By Emma Trincal New York, July 10 – Goldman Sachs Group, Inc.’s 0% 48-month buffered basket-linked notes tied to a basket of two indexes and one fund offer an attractively sized buffer on the downside, sources said. But the less appealing upside combined with the long maturity made two buysiders cautious or even skeptical about the trade. The basket consists of the S&P 500 index with a 45% weight, the iShares MSCI EAFE exchange-traded fund with a 35% weight and the Russell 2000 index with a 20% weight, according to a 424B2 filing with the Securities and Exchange Commission. The payout at maturity will be par plus any basket gain, up to a 40% to 45% cap.
Investors will receive par if the basket falls by up to 20% and will lose 1.25% for every 1% decline beyond 20%. The exact cap will be set at pricing.
Gearing is OK Steve Doucette, financial adviser at Proctor Financial, said that he is comfortable with the underlying basket as well as the buffer despite the downside gearing. “The leverage on the downside doesn’t bother me here,” he said. “Sometimes it’s harder to explain to investors, but the reality is you add gearing to increase the upside, and with a 20% buffer, you’re still ahead of the curve. Without the gearing you would have less
Goldman Sachs’ buffered notes linked to equity basket lose some of their appeal due to length
Morgan Stanley plans to price participation notes linked to 16 stocksBy Angela McDaniels Tacoma, Wash., July 10 – Morgan Stanley plans to price 0% participation securities due Jan. 13, 2016 linked to a basket of stocks, according to an FWP filing with the Securities and Exchange Commission. The basket includes equal weights of the common stock, American Depositary Shares or ordinary shares, as applicable, of AngloGold Ashanti Ltd., Anheuser-Busch InBev SA, Chemical and Mining Co. of Chile Inc., EOG Resources, Inc., Freeport-McMoRan Copper & Gold Inc., Goldcorp Inc., Google Inc., Halliburton Co., Monsanto Co., Mosaic Co., Nucor Corp.,
Realogy Holdings Corp., Stillwater Mining Co., Total SA, Twenty-First Century Fox, Inc. and Weatherford International plc. The payout at maturity will be par plus the basket return. There is no principal protection, so investors will receive less than par if that return is negative. The final basket level will be the average of the basket’s closing levels on the five trading days ending Jan. 8, 2016. Morgan Stanley & Co. LLC is the agent. J.P. Morgan Securities LLC is acting as dealer. The notes are expected to price July 11 and settle July 16. The Cusip number is 61761JRY7.
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attractive terms, so why not take the little excess risk?” An example in the prospectus showed that a noteholder would lose 6.25% of principal as a result of a 25% decline in the basket level. As the underlying decline grows, however, the compounding induced by the 1.25 leverage factor would progressively reduce the benefit of the buffer. For instance, if the underlying were to fall by 50% at maturity, investors in the notes would lose 37.5% of their investment.
Incomplete blend Doucette said that the underlying basket is “not bad,” although he prefers to stick to one asset class per note. “I don’t have a problem with the globally diversified basket except for two things. You’re mixing international and U.S. equity in one instrument. We usually break these allocations in pieces,” he said. “I don’t mind at all the 35% allocation to international. Most asset allocators will put 10% to 30% in international equity even though non-U.S. stocks represent 50% of the market capitalization of the world.” But Doucette said that one asset class is missing. “As asset allocators, we tend not to blend everything in one note. But if I’m blending, I’d have to add the emerging markets component,” he said. Duration, however, is a bigger problem, he argued. “The real concern with the notes for me is not the downside leverage, it’s not really the basket, but it’s the duration. I don’t like the four-year [term],” he said. “We tend to do two-year, sometimes maybe 15-month. A three- to four-year is about the maximum we would go out, and we would do a four-year if we had to replace a note because volatility is not the same unless you purchase longer-dated maturities. But that would be in that context, not for a new investment.”
