Tuesday April 14, 2015 S tructured Structured Products Current Year ALL U.S. STRUCTURED PRODUCTS Year to Date: $18.858 billion in 2657 deals Quarter to Date: $0.943 billion in 124 deals Month to Date: $0.943 billion in 124 deals $15.567 billion in 2812 deals $1.394 billion in 243 deals $1.394 billion in 243 deals BREAKDOWN OF YEAR TO DATE DEALS EXCHANGE-TRADED NOTES $5.665 billion in 304 deals $3.148 billion in 281 deals ALL U.S. STOCK AND EQUITY INDEX DEALS $12.391 billion in 2002 deals $10.809 billion in 2233 deals SINGLE STOCK U.S. STRUCTURED PRODUCTS $2.343 billion in 936 deals Previous Year $3.464 billion in 1321 deals STOCK INDEX U.S. STRUCTURED PRODUCTS $9.539 billion $6.818 billion in 1023 deals in 873 deals FX U.S. STRUCTURED PRODUCTS $0.085 billion in 29 deals $0.113 billion in 22 deals COMMODITY U.S. STRUCTURED PRODUCTS $3.855 billion in 299 deals $2.374 billion in 219 deals INTEREST RATE STRUCTURED PRODUCTS $0.147 billion in 23 deals $0.640 billion in 56 deals INTEREST RATE STRUCTURED COUPONS $19.137 billion in 680 deals $12.579 billion in 479 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. HSBC s leveraged buffered notes linked to PowerShares S&P 500 offer low-volatility strategy By Emma Trincal New York, April 13 HSBC USA Inc. s 0% leveraged buffered uncapped market participation securities due April 23, 2018 linked to the PowerShares S&P 500 High Dividend Portfolio offer investors exposure to a low-volatility, high-dividend strategy some investors may seek as a way to reduce risk. But sources debated the pros and cons of using a note rather than a fund in order to get access to the low-volatility strategy. payout at maturity will be par plus at least 1.1 times any fund gain with the exact participation rate to be set at pricing, according to an FWP filing with the Securities and Exchange Commission. Investors will receive par if the fund falls by up to 15% and will lose 1% for every 1% decline beyond 15%. underlying fund tracks the return of the S&P 500 Low Volatility index, which is a measure of the performance of the 50 least-volatile, high dividend-yielding stocks in the S&P 500 index. Cornerstone Carl Kunhardt, wealth adviser at Quest Capital Management, said he likes the notes mostly for the underlying theme. This is right up my alley. I use this type of fund as a cornerstone for building up a U.S. portfolio, he said. You want to have an allocation to low-volatility, low-beta and high-dividend stocks. With a six-year bull market and the concern of rising market volatility, you have to start looking for ways to mitigate risk with low-volatility funds. Passive management, he noted, is the most efficient way to implement these types of strategies because they can provide clients with a less-expensive investment and therefore extra value. Barclays plans callable contingent coupon notes tied to Valero Energy By Susanna Moon Chicago, April 13 Barclays Bank plc plans to price callable contingent coupon notes due April 20, 2017 linked to Valero Energy Corp. shares, according to a 424B2 filing with the Securities and Exchange Commission. notes will pay a contingent quarterly coupon at an annualized rate of 12% if Valero Energy shares close above the 72% barrier level on the valuation date for that quarter. Continued on page 2 notes are callable at par plus the contingent coupon on any interest payment date. payout at maturity will be par unless Valero Energy shares finish below the 72% barrier level, in which case investors will be fully exposed to any losses. Barclays is the agent. notes will price on April 14 and settle on April 17. Cusip number is 06741WAL4.
S&P Dow Jones opens S&P Global Sovereign Inflation-Linked Bond indexes By Tali Rackner Norfolk, Va., April 13 S&P Dow Jones Indices announced the launch of the S&P Global Sovereign Inflation-Linked Bond indexes, a new family of global inflation-linked sovereign indexes to effectively measure inflation-linked country debt within developed and emerging markets, according to a press release. indexes are broad, comprehensive, market value-weighted indexes that seek to measure the performance of the inflation-linked securities market, S&P said. y are comprised of a universe of fixed-rate, locally denominated inflationlinked sovereign debt publicly issued by governments in their domestic markets. index family includes the S&P Global Developed Sovereign Inflation- Linked Bond index, which tracks the performance of developed-market inflation-linked sovereign debt issued by Australia, Canada, Denmark, Israel, Japan, New Zealand, South Korea, Sweden, the United Kingdom, the United States and the Eurozone; the S&P Eurozone Sovereign Inflation-Linked Bond index, a subset of the S&P Global Developed Sovereign Inflation-Linked Bond index that tracks the performance of developed-market Eurozone inflation-linked sovereign debt issued by France, Germany, Italy and Spain; and the S&P Global Emerging Sovereign Inflation-Linked Bond index, which tracks the performance of emerging-market inflation-linked sovereign debt and currently consists of country debt issued by Brazil, India, Poland, South Africa, Thailand and Turkey. Individual country indexes are available for all three. New York-based S&P Dow Jones Indices is a part of McGraw Hill Financial and provides index-based concepts, data and research. HSBC s leveraged buffered notes linked to PowerShares S&P 500 offer low-volatility strategy Continued from page 1 Kunhardt said he invests in two lowvolatility ETFs. One is the PowerShares fund used in the notes, and the other is the ishares MSCI USA Minimum Volatility ETF. I like the ishares better because there s more liquidity, but the PowerShares and the ishares are very similar, he said. I m going to have that low-volatility, high-dividend strategy as a cornerstone of my portfolio anyway. se are the blue chips. If you re not investing in that, you re speculating. Term Kunhardt said the term of the notes is not relevant. Given that I m investing in this type of portfolio anyway, it doesn t matter if I m going to be invested for three years, five years or seven years, he said. Actually, the longer, the better because the longer you are invested in the index the less likely you are to have a negative return. ETF versus notes only real question in his view is whether to invest in low-volatility and highdividend strategies through an ETF or via a structured note, such as the HSBC product. You re getting a little bit of leverage on the upside, a true buffer on the downside, he said. My only negative is the cost of the structured note, which is one of the reasons I wouldn t do the entire investment in it. re