US Wrap: Trickle of reverse convertibles begins week

The second note, which has yet to be priced, is linked to an SPDR Trust, an exchange-listed fund. The knock-in barrier is set at 70% and the annualised coupon is 11.5%. With each note, it is still possible to receive a repayment in cash provided that the underlying fund or stock is above its initial price at maturity, even if its barrier has been breached, which does give some potential for recovery to mitigate the loss of principal.


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