Buffer and duration The downside buffer is the best part of the deal, but the length of the product reduces its appeal, he noted. “There is a problem with the value of the protection over a four-year period,” he said. “There is very little value if the market is down a year from now. Longer term, we don’t really know what the value of the option is going to be. It is what it is. We ask issuers to model the value of the notes as you go out, but when you go that far out, you’re only going to get an estimate of the price of the option, nothing really tangible. Therefore I’m not sure about the value of this buffer. It’s not like you’re buying these notes the way you would buy a put. These notes are designed to be held at maturity anyway, so you’re stuck with a four-year product not knowing when the pullback is going to happen.”
Market cycles Probabilities based on market cycles and history would point to a pullback occurring sooner rather than later, however, he noted. “As we’re entering a six-year bull market, the odds of getting a pullback over the next 18 months are significant,” he said. “That’s when the four-year term doesn’t help. If the market sell-off happens early on, chances are it might come back before the notes mature, in which case the value of your buffer is gone. And since this is the only real benefit offered by the structure, that’s a problem.”
Bears outperform Doucette said that he selects notes based on their capacity to generate alpha, or returns in excess of the market, which is why he sees the value of the notes in the buffer rather than on the upside. “This product is good on the downside. The upside doesn’t give you anything,” he said. “If the market is up, you can’t
outperform because you have no leverage. And if it’s up a lot, if it’s up above the cap, you are guaranteed to underperform. “In other words, if the market rallies, you either have no edge or you underperform. “The only way you can outperform is if the index is down. You can only beat the market if there’s a sell-off. Looks like a bearish note to me. I don’t know how you can look at it any other way; otherwise, you might as well be long the index. Why cap yourself unless you expect a pullback?”
Structure is fine Kirk Chisholm, principal and wealth manager at NUA Advisors, finds the structure of the notes appealing, including on the upside. The longer duration, however, is also his main concern given what he perceives as a risky market environment amid the unwinding of the Federal Reserve’s accommodative monetary policy. “The construction of the notes is fine, but four years is a long time,” Chisholm said. “The cap on the upside is reasonable in my opinion. It’s about 9% a year compounded. “On the downside, a 20% buffer is nice. If there is a sell-off within the next four years, it should be sufficient.” Yet, no one can predict the impact on stock prices of the Fed reversing years of its easy money policy, he noted. “There is so much uncertainty around the level of interest rates a year from now,” he said. “We know now that QE will end in October. Expectations regarding interest rates are that the Fed will start to raise rates between April and June of next year. If that happens, the risk is too high to invest in a four-year note. We’ve had the stimulus, the zero interest rate policy for so long; it’s hard to predict how the market will react when all this comes to an end. You could see a major sell-off.
Goldman Sachs’ buffered notes linked to equity basket lose some of their appeal due to lengthContinued from page 1
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Goldman Sachs’ buffered notes linked to equity basket lose some of their appeal due to lengthContinued from page 2
“In addition to that, the S&P is definitely overpriced, so I wouldn’t [want] to buy the U.S. market at this point.”
Far too long Despite the product’s attractive buffer and cap, the long tenor induces too much risk, he noted. “This note is fine if you assume that
the market is going to be stable over the next four years,” he said. “Assuming we don’t have a black swan, the downside buffer is going to be sufficient. There’s a 40% to 45% cap on the upside. I’m comfortable with it. I don’t expect the market to climb more than that in the next four years. The cap is reasonable.
“But if you’re concerned about the end of QE and the rise in interest rates, if you think a significant sell-off is possible due to the unwinding of a six-year zero interest rate policy, then the notes are too risky because four years is far too long. Nobody knows what’s going to happen in four years.” The Cusip number is 38147QCY0.
By Susanna Moon Chicago, July 10 – Barclays Bank plc plans to price 0% capped leveraged notes linked to the MSCI EAFE index, according to a 424B2 filing with the Securities and Exchange Commission. The notes are expected to mature
between 17 and 20 months after pricing. The payout at maturity will be par plus 1.2 times any index gain, up to a maximum settlement amount of $1,144 to $1,180 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%. The exact deal terms, including maturity and payment cap, will be set at pricing. Barclays is the agent. The Cusip number is 06741UFV1.
