Wednesday June 17, 2015 S tructured Structured Products Current Year ALL U.S. STRUCTURED PRODUCTS Year to Date: $31.643 billion in 4401 deals Quarter to Date: $13.727 billion in 1867 deals Month to Date: $3.310 billion in 208 deals $24.801 billion in 4483 deals $10.627 billion in 1914 deals $2.263 billion in 303 deals BREAKDOWN OF YEAR TO DATE DEALS EXCHANGE-TRADED NOTES $10.054 billion in 502 deals $5.529 billion in 401 deals ALL U.S. STOCK AND EQUITY INDEX DEALS $20.258 billion in 3337 deals $17.922 billion in 3581 deals SINGLE STOCK U.S. STRUCTURED PRODUCTS $3.968 billion in 1551 deals Previous Year $5.415 billion in 2111 deals STOCK INDEX U.S. STRUCTURED PRODUCTS $15.466 billion $11.800 billion in 1714 deals in 1410 deals FX U.S. STRUCTURED PRODUCTS $0.141 billion in 39 deals $0.217 billion in 48 deals COMMODITY U.S. STRUCTURED PRODUCTS $6.927 billion in 475 deals $2.872 billion in 312 deals INTEREST RATE STRUCTURED PRODUCTS $0.734 billion in 54 deals $1.099 billion in 96 deals INTEREST RATE STRUCTURED COUPONS $31.152 billion in 1110 deals $20.395 billion in 806 deals PROSPECTNEWS Copyright 2015 by Inc. Electronic redistribution, photocopying and any other electronic or mechanical reproduction is strictly prohibited without prior written approval by. Information contained herein is provided by sources believed to be accurate and reliable, however, makes no warranty, and each such source makes no warranty, either express or implied, as to any matter whatsoever, including but not limited to those of merchantability or fitness for a particular purpose. JPMorgan s $1.13 million dual direction notes linked to oil index aimed at range-bound trade By Emma Trincal New York, June 16 JPMorgan Chase & Co. s $1.13 million capped dual directional contingent buffered notes due June 21, 2016 linked to the S&P GSCI Crude Oil Index Excess Return target investors who believe oil prices will trade sideways over the next year, advisers said. product delivers an attractive payoff if their view is correct, they added. If the index finishes at or above the initial level, the payout at maturity will be par plus the gain up to a maximum return of 17.5%, according to a 424B2 filing with the Securities and Exchange Commission. If the index falls by up to the 17.5% contingent buffer, the payout will be par plus the absolute value of the index return. Otherwise, investors will be fully exposed to any loses. S&P GSCI Crude Oil Index Excess Return index is composed entirely of WTI crude oil futures contracts. Sideways Kirk Chisholm, wealth manager and principal at Innovative Advisory Group, said the range of crude oil prices that could translate into a positive return, from negative 17.5% to plus 17.5%, is reasonable. Oil right now is at $60. A 17.5% increase on the upside would bring the price to $70. On the downside it would bring it to $50 approximately, he said. If someone is bullish on oil, this is probably not an attractive note. If you re bullish, a $10 move on the upside, given that oil fell from over $100, is not going to be the appropriate investment type because of the cap. But Chisholm said crude oil is more likely to trade within the boundaries of a channel rather than breaking out of it. Risk-reward I feel oil is going to be bouncing around for a year. It will bounce within that Deutsche Bank plans tracker notes linked to basket of indexes, ETFs By Toni Weeks San Luis Obispo, Calif., June 16 Deutsche Bank AG, London Branch plans to price 0% tracker notes due June 24, 2016 linked to a basket of three indexes and three exchange-traded funds, according to an FWP filing with the Securities and Exchange Commission. basket components are the Deutsche Bank ProVol Balanced index, Continued on page 2 Deutsche Bank Equity Mean Reversion Alpha index (Emerald), Deutsche Bank Equity Mean Reversion Alpha Index Emerging Markets (Emerald EM), ishares MSCI EAFE Minimum Volatility ETF, ishares MSCI Emerging Markets Minimum Volatility ETF and PowerShares BuyBack Achievers Portfolio. Each quarter, investors will receive a cash payment per $1,000 principal amount Continued on page 3
Bank of America plans step-up callable notes with 3% initial rate By Toni Weeks San Luis Obispo, Calif., June 16 Bank of America Corp. plans to price step-up callable notes due June 26, 2030, according to a 424B2 filing with the Securities and Exchange Commission. interest rate will be at least 3% for the first five years, the initial rate plus 100 basis points in years six through 10 and the initial rate plus 200 bps in years 11 through 15. Interest will be payable semiannually. exact initial coupon and subsequent coupons will be set at pricing. payout at maturity will be par. notes will be callable at par on any interest payment date beginning June 26, 2016. BofA Merrill Lynch is the agent. notes will settle on June 26. Cusip number is 06048WRB8. JPMorgan s $1.13 million dual direction notes linked to oil index aimed at range-bound trade Continued from page 1 range, somewhere between $50 and $70. I think it s reasonable, he said. downside risk is breaching the barrier. If the underlying index falls by more than 17.5% at maturity, investors have no protection and could lose their entire investment, according to the prospectus. Chisholm said it is unlikely to happen. Oil prices have already hit the low $40s. It would be hard to go much lower, he said. On the upside, investors could see the cap work against them if oil were to rise above $70 a barrel. It s always a risk, but I don t think the fundamentals support the fact that it will be much higher or much lower at that point, he said. When oil was trading about $100, it was too expensive. U.S. had produced a lot of oil with the oil shale boom, and it was not recognized by supply and demand in the market. Now it finally is. fact that you have a positive return for anything within that $50 to $70 range is quite reasonable. upside potential is attractive, he noted, especially if the market continues to trade without a clear direction. Getting 17.5% for a year is pretty darn good, and if you re getting that kind of gain on the downside as well, it far