Product performance

Comparing principal-protected, accelerated growth and reverse convertible products with August 2009 strike dates

The minimum participation included in the five-year principal-protected product linked to the S&P 500 index shown in figure 1 includes a cap on returns. The product terms were defined using market data correct as of August 21, 2009, with the assets pricing at 95% and a minimum participation of 80%. The cap is set at roughly 132%. Figure 1 also shows the change in the US dollar five-year risk-free rate, an important factor when valuing principal-protected structures such as these. The value of

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