The Securities and Exchange Commission’s (SEC) Office of Investor Education and Advocacy and the Financial Industry Regulatory Authority (FINRA) issued an alert on Thursday warning investors about the risks of structured notes with principal protection.

The alert, Structured Notes with Principal Protection: Note the Terms of Your Investment is designed to help investors understand how these “complex financial products work.” The SEC and FINRA note that the retail market for these notes “has grown in recent years,” and that “while these structured products have reassuring names, they are not risk-free.”

“Structured notes with principal protection contain risks that may surprise many investors and can have payout structures that are difficult to understand,’ said Lori Schock, Director of the SEC’s Office of Investor Education and Advocacy, in a statement. “This alert is a ‘must read’ for investors considering these products, especially those with the mistaken belief that these investments offer complete downside protection.”

John Gannon, FINRA’s senior VP for Investor Education, added in the same statement that “the current low interest rate environment might make the potentially higher yields offered by structured notes with principal protection enticing to investors.” But, he continued, “retail investors should realize that chasing a higher yield by investing in these products could mean winding up with an expensive, risky, complex and illiquid investment.

As the alert explains, structured notes with principal protection typically combine a zero-coupon bond—which pays no interest until the bond matures—with an option or other derivative product whose payoff is linked to an underlying asset, index or benchmark.

The underlying asset, index or benchmark can vary widely, from commonly cited market benchmarks to currencies, commodities and spreads between interest rates, according to the alert. “The investor is entitled to participate in a return that is linked to a specified change in the value of the underlying asset. However, investors should know that these notes might be structured in a way such that their upside exposure to the underlying asset, index or benchmark is limited or capped,” the alert says.

The alert further states that investors who hold these notes until maturity “will typically get back at least some of their investment, even if the underlying asset, index or benchmark declines. But protection levels vary, with some of these products guaranteeing as little as 10%—and any guarantee is only as good as the financial strength of the company that makes that promise.”