outweighs the risk of oil going up over the upper end of the range, he said. From a risk-return standpoint, it s a very attractive note. Opportunistic play Dean Zayed, chief executive of Brookstone Capital Management, said he is very interested in absolute return notes in general as the structure and payoff type are gaining momentum in today s range-bound market. I absolutely love the dual directional structures, and they have certainly resonated with my clients, he said. A growing number of absolute return notes, also called dual directional or twinwin notes, have recently been brought to the market, especially in equity, he said, pointing in particular to notes linked to the S&P 500 index. I find these structures appealing, especially for the nervous investor, he said. advantage of the product type is to give investors flexibility as they can make money in a down or up market as long as the barrier is not breached, he explained. Without possessing the proverbial crystal ball that nobody has, this note gives the investor the opportunity for competitive returns without having to be right about the price of oil over the next year, he said. Aging bull market structure does not eliminate risk, yet it reduces it for those who do not anticipate wide price moves. A 17.5% move in any underlying over one year is not out of the question but still provides a large enough cushion in most of the market cycles we face, he said. Structured products will never satisfy every type of investor sentiment but at least provide the clarity up front and allow the investor with a specific opinion to use the product if it fits within his general opinion. It is the clarity that is as important as the range itself. It is a short duration, the cap is very attractive, and if you think oil has roughly seen its worst price levels, this is a great play on it. As the aging bull market wears on, I see huge demand for more of these total return structures across other indices. J.P. Morgan Securities LLC was the agent. notes ( 48125UTJ1) settled on Tuesday. fee was 1%. Wednesday June 17, 2015 Page 2
Citigroup to price autocallable securities linked to three indexes By Toni Weeks San Luis Obispo, Calif., June 16 Citigroup Inc. plans to price 0% autocallable securities due July 12, 2018 linked to the worst performing of the S&P 500 index, the Euro Stoxx 50 index and the Nikkei 225 index, according to a 424B2 filing with the Securities and Exchange Commission. notes will be automatically called at par plus an annualized redemption premium of 8% to 10% if each underlying index closes at or above its premium threshold level, 90% of its initial level, on either of two annual observation dates occurring in July of 2016 and 2017. exact redemption premium will be set at pricing. If the notes have not been called and each index finishes at or above its 90% premium threshold level, the payout at maturity will be par plus the premium. If the worst-performing index finishes below the premium threshold level but greater than or equal to its trigger level, 70% of the initial level, the payout will be par. If the worst-performing index finishes below the 70% trigger level, investors will receive par plus the return of the worstperforming index, with full exposure to losses. notes ( 17298CCK2) will price July 1. Citigroup Global Markets Inc. is the underwriter. Credit Suisse plans 1-for-10 reverse split of VelocityShares Daily 2x VIX Short Term ETNs By Angela McDaniels Tacoma, Wash., June 16 Credit Suisse AG, Nassau Branch will implement a 1-for-10 reverse split of its VelocityShares Daily 2x VIX Short Term exchange-traded notes due Dec. 4, 2030 linked to the S&P 500 VIX Short-Term Futures index, according to a company news release. reverse split is expected to be effective as of June 23. On June 25, holders of record will receive one reverse split-adjusted ETN for every 10 units of the ETNs. In addition, those who hold a number of units of ETNs not evenly divisible by 10 will receive a cash payment for any fractional number of units remaining (the partials ). cash amount due on any partials will be determined on June 30 based on the closing indicative value of the ETNs on that date and will be paid on July 1. closing indicative value on June 22 will be multiplied by 10 to determine the reverse split-adjusted closing indicative value. Following the reverse split, the ETNs will keep their TVIX ticker symbol but the Cusip number will change to 22539T423 from 22539T613. issuer noted that the reverse split will affect the trading denominations of the ETNs but will not have any effect on the principal amount of the underlying notes, except that the principal amount will be reduced by the aggregate amount of any cash payments for partials. Deutsche Bank plans tracker notes linked to basket of indexes, ETFs Continued from page 1 of securities that equals the total amount of cash dividends declared and paid by each basket ETF to its shareholders during the preceding quarter on the number of shares of the applicable basket ETF equal to (a) the product of $1,000 and the basket component weighting for that basket ETF divided by (b) the initial level of that basket ETF multiplied by (d) the adjustment factor for that basket ETF on the trading day immediately preceding the applicable payment date. basket level on the pricing date will be 100. On any subsequent day, the basket level will be 100 plus 100% of the return of the ProVol index, 50% of the return of the Emerald index, 50% of the return of the Emerald EM index, one-third of the return of the EAFE ETF, one-third of the return of the EM ETF and one-third of the return of the PowerShares portfolio. return of each underlying component is reduced by an adjustment factor, which is 0.9975% per year for the ProVol index and 1% per year for the Emerald and Emerald EM indexes. For each ETF, the adjustment factor is a flat 0.999%. notes will be called if the basket level falls below 40. notes are putable on any trading date to but excluding June 21, 2016. payout at maturity or upon redemption will be par multiplied by the quotient of the final basket level divided by the initial basket level. Deutsche Bank Securities Inc. is the agent. notes are expected to price June 17 and settle June 22. Cusip number is 25152RH48. Wednesday June 17, 2015 Page 3
