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Glossary

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Hard Protection:
This term is sometimes used to describe the level of capital protection provided in a high-income type of structured note. A hard protection level of 100% means that the index must be lower than 100% of its starting level in order for the investor's capital to be reduced.

Himalaya:
This type of note is usually linked to a basket of shares or sometimes sector indexes. The return is calculated as the average of the performance of the best share or index in each specified period during the term of the note. Once a share or index has been selected, however, it is then removed from the basket for subsequent periods.

Historical Volatility:
The historical volatility of a share or index is simply a mathematical measure of its variability during a given historical period, for example the part three months. The most common form of measure is the standard deviation of the daily returns.
See also: Volatility

Hybrid Products:
Structured products that pay a return based on underlying assets in multiple asset classes, including any combination of interest rate, commodity, equity, credit and currency derivatives.
See also: Derivative

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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