Structured Products

This course explains the different types of structured product, their features, characteristics, risks and potential returns.

It explains how the pricing of these products are affected by the specific structure, and the derivative features which might be included. The course also explains how the return on an investment can be amplified by different structures, and how they can also be used to mitigate risk.

During this course, participants will practice pricing and valuing different structure products through a range of exercises.


This course is for individuals with a working knowledge of fixed income, equity, credit and option markets.

Learning Outcomes

At the end of this course delegates should understand:

  • The key characteristics of capital protected notes, reverse convertible notes and autocallables
  • How to price structured notes and calculate coupons
  • The mechanics of credit-linked notes

Course Content

  • Basics of the structured products market
  • Structured product cash flows
  • Styles of structured products
  • The role of the investment bank
  • Capital protected note
  • Characteristics and construction
  • Capital protection on the effective date
  • Calculating the option money
  • Changing the note profile

Exercises: Pricing a capital protected note and calculating the participation rater

  • Reverse Convertible Note (RC)
  • Characteristics and pay-out profile
  • Coupons and RC repayment
  • RC investors and rationale

Exercises: Calculating the coupon on a reverse convertible and examining the risks associated with a reverse convertible trader

  • Autocallable
  • Characteristics and structure
  • Pay-out profiler
  • Credit-linked notes
  • Medium Term Notes (MTN’s)
  • Underlying security
  • Structured swap participants
  • Hedging the payoff
  • Flooring and principal protected redemption


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Why study with Alpha?

Innovation and creativity born from experience

We are thought leaders in instructional and learning journey design and holistic solution architects. We have extensive finance and investments experience combined with skills application to deliver performance improving results. We develop immersive learning environments that maximize time to productivity, support talent retention and added value to improving quality of hires.

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We are focused on mining the embedded organisational intellectual capital for the benefit of the next generation. We create and curate best in class practice gathered from our experience with the leading financial institutions. We design our programmes with the end in mind – what results are you trying to achieve with this intervention? What metrics will we set ourselves to achieve that?

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Quality and innovation, using current market and industry best practices, have made us a trusted partner in delivering dynamic and motivating training for the financial and capital markets. Our programmes are generation proof and responsive to evolving learner needs and styles. Our solutions use a multi-stakeholder engagement strategy that expands beyond relationships between the learner and learning provider. We create connections with managers, peers and the wider business to drive impactful return on investment..

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