RIGHT or SUBSTRING both can be used for this:

Select string, 
case 
when RIGHT(string,1) in ('A','B','F') then 'ok'
else 'no'
end as new_column
from table

OR

Select string, 
case 
when SUBSTRING(string, LENGTH(string), 1) in ('A','B','F') then 'ok'
else 'no'
end as new_column
from table