Apple reverse convertible losses mitigated by European barrier

Taking a bite of sour Apple


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

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