LOÏC BRONDEAU | WEALTH & SOCIAL PROTECTION

Understand Before Deciding • Practical Guide • September 2026

Structured Products

Understand What You're Buying Before Investing

Before looking at the coupon and the announced protections, look at what the product is based on. The underlying asset is the starting point: its evolution dictates the application of the formula and, depending on the contract, the payment of coupons and the repayment of capital.

1. How is a structured product made?

A structured product is an investment whose calculation rules are set in advance. It combines a bond component and derivative products, often options. The term “structured fund” is common, but many of these investments are legally debt securities issued by a bank. [1]

The Bond Brick: Understanding the Zero-Coupon

A zero-coupon bond does not pay periodic interest: it is purchased below its redemption value. In a simplified model of a guaranteed product at maturity, this component serves to restore the capital at the expected term.

An illustration of manufacturing, not an offer

At a fictitious rate of 4% per year, approximately €82.19 becomes €100 after five years: 82.19 × 1.04⁵ ≈ 100. On an investment of €100, the remaining €17.81 can finance the derivative component and costs. This illustration assumes the repayment of the bond and does not describe all products.

The Derivative Brick: Building the Conditions

Derivatives allow shaping the coupon, capping gains, barriers, and early repayments. They can also expose the investor to a significant drop in the underlying asset. The presence of a bond component does not automatically guarantee the capital. [1]

This breakdown explains a financial logic. It does not mean that your money is placed in two separate and secured compartments in your name. For a debt security, you depend notably on the issuer's ability and, if applicable, the guarantor's ability to pay. [1]

First, the Underlying Asset

What Lies Behind the Formula Changes the Risk

2. A Stock, an Index, or a Basket?

• A single stock: The product concentrates its exposure on a company: its results, its debt, its decisions, and its sector. A protection barrier does not diversify this risk.

• A truly diversified index: An index spread across several dozen companies and different sectors reduces dependence on a single stock issuer. However, it can still drop significantly during a market crisis. Check its composition and weights.

• A basket of stocks: Ask how its performance is calculated. A weighted average and a formula depending on the worst-performing stock do not yield the same result. In the latter case, called “worst-of,” a single struggling stock can determine the repayment.

The number of securities is not enough. Twenty stocks from the same sector do not provide the same diversification as twenty companies spread across several sectors. And a basket of many securities does not deliver the expected diversification if the formula only considers the worst one.

Beware of the Word “Index”

An index can itself track only a single stock. FTSE Russell offers “Single Stock Decrement” indices. Therefore, the index label does not prove diversification. [2]

Some indices reintegrate dividends and then subtract a theoretical amount, called a decrement, according to a predefined method. This amount can be expressed in points or as a percentage. It can penalize the index, especially if it exceeds the received dividends. A fixed decrement in points weighs proportionally more when the index level drops. [2]

This decrement is part of the calculation of the underlying asset: it is not simply a line of fees deducted from your contract. It must be understood to appreciate the chances of crossing coupon or repayment thresholds.

The right question: “What exact asset is observed, by what method, and what drop could it experience?”

Next, Read the Formula

Specific Conditions, on Specific Dates

3. The Mechanisms to Identify

• Conditional coupon: it is only paid if the specified criterion is met on the observation date. A memory effect may allow recovering some unpaid coupons later; without this clause, they may be permanently lost.

• Maximum duration and early repayment: an “autocall” mechanism can end the product before its term if a threshold is reached. After repayment, future coupons cease: the duration and total gain are therefore not known in advance.

• Guarantee or protection: a guarantee can cover all or part of the capital at a specified date. Conditional protection depends on a barrier. Check if it is observed continuously, on certain dates, or only at maturity. These rules are not interchangeable. [3]

4. Hypothetical Example: €10,000 Over a Maximum of Five Years

Initial level of the underlying asset: 100. At each annual observation: a coupon of 6% of the investment, or €600, if the level is at least 70; otherwise, no coupon, without memory. In years 1 to 4, a level at least equal to 100 triggers the repayment of €10,000, in addition to the coupon for the year.

Without early repayment, at the end of year 5: capital fully repaid if the level is at least 60. Below 60, the capital follows the entire drop from the origin: €10,000 × final level / 100.

Independent scenarios, assuming no prior autocall. Amounts exclude fees and taxes, without issuer default; any coupons received before year 5 are added to the amounts presented. No scenario is a forecast.

A barrier at -40% is not a deductible. Here, a final drop of 45% results in a loss of 45% of the capital, not 5%. A coupon of 6% does not mean a guaranteed annual return of 6%.

The Stellantis Case

Protection Does Not Replace Diversification

5. Behind the Formula, the Risk of a Company

The difficulties of a large company can disrupt a formula that initially seems reassuring. On February 6, 2026, Stellantis announced approximately €22.2 billion in charges for the second half of 2025 and the absence of dividends in 2026. These announcements illustrate the risks inherent to a company, even one well-known to the public. [4]

There are structured products whose underlying asset is solely linked to Stellantis. For example, the final conditions of the security FR001400IWH1 mention the index iEdge Stellantis NV Decrement 1.20 EUR. This example documents exposure to a single stock with decrement; it does not constitute a recommendation or an estimate of the loss for its holders. [5]

A reassuring formula does not turn a single stock into a diversified portfolio. Before examining the depth of the barrier, it is essential to understand the risk carried by the underlying asset and its calculation method.

What Can Be Said About a Significant Drop

If the underlying asset finishes well below the barrier and the contract provides for passing on its entire drop, the loss can be substantial. In the hypothetical example on the previous page, a drop of 75% leaves only €2,500 of capital from €10,000, before considering prior coupons.

Understand Before Investing

Questions to Ask Before Signing

• Underlying asset: a single stock or real diversification? What exact index, what weights, what decrement?
• Formula: average of the basket or the worst-performing stock? What thresholds and what observation dates?
• Coupons: when are they paid, lost, or memorized? Is the announced rate annual and on what basis?
• Capital: what amount is guaranteed or protected, at what date, by whom, and under what conditions?
• Duration: when can the product be repaid? What happens if I need to sell before?
• Unfavorable scenario: how much do I have left with a drop of 40%, 60%, or 80% of the underlying asset?
• Cost and place in my wealth: what are the total fees, what is the issuer risk, and what is the concentration with my other investments?

Request the key information document (KID) and the final conditions. The KID presents notably the risks, costs, and scenarios: these are not promises. Have the formula explained to you with amounts in euros.

Before looking at what a product promises, look at what it is based on.

Loïc Brondeau - Expert in Wealth and Social Protection
Allianz Patrimoine & Protection Sociale BORDEAUX CLEMENCEAU EXPERT - Loic BRONDEAU
20 cours Georges Clemenceau, 33000 Bordeaux
06 64 62 82 76 • loic.brondeau_1@allianz.fr

Sources and Reference Documents

[1] BNP Paribas Wealth Management - Understanding Structured Products (2023)
[2] FTSE Russell / LSEG - Single Stock Decrement Index Series
[3] AMF - Formula Investments: What You Need to Know Before Investing
[4] Stellantis - Press Release of February 6, 2026
[5] Natixis - Final Conditions of Security FR001400IWH1
[6] AMF - Understanding the Key Information Document (2023)

General Educational Guide - September 2026. Hypothetical examples, except for explicitly identified references. No personalized advice or subscription offer. The contractual documents specific to each product determine its terms and risks.