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1Y USD 6.60% p.a. Reverse Convertible on US 10Y Treasury

  • Valor 135690271
  • ISIN CH1356902713
  • Symbol
  • SVSP Category Yield enhancement
  • SVSP Type Reverse Convertibles
  • SVSP Code 1220

Bid

%

Volume:

Ask

%

Volume:

Price

as of:

Key values

Delta 0.0

Basic values

multiple Underlyings No
days to maturity 59

*All statements without guarantee.

ESG

JB ESG Category Traditional investment
SFDR Alignment (JB View) No
EU Taxonomy Aligned No

Performance

Daily high (bid) 98.10
Daily low (bid) 98.10
52 Week high (bid) 99.90
52 Week low (bid) 95.10
Alltime high (bid) 99.90
Alltime low (bid) 95.10

Agenda

Initial fixing date 26/06/2024
Issue date 03/07/2024
Next coupon payment 30/06/2025
Maturity date 26/06/2025
Callability No

Key values at issue

Issuer Bank Julius Baer & Co. Ltd., Guernsey
Underlying United States Treasury Note/Bond
Issue price 100.00
Currency USD
Listing No
COSI No
Coupon p.a. 6.60%
Strike 100.4805
Quanto No
Trigger Step-Down No

documents

Termsheet

Description

Payment Scenario Reverse Convertibles
market expectation
characteristics
Payment Scenario Reverse Convertibles
  • Underlying moving sideways or slightly rising
  • Falling volatility
  • Should the underlying close below the strike on expiry, the underlying and/or a cash amount is redeemed
  • Should the underlying close above the strike at expiry, the nominal plus the coupon is being paid at redemption
  • The coupon is paid regardless of the performance of the underlying
  • Reduced risk compared to a direct investment into the underlying
  • With higher risk levels, multiple underlyings (“Worst-of”) allow for higher coupons
  • Limited profit opportunity (cap)
>Please refer to SSPA website for more information

Performance

Underlying

United States Treasury Note/Bond

  • Ticker SymbolUS91282CKQ32 GOVT
  • Valor134898297
  • ISINUS91282CKQ32

USD

UnderlyingValorISINPriceStrikeRatio
United States Treasury Note/Bond 134898297 US91282CKQ32 100.48
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