Credit Suisse to price leveraged buffered notes linked to five indexes By Angela McDaniels Tacoma, Wash., June 16 Credit Suisse AG, London Branch plans to price 21- to 24-month 0% leveraged buffered notes linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission. basket includes the Euro Stoxx 50 index with a 37% weight, the FTSE 100 index with a 23% weight, the Topix index with a 23% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight. If the basket return is positive, the payout at maturity will be par plus 140% of the basket return, subject to a maximum settlement amount that is expected to be $1,193.20 to $1,224.00 per $1,000 principal amount of notes. Investors will receive par if the basket declines by 12.5% or less and will lose 1.1429% for every 1% that it declines beyond 12.5%. exact maturity date and maximum settlement amount will be set at pricing. Credit Suisse Securities (USA) LLC is the agent. notes are expected to price June 18. Cusip number is 22546VFL5. Deutsche Bank plans three-year call warrants linked to Euro Stoxx 50 By Angela McDaniels Tacoma, Wash., June 16 Deutsche Bank AG, London Branch plans to price call warrants expiring June 22, 2018 linked to the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission. notional amount is $1,000 per warrant. price will be $125 per warrant, or 12.5% of the notional amount. minimum purchase requirement is 80 warrants. warrants will be automatically exercised on the expiration date. If the index s final level is greater than the initial index level, the cash settlement amount will be $1,000 multiplied by the index return. If the final level is less than or equal to the initial level, investors will lose their entire initial investments in the warrants. J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents. warrants will price June 19 and settle June 24. Cusip number is 25190H802. Deutsche Bank plans three-year call warrants linked to MDAX index By Angela McDaniels Tacoma, Wash., June 16 Deutsche Bank AG, London Branch plans to price call warrants expiring June 22, 2018 linked to the MDAX Total Return Index, according to an FWP filing with the Securities and Exchange Commission. notional amount is $1,000 per warrant. price will be $169.50 per warrant, or 16.95% of the notional amount. minimum purchase requirement is 59 warrants. warrants will be automatically exercised on the expiration date. If the index s final level is greater than the initial index level, the cash settlement amount will be $1,000 multiplied by the index return. If the final level is less than or equal to the initial level, investors will lose their entire initial investments in the warrants. J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents. warrants will price June 19 and settle June 24. Cusip number is 25190H810. Wednesday June 17, 2015 Page 4
Goldman Sachs to price leveraged buffered notes linked to five indexes By Angela McDaniels Tacoma, Wash., June 16 Goldman Sachs Group, Inc. plans to price 36- to 39-month 0% leveraged buffered notes linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission. basket consists of the Euro Stoxx 50 index with a 37% weight, the FTSE 100 index with a 23% weight, the Topix index with a 23% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight. If the basket return is positive, the payout at maturity will be par plus 1.15 to 1.25 times the basket return. exact participation rate will be set at pricing. Investors will receive par if the basket declines by 10% or less and will lose 1.1111% for every 1% that the basket declines beyond 10%. Goldman Sachs & Co. is the underwriter. JPMorgan plans contingent interest autocallable notes linked to Apple By Marisa Wong Madison, Wis., June 16 JPMorgan Chase & Co. plans to price autocallable contingent interest notes due July 7, 2016 linked to Apple Inc. shares, according to an FWP filing with the Securities and Exchange Commission. Each quarter, the notes will pay a contingent coupon at an annual rate of JPMorgan plans contingent interest autocallable notes linked to BofA By Marisa Wong Madison, Wis., June 16 JPMorgan Chase & Co. plans to price autocallable contingent interest notes due July 7, 2016 linked to Bank of America Corp. shares, according to an FWP filing with the Securities and Exchange Commission. Each quarter, the notes will pay a contingent coupon at an annual rate of 10.15% if Apple shares close at or above the barrier level, 80% of the initial share price, on the review date for that quarter. notes will be called at par plus the contingent coupon if Apple shares close at or above the initial share price on any review date other than the final review date. payout at maturity will be par plus 10.75% if Bank of America shares close at or above the barrier level, 85% of the initial share price, on the review date for that quarter. notes will be called at par plus the contingent coupon if Bank of America shares close at or above the initial share price on any review date other than the final review date. the final contingent interest payment unless Apple stock finishes below the 80% trigger level, in which case investors will receive par plus the return. J.P. Morgan Securities LLC is the agent. notes will price on June 19 and settle on June 24. Cusip number is 48125UXQ0. payout at maturity will be par plus the final contingent interest payment unless Bank of America stock finishes below the 85% trigger level, in which case investors will receive par plus the return. J.P. Morgan Securities LLC is the agent. notes will price on June 19 and settle on June 24. Cusip number is 48125UXR8. JPMorgan plans dual directional contingent buffer notes on Euro Stoxx By Marisa Wong Madison, Wis., June 16 JPMorgan Chase & Co. plans to price 0% capped dual directional contingent buffered equity notes due Dec. 29, 2016 linked to the Euro Stoxx 50 index, according to an FWP with the Securities and Exchange Commission. If the index finishes above its initial level, the payout at maturity will be par plus the index gain, up to a maximum return of 16.8%. If the index falls by up to 16.8%, the payout will be par plus the absolute value of the index return. Otherwise, the payout will be par plus the return, with full exposure to any losses. J.P. Morgan Securities LLC is the agent. notes will price on June 19 and settle on June 24. Cusip number is 48125UXP2. Wednesday June 17, 2015 Page 5
