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How structured products pay.

Product families

01PROTECTION

Capital-protected
participation

A contractual maturity floor plus participation in gains, sometimes capped. Paying above the floor can still mean a loss; early sale has no protected price.

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02PARTICIPATION

Capped or uncapped
participation

Repayment follows the linked asset’s contractual formula. A cap limits gains. Without a floor, repayment can fall to zero; dividends are included only if the terms say so.

03BONUS

Bonus certificates

A conditional bonus repayment if the barrier holds. If it fails, repayment can follow the asset down to zero. Observation dates and any cap determine the outcome.

04COUPON

Barrier reverse
convertibles

Coupons plus exposure to a capital loss or share delivery after a barrier event. In a worst-of basket, the weakest asset can determine repayment; coupons may not cover the loss.

05EARLY REPAYMENT

Autocall

Early repayment when a market trigger is met on an observation date; future coupons then stop. Otherwise, maturity-loss rules apply. An issuer call is discretionary and follows separate terms.

06OTHER TERMS

Other structures

Reverse convertibles can lose principal below the strike without a barrier. Discount certificates cap upside. Credit-linked repayment depends on defined credit events; lock-in protection depends on its trigger.

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Explore a barrier note’s payoff.

Illustration

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Example terms and assumptions
Total cash receivedn/a
Total profit / lossn/a
Invested
Received
Capital returned n/a Coupons n/a

Illustrative single-stock barrier note with no early call. Scenarios are not forecasts.

Three facts behind the figures

01COUPON

Income and total return

Total return includes coupons, capital value and what you paid, less costs and taxes. A coupon rate alone is not an investment return.

02BARRIER

Observation dates

Continuous monitoring can count an earlier touch even after a recovery. Final-date monitoring tests the level only on that date. Distance to the barrier is not loss protection.

03ISSUER

Who owes the money

Issuer failure can lose the entire investment. Currency movements and an early-sale price can change your result independently of the linked assets.

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Captured observations
Extra coupon a year, best issuer over the middle one →
n/a
Bank keeps a year, median by issuer
n/a
Captured notes
n/a
Open at capture
n/a

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Dated prices. Annual coupon is not total return.

Sources and figure definitions

Selected products from Vontobel and Julius Baer. Prices and availability are dated observations.

Annual coupon: contractual rate on nominal. Barrier position: move from the captured asset price to its barrier, not a loss estimate.

Valhalla market risk: supported ordinary-maturity market component only; issuer failure and early exit are excluded. Issuer document indicators retain their original scale.

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Dated product information. Capital is at risk. Not investment advice or an offer.

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