Accelerated Barrier Notes

Appraisal Economics has valued accelerated barrier notes linked to the returns of the S&P 500 Index. The notes are complex securities that provide upside leveraged returns in excess of the S&P 500, while providing barrier protection for part of the downside. Appraisal Economics has a deep understanding of the option pricing models used in valuing complex securities and derivative instruments such as the barrier notes. We valued the barrier notes using modified Monte Carlo simulation combined with a credit analysis of the issuer, considering the complex relationship among the underlying assets, the barrier levels, and market conditions.