Basic Reverse Convertibles | Single Observation Reverse Convertibles | Autocallable Reverse Convertibles

Single observation reverse convertibles pay a fixed positive return if the pre-specified trigger is not breached on the note’s final valuation date, and a lesser amount if the trigger is breached. Whereas basic reverse convertibles use the reference asset’s lowest value to determine if the trigger has been breached, single observation reverse convertibles use the reference asset’s value on the note’s final valuation date. All single observation reverse convertibles expose investors to the potential losses of the reference asset.

Single observation reverse convertibles cover a broad range of structured products. For example, some single observation reverse convertibles use coupon payments to compensate investors for bearing risk, while others use exposure to a limited portion of the reference asset’s capital appreciation.

Single observation reverse convertibles that pay coupons to compensate investors for bearing risk are quite similar to basic reverse convertibles. Neither type of reverse convertible offers exposure to the reference asset’s capital appreciation, and both expose investors to all of the reference asset’s capital depreciation if a trigger is breached. The only difference is that basic reverse convertibles compare the reference asset’s lowest value to the trigger level, while single observation reverse convertibles compare the reference asset’s final value to the trigger level. This type of single observation reverse convertibles includes Yield Optimization Notes with Contingent Protection and Buffered Reverse Convertible Notes. The maturity payoffs to these single observation reverse convertibles are similar to the payoffs of an unsecured coupon-bearing note combined with a contingent short put option on the reference asset.

Single observation reverse convertibles that use small exposure to the reference asset’s capital appreciation to compensate investors for the risk of loss have payoffs exactly like a zero-coupon, unsecured note issued by the brokerage firm and three options on the reference asset: a short put option, a long call option, and a short call option. This type of single observation reverse convertibles include some PLUS and Buffered PLUS, Buffered SuperTrack and Buffered iSuperTrack notes, Performance Securities with Contingent Protection, and Return Optimization Securities with Contingent Protection.

Table 1 lists a few of the single observation reverse convertibles which have been sold under different brand names by various brokerage firms.

Table 1:
Single Observation Reverse Convertibles
Brokerage FirmBrand Name
BarclaysYield Optimization Notes with Contingent Protection
BarclaysSuperTrack Notes
BarclaysBuffered SuperTrack Notes
BarclaysPerformance Leveraged Upside Securities
BarclaysBuffered Performance Leveraged Upside Securities
BarclaysReturn Enhanced Notes
BarclaysBuffered Return Enhanced Notes
BarclaysBuffered Digital SuperTrack Notes
BarclaysBuffered iSuperTrack Notes
BarclaysBuffered Reverse Convertible Notes
BarclaysReturn Optimization Securities with Partial Protection
BarclaysReturn Optimization Securities with Contingent Protection
BarclaysKnock-in SuperTrack Notes
JPMorganYield Optimization Notes with Contingent Protection
JPMorganReturn Enhanced Notes
JPMorganBuffered Return Enhanced Notes
JPMorganSingle Observation Reverse Exchangeable Notes
JPMorganPerformance Leveraged Upside Securities
JPMorganBuffered Performance Leveraged Upside Securities
JPMorganBuffered Equity Notes
Morgan StanleyPerformance Leveraged Upside Securities
Morgan StanleyBuffered Performance Leveraged Upside Securities
UBSReturn Optimization Securities with Partial Protection
UBSReturn Optimization Securities with Contingent Protection
UBSYield Optimization Notes with Contingent Protection
Tear Sheets
Yield Optimization Notes with Contingent Protection linked to Starbucks Corp. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Intel Corp. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Apple, Inc. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked linked to Occidental Petroleum Corp. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked linked to Best Buy Co., Inc. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Apple, Inc. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Adobe Systems, Inc. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Schlumberger, Ltd. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Corning Incorporated due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Cisco Systems, Inc. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Boston Scientific Corp. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Las Vegas Sands Corp. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Applied Materials, Inc. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Sprint Nextel Corp. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Merck & Co., Inc. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to General Electric Company due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Exxon Mobil Corp. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Texas Instruments Inc due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Amgen Inc. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Goldcorp Inc. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Lehman Brothers Holdings Inc due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to McDonald's Corp. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to JPMorgan due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Intel Corp. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Bristol-Myers Squibb Company due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Pfizer, Inc. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Hewlett-Packard Co. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Caterpillar, Inc. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Citigroup, Inc. due 00/00/0000

Yield Optimization Notes with Contingent Protection linked to Boeing Co. due 00/00/0000

 

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