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Glossary

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Ladder Option:
This is a type of call option that locks in the return as the value of the underlying reference asset rises.

Libor:
The London inter-bank offered rate (LIBOR) is the interest rate charged on short-term interbank loans by banks operating in London. The fixing is conducted each day at 11am (London time). The rate is an average derived from the quotations provided by the banks determined by the British Bankers' Association. The top and bottom quartile is eliminated and an average of the remaining quotations calculated to arrive at fixing. The fixing is rounded up to 5 decimal places where the sixth digit is five or more. BBA USD Libor is calculated on an ACT/360 basis and for value two business days after the fixing. 6 month LIBOR refers to the applicable rate for a loan term of 6 months.

Local Cap:
The term local cap is used to describe a feature of a cliquet (x2) product. It is the maximum return in each period of the product that is used in calculating the overall return.

Local Floor:
The term local floor is used to describe a feature of a cliquet product. It is the minimum return in each period of the product that is used in calculating the overall return.

Lookback Option:
An option that gives the holder the right at expiry to exercise the option at the best price reached by the underlying over the life of the option. Also known as a high water mark option.

The terms and definitions contained in this Glossary were devleoped by Incapital LLC.  These definitions may differ from securities industry-related definitions for common terms.  The definitions contained herein should be utilized with respect to the terms used in the Structured Investment website.
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