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8.45% p.a. JB Callable Barrier Reverse Convertible (80%) on OC Oerlikon

  • Valor 40671797
  • ISIN CH0406717972
  • Symbol SASHJB
  • SVSP Category Yield enhancement
  • SVSP Type Barrier Reverse Convertibles

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as of:
Barrier hit event occurred on 08/10/2018.
Performance since issue -23.45%
max. return 31.92%
max. return p.a. 171.50%
Distance to strike (%) -33.04%
Distance to barrier Barrier touched on: 08/10/2018
Delta OERL=0.737
multiple Underlyings No
Days to maturity 68
SSPA VaR* 14.87%
SSPA RiskRating*
0 1 2 3 4 5 6 7

*All statements without guarantee.

Daily high (bid) 77.20
Daily low (bid) 75.85
52 Week high (bid) 100.40
52 Week low (bid) 69.15
Alltime high (bid) 100.90
Alltime low (bid) 69.15
Worst performing underlying OC Oerlikon Corp. Inc
Performance of the underlying since issue -24.83%
Issue date 24/04/2018
Value date 02/05/2018
Maturity date 24/07/2019
Redemption date 31/07/2019
Callability Yes
Issuer Bank Julius Baer & Co Ltd, Guernsey
Underlying OC Oerlikon Corp. Inc
Issue price 100.00
Currency CHF
Listing Yes
COSI No
Coupon p.a. 8.45%
Next coupon payment 31/07/2019
Strike 15.1533
Barrier (%) 80.00%
Barrier observation continuous
Quanto No
Payment Scenario Barrier Reverse Convertibles
market expectation
characteristics
  • Underlying moving sideways or slightly rising
  • Falling volatility
  • Underlying will not breach barrierduring product lifetime
  • Should the barrier never be breached, the nominal plus coupon is paid at redemption
  • Due to the barrier, the probability of maximum redemption is higher; the coupon, however, is smaller than for a Reverse Convertible
  • If the barrier is breached the product changes into a Reverse Convertible
  • The coupon is paid regardless of the underlying development
  • Reduced risk compared to a direct investment into the underlying
  • With higher risk levels, multiple underlyings (“Worst-of”) allow for higher coupons or lower barriers
  • Limited profit opportunity(cap)

OC Oerlikon Corp. Inc

  • Ticker SymbolOERL SW
  • Valor81682
  • ISINCH0000816824

11.39 CHF

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