Section 0.2
The main product families
Essential question
The Swiss market counts tens of thousands of listed products, under hundreds of trade names. How do you find your way around? And what should you look at first to compare two products?
Structured products come in great diversity: there is a very large number of them, the structuring possibilities are in theory unlimited, and innovation always finds its place. Yet, despite this profusion, they all fit into a limited number of major families, each answering a specific investment intent. Knowing how to place a product in its family, even before knowing its exact formula, is the practitioner's first reflex.
The Swiss reference for this classification is the Swiss Derivative Map©, published by the SSPA: two families (investment products and leverage products), five categories and twenty-four product types identified by a four-digit code. Here we stay at the family level; the quantified detail of each product (precise payoff, worked examples, simulators) is the subject of Module 3. At this stage, it is the shape of the payoff that sorts a product into a family, not its exact calculation.
Formulate your intuition first
How many families?
Faced with tens of thousands of traded products and a wide variety of trade names (Phoenix, Athena, Kick-In, Express, Shark Note, Catapulte…), how many major families are enough to classify almost all of them? And what fundamentally distinguishes one family from another?
Two families, five categories. Click a category to reveal the investor's intent, the accepted trade-off and the redemption profile at maturity.
Leverage products (warrants, knock-outs, mini-futures) used to hedge positions or take leveraged exposure to express a market view on traditional underlyings (equities, indices, currencies, commodities).
Participate in the performance of an underlying (most often on the upside, though some structures play the downside) while getting back, at a minimum, a capital level set in advance, whatever happens to the markets.
This capital guarantee is provided by the issuer: it is therefore subject to its credit risk. If the issuer defaults, the capital is no longer guaranteed.
An expected direction on the underlying (up, or down for bear variants), but with protection against a sharp adverse move. The ultimate goal: to beat the "guaranteed" rate the issuer would have offered over the same period (its risk-free interest rate). Failing that, you might as well lend directly to the issuer.
A product whose capital is 100% guaranteed can seem almost magical, especially when rates are high and the product's terms (the upside exposure to the underlying) are favourable. In the late 2000s, before the crisis, it was not unusual to be able both to guarantee 100% of the capital and to offer participation above 100% in the upside of an equity index. Yet the risks are very real, and it is important not to misjudge the purpose of these products.
The true point of comparison is not zero — it is the interest rate the issuer would offer over the same period on a conventional bond (the interest rate offered by the issuer). The purpose of a capital-guaranteed product is to beat that rate: you give up the fixed interest you would have received, and "transform" it into participation in the upside of an underlying. If the underlying performs sufficiently, you do better than the bond; otherwise, the product will pay less than the reference bond and leave you bearing an "opportunity" loss.
Ultimately, what matters is therefore not the participation rate taken in isolation, but rather that the expected performance of the underlying over the investment period, adjusted by the participation rate offered by the product, allows you to do better than that interest rate. It is counter-intuitive, but a high (or low) participation rate is never enough, on its own, to tell whether the product is attractive (or not): it all depends on what you expect for the underlying over the period.
This logic, the sacrificed interest funding the performance engine, is the key to reading every product whose capital is 100% guaranteed by the issuer at maturity.
On paper, the SSPA and its Swiss Derivative Map offer a common nomenclature: a code (1100 → 2300), a family, a payoff profile. In practice, this harmonisation effort has barely caught on: the classification exists, but trade names remain entirely unregulated, and this is a permanent source of confusion in the field.
The very same product — say, an autocall with conditional coupon (SSPA code 1255/1260) — ends up marketed under very different brands depending on the issuer and the distributor:
The reflex to acquire right now: do not rely on the name — rely only on the Term Sheet, the one document that allows you to understand precisely the exact terms of the product (underlying, barrier, coupon, maturity, redemption conditions, etc.). It is the only way to compare like with like between two issuers.
Classify each product according to the characteristics in its Term Sheet:
Key message
The reflex to keep: a trade name tells you nothing about the risk. Before comparing two products, translate each into its SSPA category and payoff profile — the only common language that cuts through the marketing of names.
Three takeaways: (1) Two families. Investment products (protection, yield, participation, credit) are held in a portfolio; leverage products (warrants, mini-futures…) are generally short-term tools with high leverage. (2) Five categories are enough to classify the vast majority of listed products. (3) The trade name is not the family: a "Phoenix", an "Express" or an "Athena" is not enough to determine the product's precise features.
How a "capital-guaranteed" product is built
Click each building block to activate a reflection prompt
Question 1 / 4
A client mentions a "Phoenix" with an 8% coupon on European banking stocks. Which major SSPA family does this product belong to?
Question 2 / 4
On what criterion does the SSPA sort structured products first and foremost?
Question 3 / 4
Two banks offer a product that is identical in its mechanics (an autocall with conditional coupon on the Eurostoxx), but one calls it "Phoenix" and the other "Express". Why?
Question 4 / 4
Among these categories, which one is not an investment product family, but falls under leverage?