MBRC = Multi Barrier Reverse Convertible Note

Multi barrier reverse convertible are yield enhancing products. The investor gives up the capital protection in exchange for high coupons. More specifically, a MBRC offers the investor a high coupon rate during its lifetime, whilst, according to the price evolution of a basket of underlying assets, we can have different scenarios at maturity. If none of the prices of the underlying assets has hit a downside barrier or all the final prices are above their initial fixing level, the investor will receive 100% of principal. Otherwise, the investor will receive a given number of shares of the worst performer stock. The conversion ratio is calculated such that the product of the initial fixing level of any underlying and the conversion ratio is equal to 100.