HiddenLevers has a built-in structured note modeling tool that can help analyze the risk in various structured product instruments. You'll need to have the Custom Assets feature to access this functionality. To build a structured note, first head to Custom Asset page from the Data Center menu dropdown. From here, click the blue "Add" button and select "Add Structured Product."
From here, you'll be able to build the structured product based on its different criteria. Here is an explanation of the fields on this page:
Visibility – This determines who will see this structured product. Private means only the creator of the product will see it. If you have several users in your organization, “Shared” allows anyone to see and use the structured product in portfolios. Please note only the creator can make edits.
Ticker – Here is where you make up a ticker symbol to assign to the structured product. You have three prefix options as well: MY, PE, & HF. For example, if you chose the “HF” prefix from the dropdown and “WXYZ” as the ticker symbol, then the structured product would appear as “HF:WXYZ” throughout HiddenLevers.
Name – The name of the structured product.
Underlying Portfolio – What investments is the structured product based on? You'll need to build a % based portfolio that represents the structured products investments and enter that portfolio's name here.
Underlying Symbol – If the portfolio entered above has short performance history, you can add an underlying symbol to backfill more performance data.
Industry – An optional setting that can improve the modeling of the data series. For example, if you’re building a municipal bond-based product, then you might select the industry “Fund – Municipal Bond.”
Country – Rarely used, but if you have a foreign structured product and want to indicate that, do so here. If it is a US-based investment, you can skip this step.
Currency – Similar to country, only use this if the structured product is priced in a non-US currency.
Buffer – If the product has a downside protection buffer, enter that value here. This field needs be entered 0-1, where 0.7 = 30% buffer. A 30% buffer would mean that if the underlying portfolio is down 40%, then the structured product would be down 10%.
Buffer Type – Select Additive or Trigger. Additive means the buffer always decreases the loss even if the loss exceeds the buffer amount, while Trigger means the buffer only protects while losses are inside the buffer range. For example, if the buffer is 30% and the underlying portfolio is down 40%, Additive would reduce the loss to 10% while Trigger would not reduce any loss as it only applies when the portfolio is down 0-30%.
Maturity Payment Test – Choose Basket or Worst Of. Worst Of means the payment is determined by the performance of the worst underlying investment in the underlying portfolio, while Basket means payment is determined by the average performance of the basket.
Upside Participation – Upside Participation is a decimal factor which scales the return received relative to the underlying performance. For instance if 2x leverage is received this would be set to 2.0.
Upside Cap – The Upside Cap limits maximum possible return, and is expressed as 1.3 for a 30% return cap.
Yield – The (potentially conditional) yield provided by the product.
Yield Barrier – If the product falls below the Yield Barrier, no yield is received. Expressed as 0.8 if a 20% loss would cause yield to be lost.
First Call Date – yyyy-mm-dd (e.g. 2019-06-30). The first date at which the structured product will be called if the underlying investments are positive.