Product performance: reverse convertibles


In December 2010, the top three reverse convertibles in the US, based on potential yield, were linked to Las Vegas Sans, LDK Solar and McMoran Exploration. Each investment was priced on December 17, 2010 and is discussed here on the basis of hypothetical outcomes based on the movement of the underlying and the pricing parameters. All three products have been priced with an initial fair value of 98% and a funding rate of 100%.

The Las Vegas Sans product has a six-month term paying out a total

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