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What are yield-based structured products?

Yield Enhancement - Reverse Convertible

A Reverse Convertible gives up the potential upside in asset appreciation in exchange for an enhanced fixed coupon payment. The holder of the product remains exposed to the downside exposure of the underlying below break-even barrier.

Expectations:

  • Underlying asset: moving sideways or slightly rising

  • Volatity: rising

Features:

  • Minimum redemption at expiry + capital protection

  • Capital protection at expiry as a % of the nominal (in our example 100%)

  • Participation may vary (in our example > 100% until barrier)

  • Product value may fall below capital protection if redeemed before expiry

  • Rebate payment optional

capital protection

Yield Enhancement - Barrier Reverse Convertible

A barrier reverse convertible gives up the potential underlying asset upside exposure in exchange for an enhanced coupon. The holder remains exposed to the downside exposure if the underlying breaks below the barrier.

Expectations:

  • Underlying asset: moving sideways or slightly rising without breaching the barrier during product lifetime

  • Volatility: falling

Features:

  • Minimum redemption at expiry + capital protection

  • Capital protection at expiry as a % of the nominal (in our example 100%)

  • Participation may vary (in our example >100% until barrier)

  • Product value may fall below capital protection if redeemed before expiry

  • Rebate payment optional

capital protection

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