Barclays plans capped leveraged buffered notes linked to MSCI EAFE
By Susanna Moon Chicago, July 10 – Barclays Bank plc plans to price 0% capped leveraged notes linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission. The notes are expected to mature
between 17 and 20 months after pricing. The payout at maturity will be par plus 1.2 times any index gain, up to a maximum settlement amount of $1,142.20 to $1,166.20 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%. The exact deal terms, including maturity and payment cap, will be set at pricing. Barclays is the agent. The Cusip number is 06741UFS8.
Barclays plans capped leveraged buffered notes linked to S&P 500
By Toni Weeks San Luis Obispo, Calif., July 10 – Citigroup Inc. plans to price autocallable contingent coupon securities due Aug. 4, 2015 linked to the common stock of Coach, Inc., according to a 424B2 filing with the Securities and Exchange Commission. The notes will pay a contingent quarterly coupon of 2% to 2.5% if Coach stock closes at or above the barrier level,
80% of the initial share price, on an observation date for that quarter. The exact coupon will be set at pricing. The notes will be redeemed at par plus the contingent payment if the stock closes at or above the initial share price on any of the first three quarterly valuation dates. If the notes are not called, the payout at maturity will be par plus the contingent
payment unless the stock finishes below the 80% barrier level in which case, investors will receive a number of 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 agent. The notes will price July 30 and settle three business days later. The Cusip number is 1730T0U80.
Citigroup to price contingent coupon autocallables linked to Coach
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By Susanna Moon Chicago, July 10 – Credit Suisse AG plans to price 5% callable yield notes due Jan. 25, 2016 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission. Interest is payable quarterly. The payout at maturity will be par unless either index
finishes below the 75% knock-in level, in which case investors will be fully exposed to any losses of the worst performing index. The notes may be called at par on any interest payment date. Credit Suisse Securities (USA) LLC is the underwriter. The notes will price on July 18 and settle on July 25. The Cusip number is 22547QQ33.
Credit Suisse plans 5% callable yield notes on S&P 500, Russell 2000
By Jennifer Chiou New York, July 10 – Credit Suisse AG plans to price contingent coupon callable yield notes due July 31, 2024 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission. The notes will pay a contingent quarterly coupon at an annual rate of 7.65% if each index closes at or above its barrier level, 75% of the initial level, on the observation date for that period.
Beginning on Oct. 31, the notes will be callable at par plus the contingent coupon on any quarterly interest payment date. The payout at maturity will be par unless either index finishes at or below its 50% knock-in level, in which case investors will be fully exposed to any losses of the worst-performing index. The notes (Cusip: 22547QQM1) are expected to price on July 28 and settle on July 31. Credit Suisse Securities (USA) LLC is the underwriter.
Credit Suisse plans contingent coupon callable yield notes on indexes
By Jennifer Chiou New York, July 10 – Credit Suisse AG plans to price 0% Buffered Accelerated Return Equity Securities due Feb. 8, 2019 linked to the S&P 500 index, according to an FWP with the Securities and Exchange Commission.
If the index finishes at or above its initial level, the payout at maturity will be par plus 107% to 117% of any index gain. The exact participation rate will be set at pricing. Investors will receive par if the index falls by 35% or less and will share in losses beyond the buffer at a to-be-determined
downside participation rate that will be set at pricing. The notes (Cusip: 22547QQK5) are expected to price on Aug. 5 and settle on Aug. 8. Credit Suisse Securities (USA) LLC is the underwriter.
Credit Suisse plans to price Bares due 2019 linked to S&P 500 index
By Jennifer Chiou New York, July 10 – HSBC USA Inc. plans to price 0% Accelerated Return Notes due September 2015 linked to the S&P 500 index, according to an FWP with the
Securities and Exchange Commission. The payout at maturity will be par of $10 plus triple any index gain, subject to a maximum return of 10% to 14%. The exact cap will be set at pricing.
Investors will be exposed to any decline in the index. The notes will price and settle in July. BofA Merrill Lynch is the agent.