JPMorgan amends dates for contingent interest accrual notes on Russell By Toni Weeks San Luis Obispo, Calif., June 16 JPMorgan Chase & Co. amended the maturity date for its upcoming issue of callable contingent interest accrual notes linked to the Russell 2000 index to July 7, 2025 from June 30, 2025, according to an FWP filing with the Securities and Exchange Commission. In addition, the notes will now price July 1 and settle July 7, rather than price June 25 and settle June 30. interest rate will be equal to the contingent interest rate of at least 7.5% per year multiplied by the proportion of days on which the index closes at or above the barrier level, 70% of the initial index level. Interest is payable monthly. exact contingent interest rate will be set at pricing. If the index return is greater than or equal to negative 30%, the payout at maturity will be par. Otherwise, investors will be fully exposed to the index s decline. Beginning June 27, 2016, the notes will be callable at par on any interest payment date other than the final interest payment date. J.P. Morgan Securities LLC is the agent. Cusip number is 48125UXL1. JPMorgan amends maturity, pricing dates for contingent interest autocallables on three stocks By Marisa Wong Madison, Wis., June 16 JPMorgan Chase & Co. amended the maturity and pricing dates for its upcoming autocallable contingent interest notes linked to the least performing of the common stock of Walt Disney Co., the common stock of Starbucks Corp. and the class B common stock of Nike, Inc., according to an amended FWP filing with the Securities and Exchange Commission. notes will now mature on July 6, 2018 instead of June 29, 2018. notes are expected to price on July 1 and settle on July 7, pushed back from June 26 and July 1, respectively. Each month, the notes will pay a coupon if each stock closes at or above its interest barrier, 70% of its initial share price, on the review date for that month. contingent coupon rate is expected to be at least 9% per year and will be set at pricing. notes will be automatically called at par plus the coupon if each stock closes at or above its initial share price on any quarterly review date. If the notes have not been called, the payout at maturity will be par plus the contingent coupon, if any, unless any stock finishes below its 65% trigger price, in which case investors will be fully exposed to the decline of the least-performing stock. J.P. Morgan Securities LLC is the agent. Cusip number is 48125UXM9. Morgan Stanley to price autocallables linked to dollar vs. euro By Toni Weeks San Luis Obispo, Calif., June 16 Morgan Stanley plans to price 0% autocallable currency-linked notes due between June 2020 and September 2020 linked to the performance of the dollar relative to the euro, according to a 424B2 filing with the Securities and Exchange Commission. notes will mature between 60 and 63 months after issue. currency performance will be positive if the dollar strengthens relative to the euro and negative if it weakens relative to the euro. notes will automatically be called at par plus a call premium of 8% per year on any semiannual call observation date beginning after one year if the currency return is greater than or equal to the strike level of between 7.5% and 8.8%. exact strike level will be set at pricing. If the notes are not called and the final currency return is greater than or equal to the strike level, the payout at maturity will be par plus the applicable maturity date premium amount, which ranges from $400 to $420 per $1,000 principal amount of notes and depends on the exact maturity date. If the final currency return is less than the strike level but greater than or equal to negative 10%, the payout will be par. If the final currency return is less than negative 10%, investors will lose 1.1111% for each 1% decline beyond the 10% buffer, subject to a minimum cash settlement amount of 85% of par. Morgan Stanley & Co. LLC is the agent. notes are expected to price and settle in June. Cusip number is 61760QGM0. Wednesday June 17, 2015 Page 6
TD Bank plans 10-year callable step-up notes with 2.5% initial rate By Toni Weeks San Luis Obispo, Calif., June 16 Toronto-Dominion Bank plans to price callable step-up notes due June 30, 2025, according to a 424B2 filing with the Securities and Exchange Commission. interest rate will be 2.5% for the first three years, 3% in years four and five, 4% in years six and seven, 5% in years eight UBS plans trigger phoenix autocallables tied to S&P 500, Euro Stoxx 50 By Susanna Moon Chicago, June 16 UBS AG, London Branch plans to price trigger phoenix autocallable optimization securities due June 30, 2025 linked to the least performing of the S&P 500 index and the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission. notes will pay a contingent quarterly coupon at an annual rate of 7.5% to 8% if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date for that quarter. exact coupon will be set at pricing. notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly observation date beginning after one year. If the notes are not called and each index finishes at or above its 70% coupon barrier level, the payout at maturity will be par plus the contingent coupon. If either index falls below the 70% coupon barrier but each index finishes at or above the 50% trigger level, the payout will be par. Otherwise, investors will be fully exposed to any losses of the worst performing index. UBS Financial Services Inc. and UBS Investment Bank are the agents. notes will price on June 26 and on settle on June 30. Cusip number is 90274T817. UBS plans trigger phoenix autocallables tied to S&P 500, Russell 