is another reason, which is the lack of dividends. Investors in the notes are willing to forgo dividends or other distributions paid to holders of the underlying ETF, according to the prospectus. fund carries a dividend yield of 3.25%. I may do one-third in the note only and the rest in the ETF, he said. Giving away too much For Kirk Chisholm, wealth manager and principal at Innovative Advisory Group, not getting paid the dividends from the underlying fund is a deal-breaker. Why would I be interested in a note tied to a high paying-dividend index if I m not going to get any dividends? he said. We know that dividends contribute to half of stock returns, so why would you take that away? It s like investing in high-yield bonds and not taking the interest. I don t see the point in doing that. He added that selecting high-dividend stocks means earning less in price appreciation compared to growth stocks. You re taking more than just half of the performance out because you re also investing in high-yielding stocks, which tend to show less potential for price appreciation than growth stocks. It s like giving up the best of both worlds, he said. When you buy this note, you agree to give up 3.25% per year during the threeyear term. You know you re not going to get the dividend, and you can expect a much lower return from the capital appreciation. I don t see any upside to this investment. buffer is nice, the 1.1 leverage is nice, but what s really nice is if you get the dividends. HSBC Securities (USA) Inc. is the agent. notes will price on April 17 and settle on April 22. Cusip number is 40433BP44. Tuesday April 14, 2015 Page 2
Bank of Montreal to price buffered bullish return notes on Euro Stoxx Madison, Wis., April 13 Bank of Montreal plans to price 0% buffered bullish digital return notes due Oct. 31, 2018 linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Bank of Montreal plans absolute return notes tied to ishares MSCI EAFE By Angela McDaniels Tacoma, Wash., April 13 Bank of Montreal plans to price 0% contingent risk absolute return notes due April 28, 2017 linked to the ishares MSCI EAFE index fund, according to a 424B2 filing with the Securities and Exchange Commission. If the ETF return is positive, the payout at maturity will be par plus the ETF return. Bank of Montreal plans absolute return notes linked to ishares MSCI EM By Angela McDaniels Tacoma, Wash., April 13 Bank of Montreal plans to price 0% contingent risk absolute return notes due April 28, 2017 linked to the ishares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission. If the ETF return is positive, the payout Exchange Commission. If the index return is zero or positive, the payout at maturity will be par plus the digital return of 25%. If the index falls by up to 15%, the payout will be par. Investors will lose 1% for If the ETF return is less than or equal to zero and a barrier event has not occurred, the payout will be par plus the absolute value of the ETF return. A barrier event will occur if the ETF closes below the barrier level on any during the life of the notes. barrier level is expected to be 72% to 76% of the initial share price and will be set at pricing. at maturity will be par plus the ETF return. If the ETF return is less than or equal to zero and a barrier event has not occurred, the payout will be par plus the absolute value of the ETF return. A barrier event will occur if the ETF closes below the barrier level on any during the life of the notes. barrier level is expected to be 73.5% to 77.5% of the initial share price and will be every 1% decline beyond the 15% buffer. BMO Capital Markets Corp. will be the agent. notes will price April 27 and settle April 30. Cusip number is 06366RH99. If the ETF return is less than or equal to zero and a barrier event has occurred, investors will be fully exposed to the ETF s decline. BMO Capital Markets Corp. is the agent. notes are expected to price April 27 and settle April 30. Cusip number is 06366RJ30. set at pricing. If the ETF return is less than or equal to zero and a barrier event has occurred, investors will be fully exposed to the ETF s decline. BMO Capital Markets Corp. is the agent. notes are expected to price April 27 and settle April 30. Cusip number is 06366RJ48. Bank of Montreal to price contingent risk absolute return notes on S&P By Angela McDaniels Tacoma, Wash., April 13 Bank of Montreal plans to price 0% contingent risk absolute return notes due April 28, 2017 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission. If the index return is positive, the payout at maturity will be par plus the index return. If the index return is less than or equal to zero and a barrier event has not occurred, the payout will be par plus the absolute value of the index return. A barrier event will occur if the index closes below the barrier level on any during the life of the notes. barrier level is expected to be 76.5% to 80.5% of the initial index level and will be set at pricing. If the index return is less than or equal to zero and a barrier event has occurred, investors will be fully exposed to the index s decline. BMO Capital Markets Corp. is the agent. notes are expected to price April 27 and settle April 30. Cusip number is 06366RJ55. Tuesday April 14, 2015 Page 3
Barclays plans buffered digital notes due 2017 linked to Russell 2000 Madison, Wis., April 13 Barclays Bank plc plans to price 0% buffered digital notes due Oct. 30, 2017 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission. If the index finishes at or above the initial level, the payout at maturity will be par plus the digital return of 15% to 16%. Investors will receive par if the index falls by up to 15% and will lose 1% for each 1% decline beyond 15%. Barclays is the agent. notes will price April 28 and settle April 30. Cusip number is 06741UTJ3. Barclays plans leveraged notes tied to Taiwan, Hang Seng China indexes By Susanna Moon Chicago, April 13 Barclays Bank plc plans to price 0% capped leveraged notes linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission. notes will mature between 18 and 21 months after pricing. basket consists of the Taiwan Stock Exchange Capitalization Weighted Stock index with an 80% weight and the Hang Seng China Enterprises index with a 20% weight. payout at maturity will be par plus 1.68 times to 1.8 times any basket gain. Investors will be exposed to any losses. exact deal terms will be set at pricing. Barclays is the agent. Cusip number is 06741UUD4. Barclays plans callable step-up range accrual notes on two indexes Madison, Wis., April 13 Barclays Bank plc plans to price callable step-up range accrual