Most derivatives embedded in structured notes are options, in the form of caps, floors, or the issuer's right to redeem before maturity (a call). The investor usually sells these options to the issuer, but in some forms the investor buys them.
For example, in a callable bond that the issuer can redeem early on each interest payment date, the investor sells the early redemption right to the issuer and receives a premium for it. In a bond with a guarantee that the coupon will not fall below 0% (a zero floor), the investor buys the floor and pays for it.