HSBC plans 14-month Accelerated Return Notes linked to S&P 500
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By Angela McDaniels Tacoma, Wash., July 10 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Oct. 22, 2015 linked to the common stock of Apple Inc., 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 6% to 8% if Apple shares close at or above the interest barrier, 80% of the
initial share price, on the review date for that quarter. The exact rate will be set at pricing. The notes will be automatically called at par plus the contingent coupon if Apple shares close at or above the initial share price on Jan. 20, 2015, April 20, 2015 or July 20, 2015. If the notes have not been called, the payout at maturity will be par plus the final coupon unless the final share price is less
than the initial share price and Apple stock closes below the trigger level, 70% of the initial level, during the life of the notes, in which case the payout will be a number of Apple shares equal to $1,000 divided by the initial share price. J.P. Morgan Securities LLC is the agent. The notes will price July 18 and settle July 23. The Cusip number is 48127DSS8.
JPMorgan plans autocallable contingent interest notes linked to Apple
By Jennifer Chiou New York, July 10 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due July 20, 2017 linked to the S&P 500 index and the Vanguard Total Stock Market exchange-traded fund, according to an FWP with the Securities and Exchange Commission. If each underlying component closes at or above the 80% barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of at least 6% for that interest period. The exact
contingent coupon will be set at pricing. If each underlying component closes at or above its initial level on any review date other than the final review date, the notes will be called at par plus the coupon. A trigger event occurs if either underlying component closes below the 75% trigger level on any day during the life of the notes. If the notes have not been called and a trigger event has not occurred or the underlying components both finish at or above their initial levels, the payout at
maturity will be par plus the contingent coupon. If either underlying component finishes below its initial level and a trigger event has occurred, investors will lose 1% for every 1% decline in the lesser-performing underlying component from its initial level. The notes (Cusip: 48127DSE9) are expected to price on July 15 and settle on July 18. J.P. Morgan Securities LLC is the agent.
JPMorgan plans autocallable contingent interest notes on index, ETF
By Susanna Moon Chicago, July 10 – JPMorgan Chase & Co. plans to price 0% trigger Performance Leveraged Upside Securities due Jan. 17, 2017 linked to a basket of equally weighted commodities and futures contracts on commodities, according to a 424B2 filing with the Securities and
Exchange Commission. The underlying components are WTI crude oil futures contracts, RBOB gasoline futures contracts, copper, palladium and soybean futures contracts. The payout at maturity will be par plus 207% of any basket gain. Investors will receive par if the
basket falls by up to 20% and will be fully exposed to any losses if the basket finishes to or below the 80% trigger level. J.P. Morgan Securities LLC is the agent with Morgan Stanley Wealth Management as dealer. The notes will price on July 11. The Cusip number is 48127DSN9.
JPMorgan plans three-year trigger PLUS linked to commodities basket
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By Angela McDaniels Tacoma, Wash., July 10 – Morgan Stanley plans to price 0% trigger Performance Leveraged Upside Securities due August 2020 linked to the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.
If the final index level is greater than the initial index level, the payout at maturity will be par of $10 plus 175% of the index return. If the final index level is less than or equal to the initial index level but is greater than the trigger level, 60% of the initial level, the payout will be par. If the final index level is less than or equal to
the trigger level, investors will lose 1% for every 1% that the final index level is less than the initial index level. Morgan Stanley & Co. LLC is the agent. The notes will price in July and settle in August. The Cusip number is 61761S752.
Morgan Stanley plans to price trigger PLUS linked to Euro Stoxx 50
By Susanna Moon Chicago, July 10 – Morgan Stanley plans to price contingent income autocallable securities due July 2017 linked to Whole Foods Market, Inc. shares, according to an FWP filing with the Securities and Exchange Commission. The notes will pay a contingent quarterly coupon at an annual rate of 9% if Whole Foods stock closes at or above the
80% barrier level on the determination date for that quarter. The notes will be called at par plus the contingent coupon if the stock close at or above its level on any of the first 11 determination dates. If the notes are not called and Whole Foods stock finishes at or above the 80% barrier level, the payout at maturity will be par plus the contingent payment.
