A structured financial instrument (SFI)- a structured certificate– that provides, being a specific form of a debt security (bond instrument), a 1:1 exposure to its underlying asset. In other words, its performance is linked to that of an underlying asset/ instrument with a delta of one- i.e., a 1% change in the value of the underlying results in a 1% change in the value of the certificate (in the same direction).

If the underlying falls in value, the delta one certificate entails a risk of loss depending on the price or level of the underlying. The lower the price or level of the underlying at maturity, the larger the loss. In extreme cases, this may result in the total loss of the capital invested (as in the situation where final reference level is zero.) Delta-one certificates may incorporate derivatives (a derivative is embedded in the certificate) or other types of assets (e.g., commodities).

A delta-one certificate can take multiple forms including exchange traded notes, exchange traded commodity, and Euro medium term notes.