Product performance

Product performance


The following analysis considers the performance of three products post-strike and the effect of changing market parameters on their net asset value (NAV). The deals comprise one principal-protected product and two reverse convertibles, all of which have a pricing date of January 13, 2012 and have been valued weekly over a period of six months.

The first product (figure 1) is a principal-protected note linked to the performance of the iShares Emerging Markets Index Fund, which offers 110% partic

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