Reverse Convertible Notes (RCN) on UST

What is an RCN?

• An RCN is a structured financial product that is essentially a bond coupled with a short put option. 

Why Consider This Product?

• Attractive terms due to high volatility: The current high volatility of US rates makes it an opportune time to sell options on bonds.
• Potential appreciation for short-tenor bonds: If your client expects rates to go down, the value of bonds would likely appreciate, especially for short-tenor bonds.
• Physical delivery benefits: Even if the Underlying value is below the Put Strike and the client receives bond physical delivery, the client may still benefit from the yield-generating asset which is at a multi-year high or even potential bond price appreciation in case of rates fall.
• Simple product features: This product offers a guaranteed periodic coupon per annum and a one-time observation on the Underlying at maturity only.

RCN on CT5 | US91282CJA09 | US Treasury Note, 4.625%, 30Sep2028

Prices provided are indicative. Reach out to us for refreshed pricing details.

Payoff at Maturity

• If the Underlying Final closes greater than or equal to the Strike Price: The investor will receive the full amount of their initial investment (100%).
• If the Underlying Final closes below the Strike Price: Rather than getting cash back, the investor will receive the underlying asset (the U.S. Treasury bond) at the predetermined Strike Price. 

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