A variant of barrier reverse convertible (BRC)- a structured product– that pays a coupon on a frequent basis (e.g., quarterly) independently of the performance of the worst performing underlying. It is subject to the so-called multi chance barrier event. This event occurs if at any time over the course of the convertible’s life, a specific number of stocks out of the basket of stocks independently trade at or below a preset barrier (e.g., 65%). If no such an event occured, the holder would receive full par value (100%) of the denomination. Otherwise, the holder would receive less than the denomination: an amount adjusted with a reduction of one for one on the negative performance of the worst performing stock.
Comments