notes due April 30, 2025 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission. Interest will accrue at the above barrier rate for each day that each index closes at or above the coupon barrier level, 72.5% of the initial level. Interest will be payable quarterly. above barrier rate per quarter is 2.25% for the first four years, stepping up to 2.75% after April 2019 and to 3.25% after April 2023. payout at maturity will be par if the index falls by up to 50%, and investors will be exposed to any losses beyond 50%. notes will be callable at par on any interest payment date after one year. Barclays is the agent. notes will price April 27 and settle April 30. Cusip number is 06741UTS3. CIBC plans contingent coupon autocallables linked to Barrick Gold By Toni Weeks San Luis Obispo, Calif., April 13 Canadian Imperial Bank of Commerce plans to price autocallable equity-linked notes due April 30, 2018 tied to the common stock of Barrick Gold Corp., according to a 424B3 filing with the Securities and Exchange Commission. notes will pay a contingent coupon of 11.4% per year if the Barrick Gold stock price is equal to or greater than the barrier price, 70% of the initial price, on any quarterly valuation date. notes will be automatically called at par plus interest if the price of Barrick Gold stock is greater than or equal to the initial price on any quarterly valuation date beginning April 27, 2016. If the notes are not called and the final share price is at least 70% of the initial price, the payout at maturity will be par plus the final coupon. Otherwise, investors will be fully exposed to the decline in the stock price from the initial price. notes (Cusip: 13605WAM3) are expected to price April 27 and settle April 30. Janney Montgomery Scott is the underwriter. Tuesday April 14, 2015 Page 4
CIBC plans contingent coupon autocallables on Keurig Green Mountain By Toni Weeks San Luis Obispo, Calif., April 13 Canadian Imperial Bank of Commerce plans to price autocallable equity-linked notes due April 30, 2018 tied to the common stock of Keurig Green Mountain, Inc., according to a 424B3 filing with the Securities and Exchange Commission. notes will pay a contingent coupon of 12.8% per year if the Keurig Green Mountain stock price is equal to or greater than the barrier price, 70% of the initial price, on any quarterly valuation date. notes will be automatically called at par plus interest if the price of Keurig Green Mountain stock is greater than or equal to the initial price on any quarterly valuation date beginning April 27, 2016. If the notes are not called and the final share price is at least 70% of the initial price, the payout at maturity will be par plus the final coupon. Otherwise, investors will be fully exposed to the decline in the stock price from the initial price. notes (Cusip: 13605WAL5) are expected to price April 27 and settle April 30. Janney Montgomery Scott is the underwriter. CIBC plans contingent coupon autocallables tied to United Continental By Toni Weeks San Luis Obispo, Calif., April 13 Canadian Imperial Bank of Commerce plans to price autocallable equity-linked notes due April 30, 2018 tied to the common stock of United Continental Holdings, Inc., according to a 424B3 filing with the Securities and Exchange Commission. notes will pay a contingent coupon of 11.4% per year if the U.S. Steel stock price is equal to or greater than the barrier price, 70% of the initial price, on any quarterly valuation date. notes will be automatically called at par plus interest if the price of U.S. Steel stock is greater than or equal to the initial price on any quarterly valuation date beginning April 27, 2016. If the notes are not called and the final share price is at least 70% of the initial price, the payout at maturity will be par plus the final coupon. Otherwise, investors will be fully exposed to the decline in the stock price from the initial price. notes (Cusip: 13605WAP6) are expected to price April 27 and settle April 30. Janney Montgomery Scott is the underwriter. CIBC to price contingent coupon autocallables linked to U.S. Steel By Toni Weeks San Luis Obispo, Calif., April 13 Canadian Imperial Bank of Commerce plans to price autocallable equity-linked notes due April 30, 2018 tied to the common stock of United States Steel Corp., according to a 424B3 filing with the Securities and Exchange Commission. notes will pay a contingent coupon of 15.4% per year if the U.S. Steel stock price is equal to or greater than the barrier price, 70% of the initial price, on any quarterly valuation date. notes will be automatically called at par plus interest if the price of U.S. Steel stock is greater than or equal to the initial price on any quarterly valuation date beginning April 27, 2016. If the notes are not called and the final share price is at least 70% of the initial price, the payout at maturity will be par plus the final coupon. Otherwise, investors will be fully exposed to the decline in the stock price from the initial price. notes (Cusip: 13605WAN1) are expected to price April 27 and settle April 30. Janney Montgomery Scott is the underwriter. Tuesday April 14, 2015 Page 5
Credit Suisse plans to price Bares due 2016 on ishares MSCI EAFE By Susanna Moon Chicago, April 13 Credit Suisse AG plans to price 0% Buffered Accelerated Return Equity Securities due Oct. 18, 2016 linked to the ishares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission. payout at maturity will be par plus 125% of any gain in the fund, up to a return cap of 19.5%. Investors will receive par if the shares Credit Suisse plans to price Bares linked to index basket By Toni Weeks San Luis Obispo, Calif., April 13 Credit Suisse AG plans to price 0% Buffered Accelerated Return Equity Securities due April 18, 2019 linked to a basket of unequally weighted indexes, according to a 424B2 filing with the Securities and Exchange Commission. basket components are the S&P 500 index with a 37.5% weight, the Euro Stoxx 50 index with a 37.5% weight and the Nikkei 225 index with a 25% weight. If the basket return is positive, the payout at maturity will be par plus the basket return, subject to a maximum return that is expected to be 51% and will be set at pricing. fall by up to 15% and will lose 1.17647% for each 1% decline beyond 15%. Credit Suisse Securities (USA) LLC is the underwriter. notes will settle on April 16. Cusip number is 22546VBT2. Investors will receive par if the basket falls by up to 15% and will be exposed to any losses beyond the 15% buffer. Credit Suisse Securities (USA) LLC is the underwriter. notes are expected to price April 14 and settle April 17. Cusip number