1. Basic Information
Underlying
The assets that define the performance of the structured note. These can include:
- Single Assets: Stocks, bonds, forex
- Baskets/Indices: Equity baskets, stock indices, commodity indices, or funds
The underlying selection affects the product’s risk and return potential.
Currency (CCY)
The currency used to price the note.
Order Type
Defines how the underlying’s initial price is set when buying a structured note. These can include:
- Market price
- VWAP (Volume-Weighted Average Price)
- Opening/closing price
- Midpoint of open/close
Execution rules:
- Open-market assets: Best execution price achieved by issuer between order cutoff and market close.
- Pre-market assets: Best execution price from market open to close.
Note: You may check the initial price in Product Details and Term Sheet after trade.
Client Price
The price used to calculate the client’s payment amount for purchasing the note.
Payment Amount = Denomination × Client Price
2. Coupon Terms
Coupon
The annual interest rate paid based on the product’s denomination. Payment amounts may depend on the underlying asset’s performance.
Coupon Flat
A fixed coupon amount (absolute value), different from annualized rates.
Coupon Frequency
Defines how often coupons are paid (e.g., monthly, quarterly, semi-annually, annually).
Guaranteed Coupon Period
Specified period(s) with guaranteed coupon payments, independent of underlying performance.
3. Redemption
Minimum Redemption Level
The minimum redemption level is the lowest principal repayment level when holding the product to maturity.
Participation Strike
The reference price at which the investor starts participating in the underlying asset’s performance. Gains/losses are shared at the predetermined ratio only if the asset price is above or below this level.
Participation Rate
The percentage of the underlying’s return that investors will receive. For example, a 70% rate means the investor gains 7% for every 10% rise in the underlying.
KO Barrier
The knock-out level is used to determine the knock-out price of the underlying asset.
Primarily, it serves as a trigger for knock-out events. If the underlying reaches or exceeds the KO Price on any observation date, a knock-out event occurs, allowing investors to realize gains or losses according to the knock-out scenario.
KO Type
Specifies whether the knock-out condition is monitored continuously (daily) or at preset observation dates.
KO Rebate (Sharkfin)
Additional compensation or premium payable upon early knock-out, covering forfeited future coupons and opportunity costs.
KO Step Down
A feature that periodically lowers the knock-out barrier at set intervals, increasing early knock-out likelihood over time.
KO Observation Frequency
Specifies how often the underlying price is checked against the knock-out barrier (e.g., daily, weekly, monthly) to determine if a knock-out event is triggered.
Rebate Paid Upon KO or Maturity
Specifies when the knock-out rebate is paid to investors. It could be paid immediately upon knock-out or at maturity as agreed.
Redemption Upon KO or Maturity
Specifies when premium is returned upon knock-out. It could be paid immediately upon knock-out or at maturity as agreed.
4. Price Terms
KI Barrier
The predetermined price threshold in a structured product. If the underlying asset’s price breaches this barrier during the observation period, specific contractual terms are triggered, ultimately impacting the final payout.
KI Type
The method used to monitor the Knock-In (KI) barrier.
• European Knock-In: The underlying asset price is observed only on the final valuation date to determine if a knock-in event has occurred.
• American Knock-In: The underlying asset price is observed daily to determine if a knock-in event has occurred.
Strike Price
Strike Price is a predefined reference price. It’s the benchmark used to calculate payouts for options-linked products and determine actual gains/losses.
Dirty Strike Price (Bond Linked Note)
The bond’s strike price including accrued coupon, reflecting the full cost of coupon-bearing assets like bonds.
Clean Strike Price (Bond Linked Note)
The bond’s strike price excluding accrued coupon, reflecting only the bond’s clean market price.
Strike Yield (Bond Linked Note)
The implied yield is calculated based on the strike price.
Upper Barrier (Initial Price+) (DRA)
The upper limit in range accrual products. If the underlying price exceeds this level on an observation day, no coupon accrues for that day.
Lower Barrier (Initial Price-) (DRA)
The lower limit in range accrual products. If the underlying price falls below this level on an observation day, no coupon accrues for that day.
Coupon Barrier (DRA/Digital)
The price level in range accrual or digital coupon products. Coupons are paid and payouts are settled only if the underlying asset meets the predefined condition.
5. Issuer Options
Non Call Period (Callable)
The initial period during which the issuer cannot exercise the call option, ensuring that the investor will receive all scheduled coupons.
Issuer Call Frequency (Callable)
The pre-determined intervals that the issuer can redeem early (e.g. quarterly).
Issuer Call Option Effective Year (Callable)
The first year (or period) the issuer can exercise early redemption rights, generally following a non-call period.
Issuer Call Option Exercise Date (Callable)
The date specified in the contract when the issuer may exercise the right to early redemption, resulting in the termination of the product.
6. Miscellaneous
Lookback Period
Set period for assessing the historical performance of the underlying asset to determine the final payout
Lookback Frequency
Frequency for sampling underlying’s historical prices during the lookback period (e.g. daily/weekly), which directly impacts the final pricing and returns.