Product performance

The three products reviewed this month all have a strike date of 11 December 2009. The products are valued weekly and the results are shown along with the performance of the underlying asset. All three products are fairly typical of products that are issued regularly in the US retail market.

The first product is a six-year principal-protected note linked to the Financial Select Sector SPDR Fund. Participation is 100% in the index and the cap is set at roughly 131%, which is equivalent to 5.55% annually compounded. The two biggest influences on the price of this product are the spot price of the index and the risk-free rate. Since the strike date, the index has reached highs of 117% and lows of 97%. The fall in the risk-free rate since the strike date has the effect of increasing the