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5.80% p.a. JB Callable Barrier Reverse Convertible (85%) on Nestlé

  • Valor 45121928
  • ISIN CH0451219288
  • Symbol SAAYJB
  • SVSP Category Yield enhancement
  • SVSP Type Barrier Reverse Convertibles








as of:
Performance since issue n.a.
max. return 5.62%
max. return p.a. 5.27%
Distance to strike (%) 9.86%
Distance to barrier +23.38%
Delta NESN=0.038
multiple Underlyings No
Days to maturity 390
SSPA VaR* 8.18%
SSPA RiskRating*
0 1 2 3 4 5 6 7

*All statements without guarantee.

Daily high (bid) 100.05
Daily low (bid) 100.00
52 Week high (bid) 100.95
52 Week low (bid) 97.95
Alltime high (bid) 100.95
Alltime low (bid) 97.95
Worst performing underlying n.a.
Performance of the underlying since issue n.a.
Issue date 12/02/2019
Value date 19/02/2019
Maturity date 12/05/2020
Redemption date 19/05/2020
Callability Yes
Issuer Bank Julius Baer & Co Ltd, Guernsey
Underlying Nestlé Ltd
Issue price 100.00
Currency CHF
Listing Yes
Coupon p.a. 5.80%
Next coupon payment 20/05/2019
Strike 86.4
Barrier (%) 85.00%
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)

Nestlé Ltd

  • Ticker SymbolNESN SE
  • Valor3886335
  • ISINCH0038863350

95.74 CHF

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