Structured - BNP Paribas

GlossaryWe summarise below the most common structured products currently marketed to retail customers.Capital-protected productsAltiplano Works like a CometAriane On maturity this product pays a coupon linked to the numberof basket assets crossing a lower barrier during a given period. Thehigher the number of assets that touch the lower barrier, the lowerthe coupon. The underlying is typically a basket of diversified equities.Ariane Range The coupon’s value is a function of the number ofbasket assets crossing either a lower or a higher barrier.Arlequin Pays at maturity the performance of an out of the moneyvanilla call.Best of On maturity this product delivers the maximum return ofeither a fixed coupon or the performance of an option. There is nostandard underlying for this type of option.Best of Profile Delivers on maturity the best return among severalunderlyings. These underlyings are usually stock indexes or funds.Asian Best Of Asian Call for which only the better of the two mostrecent performances is taken into account at each observation dateto calculate the average.Asian Call On maturity pays out the performance of the underlying,calculated as the arithmetic mean of the performance recorded atdifferent dates in the option’s life.Cappucino Works like a cliquet call where the periodic performanceis a digital pay-off provided that the underlying asset shows apositive return. If not the case, it is the real periodic performancethat is taken into account.Captibasket On maturity pays out the performance of a basket ofassets. An upper barrier is applied to each of these assets individuallyover the life of the option. The final quoted price applicable to theassets exceeding the upper barrier is the same as the upper barrierthreshold. The underlying is typically a basket of diversified stocks.Captibonus Works like a Captibasket, the difference being thateach asset is the underlying of an up-and-out call with a rebate.The underlying is typically a basket of stocks.Climber Ladder with barriers applied to the underlying basket’scomponents individually. The option’s performance is generallycapped at the level of the highest barrier.Cliquet Call On maturity delivers the aggregate plain vanillaperformances in each period of an underlying. There are two variants.Comet On maturity this product pays a coupon or the performanceof an underlying basket, depending on whether or not one or moreof the basket assets crosses a lower barrier. The underlying is typicallya basket of diversified stocks.Coupon Comet Snowball Pays a coupon in each period providednone of the basket assets crosses a lower barrier during the period.However, a low-value coupon can nevertheless be paid if the barrieris breached. The underlying is typically a basket of diversified equities.The Snowball feature means that the unpaid coupons at the endof each period are retained, aggregated, and paid once paymentconditions are fulfilled.Digital Call On maturity this product pays a coupon provided thatduring the life of the option the underlying crosses a barrier determinedat the start of the operation.Dragster Capped cliquet for which the performance retained atmaturity corresponds to the highest accumulation of the periodicperformances. There is no typical underlying for this option.Driver At maturity, pays out the performance of a cliquet option,where the X best performances recorded of all the underlyings arearbitrarily capped. The underlying is typically a stock basket.Coupon Driver Driver that pays regular coupons.Everest On maturity, pays a coupon augmented by the worstperformance of the basket’s various assets. The underlying is typicallya basket of diversified equities.Everest Binary Everest that pays a coupon at maturity provided allthe basket's assets trade higher than a price limit set before thetransaction.Galaxy On maturity pays out the lowest absolute performance ofa basket of assets over the life of the product. The underlying istypically a basket of diversified stocks.Himalaya Pays out the performance of a basket on maturity. Theperformance is the arithmetic mean of the single best or severalbest performances of the basket’s component assets at the end ofeach period. The selected best-performing asset or assets arepermanently removed from the basket at the end of each period.The underlying is usually a basket of sector indices or diversifiedshares.Himalaya Cumulative Himalaya with Asian as opposed to plainvanilla performances used for calculation purposes.Ladder On maturity delivers the higher of the two returns betweenan underlying’s performance at the maturity date and the value ofthe highest barrier exceeded by the underlying during the option’slife.Pyramid Ladder The underlying asset(s) performance(s) is averagedsimilarly to an Asian pay-off.Lookback On maturity pays out the best performance of theunderlying during the life of the option. The option is usually basedon a single underlying.Napoleon Pays a coupon in each period augmented by theworst performance of the underlying in different sub-periods. Theunderlying is typically a single index. Coupons can be paid at eachperiod-end or aggregated and paid at maturity.Podium Pays a coupon in each period, provided a sufficientnumber of basket assets are trading above their initial prices at theend of the period. The number of assets that must trade above theirinitial value increases from one period to the next, as does thecoupon value. Coupons payable at different periods are paidtogether on maturity.Predator Cappuccino for which the underlying’s periodic performanceis definitively set as soon as it becomes positive.Profiler Works like a Best Of Profile.Rainbow On maturity pays out the performance of a basket whosebest-performing assets at maturity are overweighted. The underlyingis typically a basket of sector or regional indices.Range Accrual On maturity pays a coupon proportional to thenumber of days that the underlying remains in a predeterminedzone. The underlying is typically a single asset.30