Apple reverse convertible losses mitigated by European barrier

This reverse convertible from UBS based on the common stock of Apple lost money, but the results could have been even worse if it had used an American rather than a European barrier. Regular coupons also helped offset losses


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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