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Case Callable Yield Notes Automatic Breach Report


Callable Yield Notes (CYNs) provide investors with periodic interest payments, subject to early redemption. At maturity, investors will be entitled to receive the principal amount if none of the underlying instruments (Indexes, ETFs, Single Stock) closes at or below their specified “Knock-In Levels” during the observation period. If, during the observation period, the closing level of any underlying is at or below its respective Knock-In Level, the return will be based on the percentage change of the lowest performing underlying, and investors may receive less than 100% of the principal amount. Furthermore, the Issuer has the right to call the securities. If the securities are called, investors will be entitled to receive 100% of the principal amount, plus any accrued but unpaid interest, and the securities will not continue to accrue interest. Any payment on the securities is subject to the Issuer’s ability to pay its obligations as they become due.

On a daily basis, the Front Office team responsible for marketing and managing the CYNs would have to go to numerous internal systems, create queries, save them to Excel and then use formulae to find out which, if any, securities would be up for call review on that day. They would further have to do research on correcting and mapping some of the reference data. The team would then print a report and manually circulate it across members to call all clients affected.



Engaging a technology team allowed the developer to query a Sybase server directly and retrieve all data necessary for analyzing and reporting the barrier levels of the CYNs. Applying some business logic the application was coded to produce a barrier breach report that was set up to run by the Scheduled Task Manager each morning and also create pre-defined email drafts with custom message and relevant financial and reference data (CUSIP, Trade Date, Underlying Securities, Index Level, etc…) and save them to a Front Office designated custom Outlook mailbox. At that point it was easy for the Front Office team to simply send the auto-created emails and notify their clients and discuss opportunities to re-invest the proceeds.