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Glossary

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Barrier Option:
Also known as knock-out, knock-in or trigger options, are path-dependent options which are either activated (knocked-in)or terminated (knocked-out) if the level of the underlying asset reaches a specified trigger level (or levels) before expiry. Barrier options can be monitored continually (intra-day) or at discrete fixing times (i.e. close of business) during the lifetime of the option, or only at expiry date. Single barriers below spot are known as down-and-out for the knock-out barrier option, and down-and-in for the knock-in barrier option.
See also: Absolute Return Barrier

Basket Option:
An option for which the underlying reference asset is more than one index or share. For example, an option that pays out based on the performance of the S&P 500, DJ 30 and NASDAQ 100 would be called a basket option.

Best of Option:
This is an option that is exercisable against the best performing of a given number of underlying assets.
See also: Worst-of Option

Buffer:
A buffer is a non-contingent layer of protection against loss resulting from the structured product’s underlying asset price moving in a direction contrary to the investor’s investment thesis. For example, a bullish buffered return enhanced note on the S&P 500 Index might specify protection against loss on the first 10% decline in the index. The buffer would be 10% in that case.

Buffered Digital:
Structured investment notes that pay a predetermined return if the underlying asset is above (or below, in bearish structures) a certain level on the relevant observation date. The notes do not guarantee return of principal at maturity but protect the investor from a certain percentage of the first loss at maturity if the underlying asset is below the initial level.
See also: Digital

Buffered Knock-out:
Structured investment notes that pay based on a knock-out barrier option and contain a static buffer to protect the investor against a level loss if the underlying asset is below a predetermined % of the initial level at maturity.
See also: Barrier Option

Buffered Return Enhanced Note:
Structured investment notes that pay based on a participation, typically greater than 100%, in the appreciation (or depreciation) of an underlying asset, up to a cap or maximum return. The notes contain a static buffer to protect the investor against the first loss in the case that the underlying asset is lower than the initial level at maturity.

Buffered Review Note:
Structured investment notes that have the potential to be redeemed at pre-determined review dates if the underlying asset is at or above a certain level. Redemption is typically made at principal plus a premium. The notes contain a static buffer to protect the investor against the first loss in the case that the underlying asset is lower than the initial level at maturity.

The terms and definitions contained in this Glossary were devleoped by Incapital LLC.  These definitions may differ from securities industry-related definitions for common terms.  The definitions contained herein should be utilized with respect to the terms used in the Structured Investment website.
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