Equity Reverse Convertible Model Portfolios

This report presents UBS CIO's model portfolios for reverse convertibles across USD, EUR, and CHF, leveraging a proprietary methodology to identify attractive risk-return profiles in current high-volatility markets.

Key Takeaways

• 1.Reverse convertibles (RCs) are structured solutions used to generate additional income and gain equity exposure at lower levels.
• 2.Elevated single-stock implied volatility provides an environment that supports the pricing of 'worst-of' structured products.
• 3.The CIO selection methodology integrates implied volatility, momentum, and fundamental data to identify stocks with better risk-return trade-offs.

Table of Contents

• Reverse Convertible Model Portfolios
• Introduction
• Portfolio construction
• Benefits of the CIO model portfolios
• CIO worst-of baskets
• What is a reverse convertible?
• Key features of investing in reverse convertibles:
• Risks associated with reverse convertibles
• Appendix

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