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Displaying 3 out of 3 results for "Buffered".

Evolution of Absolute Return Structured Products

(Feb 2013)

From 2006 to 2009, a type of structured product known as an absolute return barrier note (ARBN) was issued by a variety of major investment banks. ARBNs are interesting because they are linked to the absolute value of the return on an underlying, not just its return, and therefore are considered non-directional bets. We've done a lot of work on ARBNs here at SLCG, including a research paper that values a sample of ARBNs and finds they are worth on average 4.5% less than their purchase price...

Structured Products Highlight: JP Morgan Reverse Exchangeable Linked to Ford

(Dec 2012)

Today we're highlighting a structured product issued on January 19, 2012 by JP Morgan. This product (CUSIP: 48125VHZ6) is a Reverse Exchangeable linked to Ford Motor Company (F). Investors who purchased the notes were exposed to the possibility that JP Morgan would default on the obligations spelled out in the note's offering documents.

This particular note offered investors monthly coupons at an annualized rate of 11.25% for the six month term of the note. If, during the term of the notes,...

Structured Products Highlight: Buffered SuperTrack Linked to the S&P 500

(Nov 2012)

Today we're highlighting a structured product issued on September 30, 2011 by Barclays. This product (CUSIP: 06738KWL1) is a Buffered SuperTrack Note linked to the Standard & Poor's 500 (S&P 500) index.

This particular note offered investors exposure to the S&P 500 with buffered protection if the index declines over the term of the note. Specifically, if the index level is not more than ten percent below the initial level at maturity, investors receive their entire principal investment. An...

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