is 22546VBU9. Goldman Sachs plans leveraged buffered notes linked to Euro Stoxx 50 By Angela McDaniels Tacoma, Wash., April 13 Goldman Sachs Group, Inc. plans to price five-year 0% leveraged buffered notes due linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission. If the index return is positive, the payout at maturity will be par plus 1.25 to 1.35 times the index return. exact participation rate will be set at pricing. Investors will receive par if the index declines by 25% or less and will lose 1.3333% for every 1% that it declines beyond 25%. Goldman Sachs & Co. is the underwriter. Cusip number is 38147QZ58. Goldman Sachs plans leveraged buffered notes linked to MSCI EAFE By Angela McDaniels Tacoma, Wash., April 13 Goldman Sachs Group, Inc. plans to price five-year 0% leveraged buffered notes due linked to the MSCI EAFE index, according to a 424B2 filing with the Securities and Exchange Commission. If the index return is positive, the payout at maturity will be par plus 1.2 to 1.3 times the index return. exact participation rate will be set at pricing. Investors will receive par if the index declines by 25% or less and will lose 1.3333% for every 1% that it declines beyond 25%. Goldman Sachs & Co. is the underwriter. Cusip number is 38147QZ41. Tuesday April 14, 2015 Page 6
Goldman Sachs to price range accrual notes linked to Russell 2000 By Angela McDaniels Tacoma, Wash., April 13 Goldman Sachs Group, Inc. plans to price callable monthly Russell 2000 index-linked range accrual notes due April 22, 2025, according to a 424B2 filing with the Securities and Exchange Commission. interest rate is 7.4% 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. 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 April 22, 2016, the notes will be callable at par on any interest payment date. Goldman Sachs & Co. is the underwriter. notes are expected to price April 17 and settle April 22. Cusip number is 38147QZ33. HSBC plans two-year buffered AMPS linked to Energy Select Sector fund Madison, Wis., April 13 HSBC USA Inc. plans to price 0% buffered Accelerated Market Participation Securities due May 1, 2017 linked to the Energy Select Sector SPDR fund, according to an FWP filing with the Securities and Exchange Commission. If the fund return is positive, the payout at maturity will be par plus double the fund return, subject to a maximum return that is expected to be at least 20% and will be set at pricing. Investors will receive par if the fund declines by 10% or less and will lose 1% for every 1% that it declines beyond 10%. HSBC Securities (USA) Inc. is the agent. notes will price April 27 and settle April 30. Cusip number is 40433BM21. HSBC plans two-year buffered AMPS linked to Euro Stoxx 50 index Madison, Wis., April 13 HSBC USA Inc. plans to price 0% buffered Accelerated Market Participation Securities due May 1, 2017 linked to the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission. If the index return is positive, the payout at maturity will be par plus double the index return, subject to a maximum return that is expected to be at least 22% and will be set at pricing. Investors will receive par if the index declines by 10% or less and will lose 1% for every 1% that it declines beyond 10%. HSBC Securities (USA) Inc. is the agent. notes will price April 27 and settle April 30. Cusip number is 40433BL97. HSBC plans leveraged buffered uncapped notes tied to Hang Seng China Madison, Wis., April 13 HSBC USA Inc. plans to price 0% leveraged buffered uncapped market participation securities due April 30, 2020 linked to the Hang Seng China Enterprises index, according to an FWP filing with the Securities and Exchange Commission. If the index return is greater than zero, the payout at maturity will be par plus 120% of the index return. Investors will receive par if the index falls by 15% or less and will lose 1% for every 1% that the index declines beyond 15%. HSBC Securities (USA) Inc. is the agent. notes will price April 27 and settle April 30. Cusip number is 40433BL63. Tuesday April 14, 2015 Page 7
HSBC plans return optimization notes on ishares MSCI Emerging Markets Madison, Wis., April 13 HSBC USA Inc. plans to price 0% return optimization securities due May 31, 2016 linked to the ishares MSCI Emerging Markets exchange-traded fund, according to an FWP with the Securities and Exchange Commission. payout at maturity will be par plus triple any gain in the fund, up to a maximum return of 13.7% to 16.7%. exact cap will be set at pricing. Investors will be exposed to any losses. HSBC Securities (USA) Inc. will be the underwriter with UBS Financial Services Inc. as the agent. notes will price April 27 and settle April 30. Cusip number is 40434G668. HSBC plans buffered uncapped notes on PowerShares S&P High Dividend Madison, Wis., April 13 HSBC USA Inc. plans to price 0% buffered uncapped market participation securities due April 30, 2020 linked to the PowerShares S&P 500 High Dividend Portfolio, according to an FWP filing with the Securities and Exchange Commission. payout at maturity will be par plus at least 1.2 times any fund gain. exact upside participation rate will be set at pricing. Investors will receive par if the fund falls by up to 20% and will lose 1% for every 1% decline beyond the buffer. HSBC Securities (USA) Inc. is the agent. notes will price April 27 and settle April 30. Cusip number is 40433BM883. HSBC plans two-year buffered AMPS linked to Russell 2000 index Madison, Wis., April 13 HSBC USA Inc. plans to price 0% buffered Accelerated Market Participation Securities due May 1, 2017 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission. If the index return is positive, the payout at maturity will be par plus double the index return, subject to a maximum return that is expected to be at least 18% and will be set at pricing. Investors will receive par if the index declines by 10% or less and will lose 1% for every 1% that it declines beyond 10%. HSBC Securities (USA) Inc. is the agent. notes will price April 27 and settle April 30. Cusip number is 40433BL89. HSBC plans two-year buffered AMPS linked to S&P 500 index Madison, Wis., April 13 HSBC USA Inc. plans to price 0% buffered Accelerated Market Participation Securities due May 1, 2017 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission. If the index return is positive, the payout at maturity will be par plus double the index return, subject to a maximum return that is expected to be at least 13.5% and will be set at pricing. Investors will receive par if the index declines by 10% or less and will lose 1% for every 1% that it declines beyond 10%. HSBC Securities (USA) Inc. is the agent. notes will price April 27 and settle April 30. Cusip number is 40433BL71. Tuesday April 14, 2015 Page 8
