A rainbow option is an option on a basket that pays a non-equally weighted sum of returns over all assets in the basket according to their performance, where individual asset returns are computed as the percentage growth from initial levels to final levels that may be averages over multiple dates.

A yield note is a principal-protected structured note that pays periodic coupons that are linked to the performance of a basket of equities. A callable yield note gives the issuer the right to recall the note on specific observation dates. Once recalled, the cancellation coupon is paid, the notional is returned, and the deal is cancelled.

A bonus coupon note, also referred to as coupon growth note or bonus enhanced note or basket coupon note, is an equity-linked note that provides guaranteed coupons over the life of the note with potential for a bonus coupon based on the underlying asset trading above a specified barrier level. The note pays a series of coupons based on the…[Read more]

An accelerated share repurchase (ASR) agreement is a contract or an investment strategy used by a publicly traded company to buy back shares of stocks expeditiously from the market. In these agreements, firms are able to repurchase a significant number of their shares upfront. The intermediary must then repurchase the shares over a given time…[Read more]

An Accelerated Return Note (ARN) is a structured instrument that offers a potentially higher return linked to the performance of a reference entity that could be an equity, an index, or a basket of assets. The payoff depends on the performance of the underlying assets. Usually, it is capped but not floored, that means it does not offer any…[Read more]

A constant proportion portfolio insurance (CPPI) is a trading strategy where an initial investment is dynamically reallocated between a risky asset and risk-free bond such that a minimum payoff is guaranteed at maturity. The risky asset could be from equities, funds, or commodities.

A reverse convertible autocallable swap allows two parties exchange floating coupons with fixed coupons on certain future dates. On some coupon dates, the swap may be cancelled. Should the swap be cancelled on coupon date t, the coupons due on coupon date t will be paid and all further cash flows are terminated.

A best of option pays the option holder the best return at maturity among a given set of portfolios, where each portfolio may be defined by a set of weights on the same underlying basket or different baskets. These are chooser options that return the best performing among several baskets of funds or indices that reflect growth, moderate and…[Read more]

A spread option is an option written on the difference of two underling assets, whose values at time t we denote by S1(t) and S2(t). We consider only options of the European type for which the buyer has the right to be paid, at the maturity date T, the difference S2(T)−S1(T), known as the spread. To exercise the option, the buyer must pay at m…[Read more]