发帖
雷达卡
Table of contents
Advantages of investing in structured products 2
Overview of structured products 4
Structure customization 4
Packaging capabilities 6
Common structures 7
Principal Protected Notes (PPNs) 7
Synthetic convertible bonds (CBs) 9
Accelerated Return Notes (ARNs) 11
PERCS 13
PRIDES 16
Reverse convertibles (RCs) 17
Autocallables 19
Risks inherent in structured products 21
(excerpt)
Reverse Convertibles (RCs)
The Reverse Convertible structure packages:
􀂄 -a long bond, and
􀂄 -a short out-of-the-money (OTM) put option.
The OTM put generates premium which is paid to the investor in the form of
above market coupons. Coupons are typically 10-20% per annum, and they can
be paid monthly, quarterly or semi-annually.
An investor can view it as a targeted buying strategy. The strike of the OTM put
is the Exchange Price of the reverse convertible. The position requires the holder
to buy the underlying stock or basket at the Exchange Price should the price level
fall below the Exchange Price on expiration date. The Exchange Price is usually
set 5-25% below the stock or basket price on pricing date.
Structured Products.pdf
(282.61 KB, 需要: 2 个论坛币)
京公网安备 11010802022788号