JPMorgan plans contingent coupon callable yield notes on indexes, fund Madison, Wis., April 13 JPMorgan Chase & Co. plans to price contingent coupon callable yield notes due Nov. 1, 2016 linked to the worst-performing of the Euro Stoxx 50 index, the Russell 2000 index and the ishares MSCI EAFE exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission. notes will pay a contingent quarterly coupon at an annualized rate of at least 10.25% if each underlying component closes at or above its 75% barrier level on the observation date for that quarter. exact coupon will be set at pricing. notes are callable at par plus the contingent coupon on any interest payment date other than the final date. payout at maturity will be par unless any component finishes below its 75% trigger level, in which case investors will receive par plus the return of the worstperforming component. J.P. Morgan Securities LLC is the agent. notes will price April 27 and settle April 30. Cusip number is 48125UMK5. JPMorgan plans enhanced participation notes on basket of two indexes By Toni Weeks San Luis Obispo, Calif., April 13 JPMorgan Chase & Co. plans to price 0% notes due Oct. 19, 2016 linked to a basket of two unequally weighted indexes, according to a 424B2 filing with the Securities and Exchange Commission. basket consists of the Taiwan Stock Exchange Capitalization Weighted Stock index with an 80% weight and the Hang Seng China Enterprises index with a 20% weight. If the basket return is positive, the payout at maturity will be par plus 1.5 to 1.75 times the basket return, with the exact participation rate to be set at pricing. Investors will be exposed to any losses. notes (Cusip: 48125UNE8) will price April 14 and settle April 21. J.P. Morgan Securities LLC is the underwriter. Morgan Stanley plans contingent income autocallables on S&P GSCI Crude By Susanna Moon Chicago, April 13 Morgan Stanley plans to price contingent income autocallable securities due Oct. 20, 2015 linked to the S&P GSCI Crude Oil Index - Excess Return, according to an FWP filing with the Securities and Exchange Commission. notes will pay a contingent Morgan Stanley plans autocallable securities linked to S&P 500 Madison, Wis., April 13 Morgan Stanley plans to price 0% autocallable securities due May 3, 2018 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission. notes will be called at par plus a monthly coupon at an annualized rate of 20.1% if the index closes at or above the barrier level, 80% of the initial level, on the determination date for that month. notes will be called at par of $10 plus the contingent coupon if the index closes at or above the initial share price on any of the first five determination dates. premium of 20% if the index closes at or above the call threshold level, 120% of the initial level, on Nov. 4, 2016. If the notes are not called and the index gains, the payout at maturity will be par plus 125% of the index gain. If the index falls by up to 15%, the payout at maturity will be par plus the final contingent coupon unless the index finishes below the barrier level, in which case investors will be fully exposed to any losses. Morgan Stanley & Co. LLC is the agent. notes will price on April 17. Cusip number is 61762GDR2. payout will be par. Otherwise, investors will be fully exposed to losses. Morgan Stanley & Co. LLC is the agent. notes will price on April 30 and settle on May 5. Cusip number is 61764V638. Tuesday April 14, 2015 Page 9
Morgan Stanley plans dual directional trigger PLUS linked to S&P 500 Madison, Wis., April 13 Morgan Stanley plans to price 0% dual directional Trigger Performance Leveraged Upside Securities due May 5, 2021 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission. If the index finishes above the initial level, the payout at maturity will be par plus 112.5% of any index gain. If the index falls by up to the 65% trigger level, the payout will be par plus the absolute value of the return. Otherwise, investors will be fully exposed to any losses. Morgan Stanley & Co. LLC is the agent. notes will price on April 30 and settle on May 5. Cusip number is 61764V620. Morgan Stanley plans market-linked notes due 2022 tied to S&P 500 Madison, Wis., April 13 Morgan Stanley plans to price 0% market-linked notes due Nov. 3, 2022 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission. payout at maturity will be par plus any index gain, up to a maximum return of 60%. If the index falls, the payout will be par. Morgan Stanley & Co. LLC is the agent. notes will price on April 30 and settle on May 5. Cusip number is 61764V646. Morgan Stanley plans trigger jump securities linked to S&P 500 Madison, Wis., April 13 Morgan Stanley plans to price 0% trigger jump securities due May 5, 2021 linked to the S&P 500 index, according to an FWP with the Securities and Exchange Commission. If the final index level is at or greater than the initial level, the payout at maturity will be par of $10 plus the greater of the 39.5% upside payment and the index return. Investors will receive par if the index falls by up to 40% and will be fully exposed to losses from the initial level if the index finishes below the 60% downside threshold level. Morgan Stanley & Co. LLC is the agent. notes will price on April 30 and settle on May 5. Cusip number is 61764V653. RBC to price jump securities linked to Financial Select Sector SPDR By Angela McDaniels Tacoma, Wash., April 13 Royal Bank of Canada plans to price 0% jump securities due May 27, 2016 linked to the Financial Select Sector SPDR Fund, according to an FWP filing with the Securities and Exchange Commission. If the final share price is greater than or equal to the initial share price, the payout at maturity will be par of $10 plus 10%. If the final share price is less than the initial share price, investors will have one-to-one exposure to the decline. RBC Capital Markets, LLC is the agent. Distribution is through Morgan Stanley Wealth Management. notes are expected to price April 24 and settle April 29. Cusip number is 780082772. Tuesday April 14, 2015 Page 10
