Apple reverse convertible losses mitigated by European barrier

Taking a bite of sour Apple

apple-logo

In May 2012, Structured Products analysed a one-year newly issued reverse convertible issued by UBS, linked to the common stock of Apple and paying monthly income with an annualised rate of 8.56%. It was a principal-at-risk product with a final-level barrier of 90%.

The product lost money, but it could have lost even more if the barrier had been American rather than European, while regular coupons also mitigated some of the loss.

A final-level European barrier is measured at strike and maturity

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: