Principal-Protected Notes At A Glance

Capabilities and Services

A principal-protected note is a structured product typically issued by a financial institution such as a bank. The payoffs from such a note are more complex than those for a "vanilla" fixed-income product. A principal-protected note can be thought of as combining the payoffs of a zero-coupon bond with that of a call option. The exact type of call option (e.g., Vanilla, Asian, Binary) can vary but the investor should be assured of getting back his or her principal at maturity because the zerocoupon bond component of the product matures at the maturity of the note. It is in this way that the notes are said to be "principal protected."

NERA assists clients in disputes relating to a wide range of structured products including principal-protected notes. NERA's securities experts have been involved in numerous disputes where we have analyzed issues related to suitability, risk, and valuation of such products. Our experts have extensive experience valuing and analyzing complex structured products and other derivatives. Our relevant expertise includes:

Broker-Customer Disputes

  • Evaluating suitability and risk of specific investments
  • Assessing portfolio performance
  • Examining portfolio-level risk characteristics
  • Evaluating liability
  • Evaluating opposing expert reports and analyses
  • Analyzing and calculating damages (if any)

Valuation and Risk Management

  • Valuing structured products including various principalprotected
  • Analysis of hedging strategies for the sale and purchase
    of principal-protected notes
  • Analysis of trading data to examine liquidity and
    efficiency of trading in secondary markets