RBC plans contingent income callable notes on S&P 500, Russell 200 Madison, Wis., April 13 Royal Bank of Canada plans to price contingent income callable notes due May 2, 2018 linked to the worst 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 5.25% if each index closes at or above its coupon barrier, 60% of its initial level, on an observation date for that quarter. notes are callable at par plus accrued interest on any quarterly observation date. payout at maturity is par unless either index closes below its 60% trigger level, in which case the payout will be par plus the return of the worst performing index, with full exposure to any losses. RBC Capital Markets, LLC is the agent. notes will price April 28 and settle April 30. Cusip number is 78012KDM6. UBS plans contingent return optimization notes linked to Russell 2000 Madison, Wis., April 13 UBS AG, London Branch plans to price 0% contingent return optimization securities due April 30, 2018 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission. If the index finishes at or above the trigger level, 80% of the initial index level, the payout at maturity will be par of $10 plus the greater of the 10% contingent return and the index return, up to a maximum return of 38% to 45% that will be set at pricing. Otherwise, investors will be fully exposed to any losses. UBS Financial Services Inc. and UBS Investment Bank are the underwriters. notes will price April 27 and settle April 30. Cusip number is 90274P781. UBS plans contingent return optimization notes linked to S&P 500 Madison, Wis., April 13 UBS AG, London Branch plans to price 0% contingent return optimization securities due April 30, 2018 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission. If the final index level is greater than or equal to the trigger level, 80% of the initial index level, the payout at maturity will be par of $10 plus the greater of the 10% contingent return and the index return, subject to a maximum return of 28% to 35% that will be set at pricing. If the final index level is less than the trigger level, investors will be fully exposed to the index decline. UBS Financial Services Inc. and UBS Investment Bank are the underwriters. notes will price April 27 and settle April 30. Cusip number is 90274P773. UBS to price return optimization notes linked to MSCI EAFE index Madison, Wis., April 13 UBS AG, London Branch plans to price 0% return optimization securities due May 31, 2016 linked to the MSCI EAFE index, according to an FWP filing with the Securities and Exchange Commission. If the index return is positive, the payout at maturity will be par of $10 plus 3 times the index return, subject to a maximum return of 11.5% to 15% that will be set at pricing. Investors will share in any losses. UBS Financial Services Inc. and UBS Investment Bank are the underwriters. notes will price April 28 and settle April 30. Cusip number is 90274P757. Tuesday April 14, 2015 Page 11
UBS plans trigger return optimization notes linked to S&P 500 Madison, Wis., April 13 UBS AG, London Branch plans to price 0% trigger return optimization securities due April 30, 2018 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission. payout at maturity will be par of $10 plus 1.5 times any index gain, up to a maximum return of 25% to 33%. If the index falls by up to the trigger level, 75% of the initial level, the payout will be par. Otherwise, investors will be fully exposed to any losses. UBS Financial Services Inc. and UBS Investment Bank are the underwriters. notes will price April 27 and settle April 30. Cusip number is 90274P799. New Issue: Citigroup prices $2.28 million autocallable contingent coupon notes on Best Buy By Susanna Moon Chicago, April 13 Citigroup Inc. priced $2.28 million of autocallable contingent coupon equity-linked securities due April 14, 2016 linked to Best Buy Co., Inc. shares, according to a 424B2 filing with the Securities and Exchange Commission. notes will pay a contingent quarterly coupon at an annualized rate of 11% if Best Buy stock closes at or above the barrier level, 75% of the initial price, on the valuation date for that quarter. notes will be called at par plus the contingent coupon if Best Buy shares close at or above the initial share price on any of first three quarterly valuation dates. If the stock finishes at or above the barrier level, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will receive a number of Best Buy shares equal to $1,000 divided by the initial share price or, at the issuer s option, the cash equivalent. Citigroup Global Markets Inc. is the underwriter. Issuer: Citigroup Inc. Issue: Autocallable contingent coupon equitylinked securities Underlying stock: Best Buy Co., Inc. (Symbol: BBY) Amount: $2.28 million Maturity: April 14, 2016 Coupon: 11% per year, payable quarterly if closing price of Best Buy shares is greater than or equal to barrier price on valuation date for that quarter Price: Par Payout at maturity: Par in cash unless Best Buy shares finish below barrier price, in which case 25.83312 Best Buy shares Call: At par plus contingent coupon if closing share price is greater than or equal to initial share price on any of first three quarterly valuation dates Initial share price: $38.71 Barrier price: $29.033, 75% of initial share price Pricing date: April 9 Settlement date: April 14 Underwriter: Citigroup Global Markets Inc. Fees: 1% Cusip: 1730T06S3 Tuesday April 14, 2015 Page 12
New Issue: Credit Suisse prices $25.72 million more VelocityShares 3x Long Natural Gas ETNs By Toni Weeks San Luis Obispo, Calif., April 13 Credit Suisse AG, Nassau Branch priced another $25.72 million of 0% VelocityShares 3x Long Natural Gas ETNs due Feb. 9, 2032 linked to the S&P GSCI Natural Gas Index Excess Return index, according to a 424B2 filing with the Securities and Exchange Commission. $670 million principal amount add-on priced at 3.8388 for proceeds of $25,719,960. original $5 million of notes priced on Feb. 7, 2012. payout at maturity will equal the closing indicative value of the notes on Feb. 2, 2032. closing indicative value of the notes on the inception date was $50. 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 UGAZ. 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. Issuer: Credit Suisse AG, Nassau Branch Issue: VelocityShares 3x Long Natural Gas ETN Underlying index: S&P GSCI Natural Gas Index Excess Return Amount: $21,091,250,000, increased from original $5 million Proceeds: $25,719,960 for latest $670 million Maturity: Feb. 9, 2032 Coupon: 0% Prices: Par of $50 for original $5 million; 3.8388 for latest $670 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 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 dates: Feb. 7, 2012 for original issue; April 10 for latest add-on Settlement dates: Feb. 10, 2012 for original issue; April 14 for $310 million and April 15 for $360 million in latest add-ons Agent: Credit Suisse Securities (USA) LLC Fees: 0.00% Listing: NYSE Arca: UGAZ Cusip: 22542D571 Tuesday April 14, 2015 Page 13