Otherwise, investors will receive a number of shares of Whole Foods stock equal to $10 divided by the initial share price or, at the issuer’s option, the cash value of those shares. Morgan Stanley & Co. LLC is the agent with Morgan Stanley Wealth Management as dealer. The notes will price and settle in July. The Cusip number is 61761S745.
Morgan Stanley plans contingent income autocallables on Whole Foods
By Toni Weeks San Luis Obispo, Calif., July 10 – Royal Bank of Canada plans to price redeemable leveraged steepener notes due July 31, 2034 linked to the 30-year Constant Maturity Swap rate and the two-year CMS rate, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be 9% for the first year. After that, interest will be equal to four times the reference rate, subject to a cap of 9% and a floor of 0%. The reference rate is the difference between the 30-year CMS rate and the two-year CMS rate, minus 25 basis points. Interest is payable semiannually.
The payout at maturity will be par. The notes will be callable at par in whole but not in part on July 31, 2015, July 31, 2019, July 31, 2024 and July 31, 2029. RBC Capital Markets, LLC is the agent. The notes will settle on July 31. The Cusip number is 78010UWF0.
RBC plans redeemable leveraged steepener notes linked to CMS rates
By Toni Weeks San Luis Obispo, Calif., July 10 – Royal Bank of Canada plans to price redeemable step-up notes due July 28, 2017, according to a 424B2 filing with the Securities and Exchange Commission. The interest rate will be 0.8% during the first two years, stepping
up to 2.15% in year three. Interest will be payable semiannually. The payout at maturity will be par. The notes will be callable at par on July 28, 2016 and annually thereafter. RBC Capital Markets, LLC is the underwriter. The notes (Cusip: 78010UWG8) are expected to settle July 28.
RBC plans redeemable step-up notes due 2017 with 0.8% initial rate
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By Jennifer Chiou New York, July 10 – Bank of Nova Scotia plans to price series A callable step-up rate notes due July 30, 2019, according to a 424B5 filing with the Securities and Exchange Commission. The coupon will initially be 1.65%, stepping up to 2% on July 30, 2016 and to 2.75% on July 30, 2018. Interest is payable semiannually.
The payout at maturity will be par. The notes will be callable at par on any quarterly call date beginning on July 30, 2017. The notes (Cusip: 064159FH4) are expected to price on July 25 and settle on July 30. Scotia Capital (USA) Inc. is the underwriter.
Scotiabank plans callable step-up notes due 2019 with 1.65% initial rate
By Jennifer Chiou New York, July 10 – Bank of Nova Scotia plans to price series A callable step-up rate notes due July 30, 2024, according to a 424B5 filing with the Securities and Exchange Commission. The coupon will initially be 2.55%, stepping up to 3% on July 30, 2017, to 3.5% on July 30, 2020 and to 4.75% on July 30, 2022.
Interest is payable semiannually. The payout at maturity will be par. The notes will be callable at par on any quarterly call date beginning on July 30, 2019. The notes (Cusip: 064159FJ0) are expected to price on July 25 and settle on July 30. Scotia Capital (USA) Inc. is the underwriter.
Scotiabank plans callable step-up notes due 2024 with 2.55% initial rate
By Susanna Moon Chicago, July 10 – UBS AG, London Branch plans to price contingent income autocallable securities due July 19, 2017 with step-down call threshold levels linked to United Continental Holdings Inc. shares, according to a 424B2 filing with the Securities and Exchange Commission. The notes will pay a contingent quarterly coupon at an annual rate of 16% if United Continental stock closes at or above the barrier level, 75% of the initial share price, on any quarterly determination date.
