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12.00% p.a. JB Callable Multi Barrier Reverse Convertible (62.5%) on Bank of America Corp, Morgan Stanley, Citigroup

  • Valor 44883694
  • ISIN CH0448836947
  • Symbol MCHAJB
  • SVSP Category Yield enhancement
  • SVSP Type Barrier Reverse Convertibles








as of:
Performance since issue -3.45%
max. return 11.90%
max. return p.a. 16.80%
Distance to strike (%) -6.88%
Distance to barrier +33.20%
Delta BAC=0.167,​C=0.096,​MS=0.146
multiple Underlyings Yes
days to maturity 259
SSPA VaR* n.a.
SSPA RiskRating* n.a.

*All statements without guarantee.

Daily high (bid) 97.00
Daily low (bid) 96.45
52 Week high (bid) 103.90
52 Week low (bid) 39.20
Alltime high (bid) 103.90
Alltime low (bid) 39.20
Worst performing underlying Bank of America Corp
Performance of the underlying since issue -6.43%
Initial fixing date 08/02/2019
Issue date 08/02/2019
Maturity date 08/05/2020
Redemption date 15/05/2020
Callability Yes
Issuer Bank Julius Baer & Co. Ltd., Guernsey
Underlying Bank of America Corp
Citigroup Inc
Morgan Stanley
Issue price 100.00
Currency USD
Listing Yes
Coupon p.a. 12.00%
Next coupon payment 15/11/2019
Strike 100%
Barrier (%) 62.50%
Barrier observation continuous
Quanto No
Payment Scenario Barrier Reverse Convertibles
market expectation
  • 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)

Bank of America Corp

  • Ticker SymbolBAC UN
  • Valor748628
  • ISINUS0605051046

26.48 USD

Citigroup Inc

  • Ticker SymbolC UN
  • Valor12915350
  • ISINUS1729674242

61.94 USD

Morgan Stanley

  • Ticker SymbolMS UN
  • Valor653571
  • ISINUS6174464486

39.35 USD

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