2000 By Susanna Moon Chicago, June 16 UBS AG, London Branch plans to price trigger phoenix autocallable optimization securities due June 30, 2025 linked to the least performing of the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission. notes will pay a contingent quarterly coupon at an annual rate of 6.6% to 7.1% if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date for that quarter. exact coupon will be set at pricing. notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly observation date beginning after one year. If the notes are not called and each index finishes at or above its 70% coupon barrier level, the payout at maturity will be par plus the contingent coupon. and nine and 6% in year 10. Interest will be payable quarterly. payout at maturity will be par. notes will be callable quarterly beginning June 30, 2017. TD Securities (USA) LLC is the agent. notes ( 89114QTE8) will price June 25 and settle June 30. If either index falls below the 70% coupon barrier but each index finishes at or above the 50% trigger level, the payout will be par. Otherwise, investors will be fully exposed to any losses of the worst performing index. UBS Financial Services Inc. and UBS Investment Bank are the agents. notes will price on June 26 and on settle on June 30. Cusip number is 90274T825. Wednesday June 17, 2015 Page 7
New Barclays prices $14.45 million add-on to ipath Bloomberg Sugar ETNs By Angela McDaniels Tacoma, Wash., June 16 Barclays Bank plc priced an additional $14.45 million of 0% ipath exchange-traded notes due June 24, 2038 linked to the Bloomberg Sugar Subindex Total Return, according to a 424B2 filing with the Securities and Exchange Commission. $25 million principal amount of additional notes have a market price of $14,445,000 based on $28.89 per ETN, which is the average of the high and low prices of the ETNs reported on NYSE Arca on June 15. additional notes bring the issue size to $110 million. company priced the original $25 million of notes in June 2008. payout at maturity will be par of $50.00 plus the index return minus the investor fee. investor fee was zero on the initial pricing date and increases each day by an amount equal to 0.75% of par plus the index return on that day divided by 365. notes are putable at any time, subject to a minimum of 50,000 securities. payout will be calculated in the same way as the payout at maturity. notes are listed on the NYSE Arca under the symbol SGG. Barclays is the agent. Barclays Bank plc ipath Bloomberg Sugar Subindex Total Return exchange-traded notes Underlying index: Bloomberg Sugar Subindex Total Return Amount: $110 million, increased from $25 million Maturity: June 24, 2038 Coupon: 0% Price: Variable prices Payout at maturity: Par of $50 plus index return and minus investor fee of roughly 0.75% per year Put option: At any time, with payout determined in same way as at maturity; minimum redemption requirement of 50,000 notes Pricing dates: June 24, 2008 for $25 million; Aug. 17, 2009 for $12.5 million; Sept. 1, 2009 for $25 million; March 29 for $12.5 million; April 12, 2010 for $10 million; June 16 for $25 million Settlement dates: Agent: Fees: Listing: June 27, 2008 for original issue; Aug. 20, 2009 for first add-on; Sep. 4, 2009 for second add-on; April 1 for third add-on; April 15, 2010 for fourth add-on; June 17 for fifth add-on Barclays None NYSE Arca: SGG 06739H214 Wednesday June 17, 2015 Page 8
New Barclays prices $5.81 million trigger autocallable optimization notes on Euro Stoxx By Toni Weeks San Luis Obispo, Calif., June 16 Barclays Bank plc priced $5.81 million of 0% trigger autocallable optimization securities due June 18, 2020 linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission. notes will be called at par of $10 plus a call return of 8% per year if the index closes at or above the initial index level on any quarterly observation date after one year. If the notes are not called and the index finishes at or above the trigger level, 66.5% of the initial level, the payout at maturity will be par. Otherwise, investors will be fully exposed to any losses. UBS Financial Services Inc. and Barclays are the agents. Underlying index: Euro Stoxx 50 Amount: $5,807,970 Maturity: June 18, 2020 Coupon: 0% Price: Par of $10 Payout at maturity: Barclays Bank plc Trigger autocallable optimization securities Par if index finishes at or above trigger level; otherwise, full exposure to any losses Call: At par plus 8% per year if index closes at or above initial level on any quarterly observation date beginning June 17, 2016 Initial level: 3,502.77 Trigger level: 2,329.34, 66.5% of initial price Underwriters: Fees: 2.5% 06743P236 UBS Financial Services Inc. and Barclays Wednesday June 17, 2015 Page 9
New Barclays prices $3.31 mln phoenix autocallables linked to Whole Foods By Angela McDaniels Tacoma, Wash., June 16 Barclays Bank plc priced $3.31 million of phoenix autocallable notes due June 28, 2016 linked to the common stock of Whole Foods Market, Inc., according to a 424B2 filing with the Securities and Exchange Commission. Each quarter, the notes will pay a contingent coupon at the rate of 10.65% per year if Whole Foods shares close at or above the barrier price, 80% of the initial share price, on the observation date for that quarter. Otherwise, no coupon will be paid for that quarter. notes will be called at par plus the contingent coupon if the shares close at or above the initial price on any quarterly observation date. If the notes are not called and the shares finish at or above the barrier price, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will lose 1% for every 1% that the final share price is less than the initial share price. Barclays is the underwriter with J.P. Morgan Securities LLC as agent. Barclays Bank plc Phoenix autocallable notes Underlying stock: Whole Foods Market, Inc. (Symbol: WFM) Amount: $3,305,000 Maturity: June 28, 2016 Coupon: 10.65%, payable quarterly if shares close at or above barrier price on observation date for that quarter Price: Par Payout at maturity: Par plus contingent coupon if Whole Foods shares finish at or above barrier price; otherwise, full exposure to share price decline Call: Automatically at par plus contingent coupon if Whole Foods shares close at or above initial price on any quarterly observation date Initial share price: $40.37 Barrier price: $32.30, 80% of initial share price Underwriter: Barclays Agent: J.P. Morgan Securities LLC Fees: 1% 06741UYJ7 Wednesday June 17, 2015 Page 10
