Equity Reverse Convertible Model Portfolios

This report outlines UBS's model portfolios for reverse convertibles, leveraging a proprietary methodology to select stocks with optimal risk-return profiles for yield generation across USD, EUR, and CHF.

Key Takeaways

• 1.Reverse convertibles serve as structured solutions to generate yield and build defensive equity exposure by capitalizing on elevated single-stock implied volatility.
• 2.The CIO model portfolios prioritize high-scoring stocks based on implied volatility, momentum, and fundamental metrics to reduce breach likelihood.

Table of Contents

• Introduction
• Portfolio construction
• Benefits of the CIO model portfolios
• US Dollar Model Portfolio
• Euro Model Portfolio
• Swiss Franc Model Portfolio
• Sector exposure
• Strike comparison
• Historical simulation
• Momentum screen
• Volatility screen
• Market & Volatility Snapshot
• CIO worst-of baskets
• Swiss Equities - Worst-of baskets
• European sectors - Worst-of baskets
• US sectors - Worst-of baskets
• What is a reverse convertible?
• Risks associated with reverse convertibles

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