The notes will be redeemed at par of $10 plus the contingent coupon if the stock closes at or above the redemption threshold on any of the first 11 quarterly determination dates. The redemption threshold is 95% of the initial share price for the first four determination dates, stepping up to 90% of the initial share price for the next four determination dates and to 85% of the initial price for the three determination dates after that. If the notes are not called and the final
share price is greater than or equal to the 75% barrier level, the payout at maturity will be par plus the contingent coupon. Otherwise, the payout will be a number of United Continental shares equal to $10 divided by the initial share price or, at the issuer’s option, the cash equivalent. UBS Securities LLC is the agent with Morgan Stanley Wealth Management handling distribution. The notes will price on July 14 and settle on July 17. The Cusip number is 90273E480.
UBS plans contingent income autocallables linked to United Continental
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Issuer: Barclays Bank plcIssue: Accelerated return notesUnderlying index: S&P 500Amount: $118,181,720Maturity: Aug. 28, 2015Coupon: 0%Price: ParPayout at maturity: If index return is positive, par plus
300% of index return, subject to cap of 10%; full exposure to any losses
Initial index level: 1,963.71Pricing date: July 8Settlement date: July 15Agent: BofA Merrill LynchFees: 2%Cusip: 06742W109
New Issue:Barclays sells $118.18 million accelerated return notes tied to S&P 500
By Toni Weeks San Luis Obispo, Calif., July 10 – Barclays Bank plc priced $118.18 million of 0% accelerated return notes due Aug. 28, 2015 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 300% of the index return, subject to a maximum return of 10%. Investors will be fully exposed to losses if the index declines. The final index level will be the average of the index levels on the five trading days ending Aug. 25, 2015. BofA Merrill Lynch is the agent.
Issuer: Barclays Bank plcIssue: Accelerated return notesUnderlying index: Euro Stoxx 50Amount: $72,909,180Maturity: Aug. 28, 2015Coupon: 0%Price: ParPayout at maturity: If index return is positive, par plus
300% of index return, subject to cap of 13.8%; full exposure to any losses
Initial index level: 3,184.38Pricing date: July 8Settlement date: July 15Agent: BofA Merrill LynchFees: 2%Cusip: 06742W406
New Issue:Barclays prices $72.91 million accelerated return notes linked to Euro Stoxx 50
By Toni Weeks San Luis Obispo, Calif., July 10 – Barclays Bank plc priced $72.91 million of 0% accelerated return notes due Aug. 28, 2015 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 300% of the index return, subject to a maximum return of 13.8%. Investors will be fully exposed to losses if the index declines. The final index level will be the average of the index levels on the five trading days ending Aug. 25, 2015. BofA Merrill Lynch is the agent.
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Issuer: Barclays Bank plcIssue: Facebook, Inc. (Nasdaq: FB)Amount: $51,505,860Maturity: July 22, 2015Coupon: 0%Price: Par of $10Payout at maturity: Par plus triple any stock gain, capped at
31.2%; exposure to any lossesInitial level: $63.26Pricing date: July 8Settlement date: July 15Agent: BofA Merrill LynchFees: 1.75%Cusip: 06742W687
New Issue:Barclays prices $51.51 million Accelerated Return Notes on Facebook
By Marisa Wong Madison, Wis., July 10 – Barclays Bank plc priced $51.51 million of 0% Accelerated Return Notes due July 22,
2015 linked to the Facebook Inc. shares, according to an FWP with the Securities and Exchange Commission. The payout at maturity will be par of
$10 plus triple any gain in the stock, up to a maximum return of 31.2%. Investors will be exposed to any losses. BofA Merrill Lynch is the agent.
Issuer: Barclays Bank plcIssue: Accelerated return notesUnderlying index: Nikkei Stock AverageAmount: $15,303,380Maturity: Aug. 28, 2015Coupon: 0%Price: ParPayout at maturity: If index return is positive, par plus
300% of index return, subject to cap of 12.5%; full exposure to any losses
Initial index level: 15,314.41Pricing date: July 8Settlement date: July 15Agent: BofA Merrill LynchFees: 2%Cusip: 06742W307
New Issue:Barclays prices $15.3 million accelerated return notes tied to Nikkei
By Toni Weeks San Luis Obispo, Calif., July 10 – Barclays Bank plc priced $15.3 million of 0% accelerated return notes due Aug. 28, 2015 linked to the Nikkei Stock Average 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 300% of the index return, subject to a maximum return of 12.5%. Investors will be fully exposed to losses if the index declines. The final index level will be the average of the index levels on the five trading days ending Aug. 25, 2015. BofA Merrill Lynch is the agent.
