calculator

Principal Protected Notes ("PPN") are a general class of structured products that 'guarantee' the investor's principal. Principal protection is also a feature applied to several other types of products, such as Absolute Return Barrier Notes. Principal protected notes provide a levered return if the linked security has a positive return, while limiting potential losses to zero. Some PPNs have a capped return.

The following PPN valuation example assumes the risk free rate is 5%, the implied volatility of the underlying stock is 25%, the dividend yield of the underlying stock is 1%, and the credit default swap ("CDS") spread of the issuer is 1%. The note has a two-year maturity, a leverage ratio of 2.5, and a cap rate of 20%. We assume that the initial investment is \$100.