New Issue: Credit Suisse prices $9.4 million more VelocityShares 3x Long Crude Oil ETNs By Toni Weeks San Luis Obispo, Calif., April 13 Credit Suisse AG, Nassau Branch priced another $9.4 million of 0% VelocityShares 3x Long Crude Oil ETNs due Feb. 9, 2032 linked to the S&P GSCI Crude Oil Index Excess Return index, according to 424B2 filings with the Securities and Exchange Commission. issuer priced $172.5 million principal amount of notes at 5.4486 for proceeds of $9,398,835. original $5 million of notes priced on Feb. 7, 2012. payout at maturity will equal the closing indicative value of the notes on Feb. 2, 2032. closing indicative value of the notes on the inception date was $50. 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 1.35% 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 15% or less of the prior day s closing indicative value. notes are listed on the NYSE Arca under the ticker symbol UWTI. 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. Issuer: Credit Suisse AG, Nassau Branch Issue: VelocityShares 3x Long Crude Oil ETN Underlying index: S&P GSCI Crude Oil Index Excess Return Amount: $23,795,527,100, increased from original $5 million Proceeds: $9,398,835 for latest $172.5 million Maturity: Feb. 9, 2032 Coupon: 0% Prices: Par of $50 for original $5 million; in latest add-ons, 5.4486 for $172.5 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 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 dates: Feb. 7, 2012 for original issue; April 10 Settlement date: for latest add-ons Feb. 10, 2012 for original issue; in latest add-ons, April 14 for $35 million and April 15 for $137.5 million Agent: Credit Suisse Securities (USA) LLC Fees: 0.00% Listing: NYSE Arca: UWTI Cusip: 22542D589 Tuesday April 14, 2015 Page 14
New Issue: Goldman Sachs prices $5.75 mln leveraged notes tied to index basket By Toni Weeks San Luis Obispo, Calif., April 13 Goldman Sachs Group, Inc. priced $5.75 million of 0% leveraged notes due Oct. 14, 2016 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 triple the basket gain, subject to a maximum settlement amount of $1,225 per $1,000 principal amount of notes. Investors will be fully exposed to losses. Goldman Sachs & Co. is the underwriter. Issuer: Issue: Underlying indexes: Amount: $5,746,000 Maturity: Oct. 14, 2016 Coupon: 0% Goldman Sachs Group, Inc. Leveraged notes Euro Stoxx 50 (37% weight), FTSE 100 (23% weight), Topix (23% weight), Swiss Market (9% weight) and S&P/ ASX 200 (8% weight) Price: Par Payout at maturity: If basket return is positive, par plus 3 times basket return, subject to maximum settlement amount of $1,225 per $1,000 principal amount of notes; full exposure to losses Initial levels: 3,781.79 for Euro Stoxx, 7,015.36 for FTSE, 1,594.19 for Topix, 9,393.38 for Swiss Market, 5,932.217 for S&P/ASX Pricing date: April 9 Settlement date: April 16 Underwriter: Fees: 1.35% Cusip: 38146U678 Goldman Sachs & Co. Tuesday April 14, 2015 Page 15
New Issue: HSBC sells $2.92 mln contingent income autocallables on Halliburton Madison, Wis., April 13 HSBC USA Inc. priced $2.92 million of contingent income autocallable securities due April 14, 2016 linked to the common stock of Halliburton Co., according to a 424B2 filing with the Securities and Exchange Commission. If Halliburton shares close at or above the downside threshold level, 80% of the initial share price, on a quarterly determination date, the notes will pay a contingent payment that quarter at an annualized rate of 9.9%. notes will be called at par of $10 plus the contingent coupon if Halliburton shares close at or above the initial share price on any of the first three quarterly determination dates. 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 Halliburton 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. HSBC Securities (USA) Inc. is the agent. Morgan Stanley Smith Barney LLC is handling distribution. Issuer: HSBC USA Inc. Issue: Contingent income autocallable securities Underlying stock: Halliburton Co. (Symbol: HAL) Amount: $2,921,120 Maturity: April 14, 2016 Coupon: 9.9% per year, payable quarterly if Halliburton 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 Halliburton 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 Halliburton shares close at or above initial share price on any of first three quarterly determination dates Initial share price: $46.26 Downside threshold: $37.01, 80% of initial share price Pricing date: April 10 Settlement date: April 15 Agent: HSBC Securities (USA) Inc. Distribution: Morgan Stanley Smith Barney LLC Fees: 1.75% Cusip: 40434G619 Tuesday April 14, 2015 Page 16
New Issue: JPMorgan sells $10.93 million capped buffered enhanced notes on S&P 500 Madison, Wis., April 13 JPMorgan Chase & Co. priced $10.93 million of 0% capped buffered enhanced participation equity notes due Dec. 14, 2016 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange. payout at maturity will be par plus 1.4 times any gain in the index, up to a maximum settlement amount of $1,184.10 per $1,000 principal amount. Investors will receive par if the index falls by up to 10% and will lose 1.1111% for each 1% decline beyond 10%. J.P. Morgan Securities LLC is the agent. Issuer: Issue: Underlying index: S&P 500 Amount: $10,926,000 Maturity: Dec. 14, 2016 Coupon: 0% Price: Payout at maturity: JPMorgan Chase & Co. Capped buffered enhanced participation equity notes Par Par plus 140% of any gain in the index, capped at 18.41%; par if index falls by up to 10%; 1.1111% loss per 1% drop beyond 10% Initial level: 2,091.18 Pricing date: April 9 Settlement date: April 16 Agent: J.P. Morgan Securities LLC Fees: None Cusip: 48125UNC2 New Issue: JPMorgan prices $486,000 capped buffered enhanced notes on ishares EM Madison, Wis., April 13 JPMorgan Chase & Co. priced $486,000 of 0% capped buffered enhanced participation equity notes due Dec. 14, 2016 linked to the ishares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange. payout at maturity will be par plus 1.6 times any gain in the fund, up to a maximum settlement amount of $1,224.80 per $1,000 principal amount. Investors will receive par if the fund falls by up to 10% and will lose 1.1111% for each 1% decline beyond 10%. J.P. Morgan Securities LLC is the agent. Issuer: Issue: Underlying fund: Amount: $486,000 Maturity: Dec. 14, 2016 Coupon: 0% Price: Payout at maturity: JPMorgan Chase & Co. Capped buffered enhanced participation equity notes ishares MSCI Emerging Markets ETF Par Par plus 160% of any gain in the fund, capped at 22.48%; par if fund falls by up to 10%; 1.1111% loss per 1% drop beyond 10% Initial price: $42.85 Pricing date: April 9 Settlement date: April 16 Agent: J.P. Morgan Securities LLC Fees: None Cusip: 48125UMY5 Tuesday April 14, 2015 Page 17