New Barclays prices $2.17 million contingent income autocallables linked to Wynn Resorts By Angela McDaniels Tacoma, Wash., June 16 Barclays Bank plc priced $2.17 million of contingent income autocallable securities due June 16, 2016 linked to the common stock of Wynn Resorts Ltd., according to a 424B2 filing with the Securities and Exchange Commission. Each quarter, the notes will pay a contingent payment at an annualized rate of 12% if Wynn Resorts shares close at or above the downside threshold level, 75% of the initial share price, on the determination date for that quarter. notes will be called at par of $10 plus the contingent coupon if Wynn Resorts shares close at or above the initial share price on any quarterly determination date other than the final determination date. If the final share price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, investors will receive a number of Wynn Resorts shares equal to $10 divided by the initial share price or, at the issuer s option, a cash amount equal to the value of those shares. Barclays is the agent. Morgan Stanley Wealth Management is a dealer. Barclays Bank plc Contingent income autocallable securities Underlying stock: Wynn Resorts Ltd. (Symbol: WYNN) Amount: $2,167,150 Maturity: June 16, 2016 Coupon: 12% per year, payable quarterly if Wynn Resorts shares close at or above downside threshold level on determination date for that quarter Price: Par of $10.00 Payout at maturity: If final share price is greater than or equal to downside threshold level, par plus final contingent coupon; otherwise, number of Wynn Resorts shares equal to $10 divided by initial share price or, at issuer s option, equivalent amount in cash Call: At par plus contingent coupon if Wynn Resorts shares close at or above initial share price on any quarterly determination date other than final determination date Initial share price: $102.79 Downside threshold: $77.093, 75% of initial share price Agent: Barclays Dealer: Morgan Stanley Wealth Management Fees: 1.75% 06743P152 Wednesday June 17, 2015 Page 11
New Barclays prices $1.5 million phoenix autocallables linked to S&P 500 By Angela McDaniels Tacoma, Wash., June 16 Barclays Bank plc priced $1 million of phoenix autocallable notes due June 17, 2020 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission. Every six months, the notes will pay a contingent coupon at the rate of 7.6% per year if the index closes at or above the barrier level, 75% of the initial index level, on the observation date for that semiannual period. Otherwise, no coupon will be paid for that semiannual period. notes will be called at par plus the contingent coupon if the index closes at or above the initial index level on any semiannual observation date other than the final one. If the notes are not called and the index finishes at or above the barrier level, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will lose 1% for every 1% that the final index level is less than the initial index level. Barclays is the agent. Barclays Bank plc Phoenix autocallable notes Underlying index: S&P 500 Amount: $1.5 million Maturity: June 17, 2020 Coupon: 7.6% per year, payable semiannually if index closes at or above barrier price on observation date for that semiannual period Price: Par Payout at maturity: Par plus contingent coupon if index finishes at or above barrier price; otherwise, full exposure to index s decline Call: Automatically at par plus contingent coupon if index closes at or above initial level on any semiannual observation date other than final one Initial index level: 2,094.11 Barrier level: 1,570.58, 75% of initial level Agent: Barclays Fees: None 06741UXE9 Wednesday June 17, 2015 Page 12
New Citigroup prices $18.43 million one-year 0% return notes linked to basket of 18 stocks By Toni Weeks San Luis Obispo, Calif., June 16 Citigroup Inc. priced $18.43 million of 0% return notes due June 29, 2016 linked to a basket of 18 stocks, equally weighted, according to a 424B2 filing with the Securities and Exchange Commission. basket stocks are Lions Gate Entertainment Corp., DISH Network Corp., Viacom Inc., YUM! Brands, Inc., Jarden Corp., Rite Aid Corp., Anadarko Petroleum Corp., First Republic Bank, Endo International plc, Actavis plc, Valeant Pharmaceutical International, Inc., Jazz Pharmaceuticals plc, BioMarin Pharmaceutical Inc., Juno rapeutics, Inc., Akorn, Inc., FireEye, Inc., Tableau Software, Inc. and Workday, Inc. payout at maturity will be par plus the basket return multiplied by a basket adjustment factor of 99.1%. Investors will lose some or all of their investment at maturity if the basket appreciates by less than 0.9082%. For each basket component, the final stock price will be the average of the closing stock prices on the five trading days ending June 24, 2016. Citigroup Global Markets Inc. is the underwriter. J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents. Underlying basket: Citigroup Inc. Return notes Lions Gate Entertainment Corp., DISH Network Corp., Viacom Inc., YUM! Brands, Inc., Jarden Corp., Rite Aid Corp., Anadarko Petroleum Corp., First Republic Bank, Endo International plc, Actavis plc, Valeant Pharmaceutical International, Inc., Jazz Pharmaceuticals plc, BioMarin Pharmaceutical Inc., Juno rapeutics, Inc., Akorn, Inc., FireEye, Inc., Tableau Software, Inc. and Workday, Inc., equally weighted Amount: $18,426,000 Maturity: June 29, 2016 Coupon: 0% Price: Payout at maturity: Initial basket level: 100 Underwriter: Agents: Fees: 1% 17298CCF3 Par Par plus basket return multiplied by 99.1% Citigroup Global Markets Inc. J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA Wednesday June 17, 2015 Page 13
