Nitrogen takes pride in analyzing most investments at the investment level, rather than making asset allocation mapping assumptions or other approaches. Our core analysis engine takes the actual price history of stocks, ETFs, and mutual funds to generate our analytics. Structured products are unique in that they have a finite life cycle and an inadequate amount of historical trading prices.
Nitrogen partners with Halo for structured products analytics.
How It Works
First, Halo derives a current market price for a given structured note taking into account the performance of the underlier(s), inception, the note’s payout, and protection levels; while also accounting for the remaining time expected to maturity.
Second, Halo incorporates implied volatility in the 6-month options market to create a probabilistic distribution of outcomes over the time horizon for the underlier(s).
Third, with proprietary price simulations and implied volatility calculations, Halo provides a 6-month return range associated with the Nitrogen Risk Number.
Should you have a request for coverage on a specific existing structured product in Nitrogen, please email us at email@example.com and we’ll be happy to help.
How to get access to Halo SSO
Nitrogen currently has more than 35,000 Structured Notes on our platform, and we continue to add more every day! Through our partnership with Halo, advisors — who opt-in — will be able to access their client’s notes through the Halo platform single sign-on.
Any account that is synced via a custodial integration or entered manually will have access to review Structured Notes. To begin, click on the square/arrow icon which will launch the single sign-on into Halo.
Once you are in Halo, you will need to agree to the User Agreement Terms and click Accept.
If you are interested in gaining access to the Halo partnership, please reach out to your Relationship Manager or our Customer Care Team at firstname.lastname@example.org.
Frequently Asked Questions
My note is well above its protection levels/barrier why is the Risk Number so high?
Nitrogen's risk analysis is a six-month Value at Risk (VaR) calculation. That means that when identifying the risk inherent within a structured note, we are not measuring the risk of the initial principal invested, but rather the current value of that investment.
As a result, the growth of that note is subject to loss which can result in a Risk Number sometimes equal to that of the underlying index (e.g. SPY = a Risk Number in the high 70s). Meaning that while the principle is protected, the returns can experience nearly the same degree of volatility as the underlying index during the duration of the note.
How can I learn more about how the Risk Number is calculated or further questions on the analysis of a specific note?
We would be happy to get you in touch with the Halo team, which provides the data for this analysis. They can provide some more information on this note’s specific details and address any questions you have regarding the analysis. You can reach them via email at email@example.com.