New Issue: UBS prices $1.81 mln capped leveraged buffered notes on MSCI EAFE By Toni Weeks San Luis Obispo, Calif., April 13 UBS AG, London Branch priced $1.81 million of 0% capped leveraged buffered index-linked notes due Oct. 18, 2016 tied to the MSCI EAFE index, according to a 424B2 filing with the Securities and Exchange Commission. If the index return is positive, the payout at maturity will be par plus 1.3 times the index return, subject to a maximum payout of $1,182 per $1,000 of notes. Investors will receive par if the index falls by up to 12.5% and will lose 1.1429% for every 1% index decline beyond the 12.5% buffer. UBS Securities LLC is the underwriter. Issuer: Issue: Underlying index: Amount: $1,811,000 Maturity: Oct. 18, 2016 Coupon: 0% Price: Payout at maturity: UBS AG, London Branch Capped leveraged buffered index-linked notes MSCI EAFE Par If index return is positive, par plus 130% of the index return, with maximum payout of $1,182 per $1,000 of notes; par if index falls by up to 12.5%; 1.1429% loss for every 1% decline in the index beyond 12.5% Initial index level: 1,895.75 Pricing date: April 9 Settlement date: April 16 Underwriter: UBS Securities LLC Fees: None Cusip: 90270KEN5 New Issue: UBS prices $415,000 trigger phoenix autocallables linked to Apple New York, April 13 UBS AG, London Branch priced $415,000 of trigger phoenix autocallable optimization securities due April 21, 2017 linked to the common stock of Apple Inc., according to a 424B2 filing with the Securities and Exchange Commission. If Apple stock closes at or above the trigger price 80% of the initial share price on a quarterly observation date, the issuer will pay a contingent coupon for that quarter at the rate of 9.96%. Otherwise, no coupon will be paid that quarter. If the shares close at or above the initial price on a quarterly observation date, the notes will be called at par plus the contingent coupon. If the notes are not called and Apple shares finish at or above the trigger price, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will be exposed to the share price decline from the initial price. UBS Financial Services Inc. and UBS Investment Bank are the underwriters. Issuer: UBS AG, London Branch Issue: Trigger phoenix autocallable optimization securities Underlying stock: Apple Inc. (Nasdaq: AAPL) Amount: $415,000 Maturity: April 21, 2017 Coupon: 9.96%, payable quarterly if stock closes at or above trigger price on observation date for that quarter Price: Par of $10.00 Payout at maturity: Par plus contingent coupon if Apple shares finish at or above trigger price; otherwise, par plus stock return Call: Automatically at par plus contingent coupon if Apple shares close at or above initial price on a quarterly observation date Initial share price: $126.85 Trigger price: $101.48, 80% of initial price Pricing date: April 13 Settlement date: April 16 Underwriters: UBS Financial Services Inc. and UBS Investment Bank Fees: 1.5% Cusip: 90274Q854 Tuesday April 14, 2015 Page 18
New Issue: UBS prices $186,000 trigger phoenix autocallables linked to Rite Aid New York, April 13 UBS AG, London Branch priced $186,000 of trigger phoenix autocallable optimization securities due April 21, 2017 linked to the common stock of Rite Aid Corp., according to a 424B2 filing with the Securities and Exchange Commission. If Rite Aid stock closes at or above the trigger price 70% of the initial share price on a quarterly observation date, the issuer will pay a contingent coupon for that quarter at the rate of 13.05%. Otherwise, no coupon will be paid that quarter. If the shares close at or above the initial price on a quarterly observation date, the notes will be called at par plus the contingent coupon. If the notes are not called and Rite Aid shares finish at or above the trigger price, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will be exposed to the share price decline from the initial price. UBS Financial Services Inc. and UBS Investment Bank are the underwriters. Issuer: UBS AG, London Branch Issue: Trigger phoenix autocallable optimization securities Underlying stock: Rite Aid Corp. (NYSE: RAD) Amount: $186,000 Maturity: April 21, 2017 Coupon: 13.05%, payable quarterly if stock closes at or above trigger price on observation date for that quarter Price: Par of $10.00 Payout at maturity: Par plus contingent coupon if Rite Aid shares finish at or above trigger price; otherwise, par plus stock return Call: Automatically at par plus contingent coupon if Rite Aid shares close at or above initial price on a quarterly observation date Initial share price: $8.40 Trigger price: $5.88, 70% of initial price Pricing date: April 13 Settlement date: April 16 Underwriters: UBS Financial Services Inc. and UBS Investment Bank Fees: 1.5% Cusip: 90274Q862 New Issue: FHLB upsizes to $50 million three-year callable step up notes at 0.75% initial rate New York, April 13 - Federal Home Loan Banks upsized to $50 million its sale of 0.75% initial rate three-year callable step up notes at par, according to the agency s web site. bonds will mature on April 30, 2018 and have a Bermuda call. FHLB originally priced $40 million of the issue. First Tennessee is the manager. Issuer: Federal Home Loan Banks Issue: Step up notes Amount: $50 million Maturity: April 30, 2018 Coupon: 0.75% initial rate Price: Par Call: Bermuda call Pricing date: April 10 Settlement date: April 30 Underwriter: First Tennessee Cusip: 3130A4YM8 Tuesday April 14, 2015 Page 19
New Issue: FHLB prices $25 million 10-year callable capped floaters New York, April 13 - Federal Home Loan Banks priced $25 million of 2% 10-year callable capped floaters at par, according to the agency s web site. bonds will mature on May 13, 2025 and have a Bermuda call. Barclays Capital is the manager. Issuer: Federal Home Loan Banks Issue: Capped floaters Amount: $25 million Maturity: May 13, 2025 Coupon: Floating Price: Par Call: Bermuda call Pricing date: April 13 Settlement date: May 13 Underwriter: Barclays Capital Cusip: 3130A4YZ9 New Issue: FHLB prices $15 mln 10-year callable step up notes at 2% initial rate New York, April 13 - Federal Home Loan Banks priced $15 million of 2% initial rate 10-year callable step up notes at par, according to the agency s web site. bonds will mature on April 30, 2025 and have a Bermuda call. Amherst and MBS are the managers. Issuer: Federal Home Loan Banks Issue: Step up notes Amount: $15 million Maturity: April 30, 2025 Coupon: 2% initial rate Price: Par Call: Bermuda call Pricing date: April 10 Settlement date: April 30 Underwriters: Amherst and MBS Cusip: 3130A4YU0 Tuesday April 14, 2015 Page 20