New Credit Suisse prices $6.65 million more VelocityShares Daily Inverse VIX Short Term ETNs New York, June 16 Credit Suisse AG, Nassau Branch priced another $6.65 million of 0% VelocityShares Daily Inverse VIX Short Term ETNs due Dec. 4, 2030 linked to the S&P 500 VIX Short-Term Futures index, according to a 424B2 filing with the Securities and Exchange Commission. $1.5 million principal amount add-on priced at 443.362 for proceeds of $6,650,430. original $5 million of notes priced on Nov. 29, 2010. payout at maturity will equal the closing indicative value of the notes on Nov. 29, 2030. On June 27, 2011, the issuer effected a 10-for-1 split of the notes, which now have a stated principal amount of $10.00. closing indicative value of the notes on the inception date was $10. On subsequent days, it equals (a) (i) the closing indicative value on the preceding day times (ii) the daily ETN performance of the notes on that day minus (b) the daily investor fee. closing indicative value will never be less than zero. If the intraday indicative value of the notes is zero or less at any time or the closing indicative value is equal to zero, the closing indicative value of the notes on that day and on all following days will be zero. daily ETN performance equals (a) one plus (b) the daily accrual plus (c) the index return over the previous day s closing index level times negative one. daily accrual is the rate of interest that could be earned on a notional capital reinvestment at the 91-day Treasury rate. daily investor fee is an annualized amount equal to 1.35% of the closing indicative value on the preceding day. notes are putable at a minimum of 25,000 notes. Holders will receive the closing indicative value minus an early redemption charge of 0.05%. company can accelerate the notes if their intraday indicative value is ever 20% or less of the prior day s closing indicative value. notes are listed on the NYSE Arca under the ticker symbol XIV. Credit Suisse Securities (USA) LLC is the agent. VLS Securities, LLC will receive all or part of the daily investor fee in consideration for its role in marketing and placing the securities under the VelocityShares brand. Credit Suisse AG, Nassau Branch VelocityShares Daily Inverse VIX Short Term ETN Underlying index: S&P 500 VIX Short-Term Futures Amount: $2,537,088,830, increased from original $5 million Proceeds: $6,650,430 for latest $1.5 million Maturity: Dec. 4, 2030 Coupon: 0% Prices: Par of $10 for original $5 million; 443.362 for latest $1.5 million Payout at maturity: Amount equal to closing indicative value of notes on Feb. 2, 2032 Closing indicative value: Closing indicative value on preceding day times daily ETN performance on that day minus daily investor fee; daily ETN performance equals one plus daily accrual plus negative one times index s return over previous day s closing level Put option: Subject to minimum of 25,000 notes and 0.05% early redemption charge Acceleration: If intraday indicative value of notes on any day is 20% or less of prior day s closing indicative value Pricing date: Feb. 7, 2012 for original issue; June 15 for latest add-on Settlement date: Feb. 10, 2012 for original issue; June 16 for latest add-on Agent: Credit Suisse Securities (USA) LLC Fees: 0.00% Listing: NYSE Arca: XIV 22542D795 Wednesday June 17, 2015 Page 14
New Credit Suisse prices $6.18 million trigger phoenix autocallables on S&P, Russell By Marisa Wong Madison, Wis., June 16 Credit Suisse AG, London Branch priced $6.18 million of trigger phoenix autocallable optimization securities due June 18, 2025 linked to the worst performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission. notes will pay a contingent quarterly coupon at an annual rate of 7.1% if each index closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that quarter. notes will be called at par if each index closes at or above its initial level on any quarterly observation date after one year. payout at maturity will be par plus the final contingent coupon unless either index finishes below its 50% trigger level, in which case investors will be fully exposed to any losses of the worse performing index. UBS Financial Services Inc. is the distributor. Credit Suisse AG, London Branch Trigger phoenix autocallable optimization securities Underlying indexes: S&P 500 and Russell 2000 Amount: $6,180,900 Maturity: June 18, 2025 Coupon: Price: Payout at maturity: 7.1% per year, payable quarterly if each index closes at or above coupon barrier level on observation date for that quarter Par If each index finishes at or above trigger level, par plus final contingent coupon, if any; otherwise, full exposure to losses of worse performing index Call: At par if each index closes at or above initial level on any quarterly observation date after one year Initial levels: 2,094.11 for S&P, 1,265.022 for Russell Barrier levels: 1,465.88 for S&P, 885.515 for Russell; 70% of initial levels Trigger levels: 1,047.06 for S&P, 632.511 for Russell; 50% of initial levels Distributor: UBS Financial Services Inc. Fees: 3.5% 22548F190 Wednesday June 17, 2015 Page 15
New Credit Suisse prices $3.43 million contingent coupon buffered autocallables on indexes By Toni Weeks San Luis Obispo, Calif., June 16 Credit Suisse AG, London Branch priced $3.43 million of autocallable contingent coupon buffered securities due June 18, 2018 linked to the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission. Each quarter, if a coupon barrier event does not occur, the notes will pay a contingent coupon at the rate of 7.7% per year for that quarter. If a coupon barrier event does occur, no coupon will be paid that quarter. A coupon barrier event will occur if the closing level of either index is less than its coupon barrier level, 75% of its initial level, on the observation date for that quarter. Beginning after one year, the notes will be automatically called at par if each index closes at or above its initial level on any quarterly observation date. If the notes are not called and the final level of the lowest-performing index is at least 75% of its initial level, the payout will be par. Otherwise, investors will lose 1.3333% for every 1% that the lowestperforming