A structured product in which the payment of a one-off conditional coupon- known as a snowball coupon– is made (to the holder/ investor) subject to an event triggering automatic early redemption or at maturity. The note‘s payoff depends on the performance of an underlying such as, a stock, equity index, ETF, commodity, etc. The coupon periodically accrues- by a given rate- depending on the previous coupon level. The coupon payment is contingent on a certain triggering event- that is, a knock-out barrier being hit, when the closing price of the underlying reaches or exceeds the knock-out barrier on the observation date.

On occurrence of the knock-out event, the structured note will be terminated, with the investor receiving the full notional amount in addition to the snowball coupon. And if the
knock-out event does not occur, the investor will receive no coupon.

Under different scenarios, other methods of performance may become applicable: if the closing price of the underlying moves above the strike price but remains below the knock out level on the final observation date, the investor will be paid only the full notional amount. Whereas, if the closing price of the underlying drops below the strike price, physical delivery (physical settlement) of the underlying asset will take place at the strike price, without any payment of notional amount and/or coupon.

It is known for short as SCN.