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Yield Enhancement

Callable Yield Note

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Know-How - Yield Enhancement

Callable Yield Notes (CYN) are yield enhancement products, whose performance is capped by a coupon that is guaranteed by the issuer. As the name implies, the issuer, at its discretion, can call the product usually on predefined observation dates. The underlying assets are generally composed of several stocks or stock indices, thus making it a product based on a worst-of function. They are akin to Express Certificates.

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Double Currency Units

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Know-How - Yield Enhancement

Double currency Units ("DCU"), also called Double Currency Notes ("DCN") or Double Currency Investments ("DCI"), are a form of short term bonds that have an embedded option allowing the issuer to redeem the bond including the coupon in an alternative currency. In compensation for taking that risk, the holder of a DCU is entitled a higher than normal coupon. In a nutshell, a DCU is a short-term currency investment, in which the initial investment is redeemed in the currency that weakened against another.

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Reverse Convertible

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Know-How - Yield Enhancement

The holder of a reverse convertible gives up the potential upside exposure to the underlying asset in exchange for an enhanced coupon. The holder of the product remains exposed to the downside exposure.

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Barrier Reverse Convertible

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Know-How - Yield Enhancement

The barrier reverse convertible (BRC) is a special variant of the classic reverse convertible. The holder of a barrier reverse convertible gives up the potential upside exposure to the underlying asset in exchange for an enhanced coupon. The holder of the product is not exposed to the downside exposure, unless the underlying asset breaks through a predefined barrier set at the inception of the product.

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