index declines beyond 25%. Credit Suisse Securities (USA) LLC is the agent. Credit Suisse AG, London Branch Autocallable contingent coupon buffered securities Underlying indexes: Russell 2000 and Euro Stoxx 50 Amount: $3,428,000 Maturity: June 18, 2018 Coupon: Coupon barrier event: Price: Payout at maturity: If no coupon barrier event occurs, contingent coupon will be paid at rate of 7.7% per year for that quarter; if coupon barrier event does occur, no coupon will be paid that quarter Closing level of either index is less than its coupon barrier level on observation date for that quarter Par If final level of lowest-performing index is at least 75% of initial level, par; otherwise, 1.3333% loss for every 1% that lowest-performing index declines beyond 25% Call: Beginning June 14, 2016, notes will be automatically called at par if each index closes at or above initial level on any quarterly observation date Initial levels: 1,265.022 for Russell 2000 and 3,502.77 for Euro Stoxx 50 Coupon barriers: 948.7665 for Russell 2000 and 2,627.0775 for Euro Stoxx 50; 75% of initial levels Underwriter: Fees: 0.1% 22546VFJ0 Credit Suisse Securities (USA) LLC Wednesday June 17, 2015 Page 16
New Credit Suisse prices $1.78 million more VelocityShares 3x Long Silver ETNs By Susanna Moon Chicago, June 16 Credit Suisse AG, Nassau Branch priced another $1.78 million of 0% VelocityShares 3x Long Silver ETNs due Oct. 14, 2031 linked to the S&P GSCI Silver Index Excess Return index, according to a 424B2 filing with the Securities and Exchange Commission. $50 million principal amount of add-ons priced in two tranches with $25 million at 3.56284 for proceeds of $890,710 and $25 million at 3.5635 for proceeds of $890,875. original $5 million of notes priced on Oct. 14, 2011. payout at maturity will equal the closing indicative value of the notes on Oct. 8, 2031. On Aug. 30, 2013, the company implemented a 1-for-10 reverse split of the notes, increasing the face amount to $500 from $50, and changed the Cusip number from 22542D662. closing indicative value of the notes on the inception date was $500. On subsequent days, it equals (a) (i) the closing indicative value on the preceding day times (ii) the daily ETN performance of the notes on that day minus (b) the daily investor fee. closing indicative value will never be less than zero. If the intraday indicative value of the notes is zero or less at any time or the closing indicative value is equal to zero, the closing indicative value of the notes on that day and on all following days will be zero. daily ETN performance equals (a) one plus (b) the daily accrual plus (c) the index return over the previous day s closing index level times three. daily accrual is the rate of interest that could be earned on a notional capital reinvestment at the 91-day Treasury rate. daily investor fee is an annualized amount equal to 1.65% of the closing indicative value on the preceding day. notes are putable at a minimum of 25,000 notes. Holders will receive the closing indicative value minus an early redemption charge of 0.05%. company can accelerate the notes if their intraday indicative value is ever 15% or less of the prior day s closing indicative value. notes are listed on the NYSE Arca under the ticker symbol USLV. Credit Suisse Securities (USA) LLC is the agent. VLS Securities, LLC will receive all or part of the daily investor fee in consideration for its role in marketing and placing the securities under the VelocityShares brand. Underlying index: Amount: Credit Suisse AG, Nassau Branch VelocityShares 3x Long Silver ETN S&P GSCI Silver Index Excess Return $7,400,045,027.5, increased from original $5 million Proceeds: $890,710 for $25 million; $890,875 for $25 million Maturity: Oct. 14, 2031 Coupon: 0% Prices: Payout at maturity: Closing indicative value: Par of $500 for original $5 million; 3.56284 for $25 million, 3.5635 for $25 million Amount equal to closing indicative value of notes on Feb. 2, 2032 Closing indicative value on preceding day times daily ETN performance on that day minus daily investor fee; daily ETN performance equals one plus daily accrual plus three times index s return over previous day s closing level Put option: Subject to minimum of 25,000 notes and 0.05% early redemption charge Acceleration: If intraday indicative value of notes on any day is 15% or less of prior day s closing indicative value Pricing date: Feb. 7, 2012 for original issue; June 15 for $50 million Settlement date: Feb. 10, 2012 for original issue; June 16 for $25 million, June 18 for $25 million Agent: Credit Suisse Securities (USA) LLC Fees: 0.00% Listing: NYSE Arca: USLV 22539T597 Wednesday June 17, 2015 Page 17
New Credit Suisse prices $852,438 call warrants linked to JPX-Nikkei 400 By Angela McDaniels Tacoma, Wash., June 16 Credit Suisse AG, Nassau Branch priced $852,438 call warrants expiring June 15, 2018 linked to the JPX-Nikkei Index 400, according to a 424B2 filing with the Securities and Exchange Commission. notional amount is $1,000 per warrant. issue price is $144.80 per warrant, or 14.48% of the notional amount. minimum initial investment is 70 warrants. warrants will be automatically exercised on the expiration date. If the final index level is greater than the initial index level, the payout will be $1,000 multiplied by the index return. If the final index level is less than or equal to the initial level, the warrants will expire worthless and investors will lose their entire investments in the warrants. J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents. Credit Suisse AG, Nassau Branch Call warrants Underlying index: JPX-Nikkei Index 400 Warrants: 5,887 Notional amount: $1,000 each, or $5,887,000 total Price: $144.80 each, or $852,437.60 total Expiration date: June 15, 2018 Payout: If index s final level is greater than initial index level, notional amount multiplied by index return; if index s final level is equal to or less than initial index level, zero Initial index level: 14,903.36 Agents: J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA Fees: $6.50 per warrant 22542D415 Wednesday June 17, 2015 Page 18