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Issuer: Barclays Bank plcIssue: Accelerated Return NotesUnderlying basket: S&P 500 index (60% weight) and Euro
Stoxx 50 index (40% weight)Amount: $5,954,330Maturity: Aug. 28, 2015Coupon: 0%Price: Par
Payout at maturity: Par plus 300% of any basket gain, capped at 10.5%; exposure to any losses
Initial index level: 3,184.38Pricing date: July 8Settlement date: July 15Agent: BofA Merrill LynchFees: 2%Cusip: 06742W851
New Issue:Barclays sells $5.95 million Accelerated Return Notes linked to indexes
By Susanna Moon Chicago, July 10 – Barclays Bank plc priced $5.95 million of 0% Accelerated Return Notes due Aug. 28, 2015 linked to a basket of two indexes, according to
a 424B2 filing with the Securities and Exchange Commission. The basket consists of the S&P 500 index with a 60% weight and the Euro Stoxx 50 index with a 40% weight.
The payout at maturity will be par plus triple any index gain, up to a maximum return of 10.5%. Investors will be exposed to any losses. BofA Merrill Lynch is the agent.
New Issue:Barclays prices $2.72 million step-up notes on emerging markets currencies vs. euro
By Marisa Wong Madison, Wis., July 10 – Barclays Bank plc priced $2.72 million of 0% currency-linked step-up notes due June 24, 2016 linked to a basket of three currencies relative to the euro, according to an FWP filing with the Securities and Exchange Commission.
The basket includes equal weights of the Chinese renminbi, the Indian rupee and the Russian ruble. If the basket finishes above the step-up level – 121.5% of the initial value – the payout at maturity will be par plus the basket return. If the basket return is zero or positive
and finishes below or equal to the step-up level, the payout will be par plus a step-up payment of 21.5%. Investors will be exposed to losses of up to 10% and will receive a minimum of $9.00 if the basket declines by more than 10%. BofA Merrill Lynch is the agent.
Issuer: Barclays Bank plcIssue: Currency-linked step-up notesUnderlying currencies: Chinese renminbi, Indian rupee and
Russian rubleAmount: $2,721,050Maturity: June 24, 2016Coupon: 0%Price: ParPayout at maturity: If basket finishes above step-up level,
par plus basket return; if basket return is zero or positive and finishes below or equal to step-up level, par plus a step-up
payment of 21.5%; investors will be exposed to losses of up to 10% and will receive a minimum of $9.00 if basket declines by more than 10%
Initial spot rates: 8.3898 for renminbi, 81.4074 for rupee and 46.7117 for ruble
Step-up level: 121.5% of initial levelPricing date: July 8Settlement date: July 15Agent: BofA Merrill LynchFees: 1.75%Cusip: 06742W208
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Issuer: Barclays Bank plcIssue: NotesUnderlying index: EquityCompass Share Buyback
indexAmount: $1,297,000Maturity: July 12, 2017Coupon: 0%Price: ParPayout at maturity: 97.5% of sum of (a) $1,000 plus
(b) $1,000 multiplied by closing indicative note return, which is percentage change of closing indicative note value from initial closing indicative note value to current closing indicative note value
Closing indicative note value: Initially $1,000; then (a) closing indicative note value on last note
rebalancing date multiplied by (b) one plus net index periodic return as of that business day, which takes into account investor fee of 0.9% per year; note rebalancing dates are sixth calendar day of each month
Call: Automatically if closing indicative note value falls to or below $250
Put option: At any time subject to minimum of $10,000 principal amount of notes
Initial index level: 170.6227Pricing date: July 7Settlement date: July 10Agent: BarclaysFees: 2.5%Cusip: 06741UEQ3
New Issue:Barclays prices $1.3 million notes linked to EquityCompass Share Buyback index
By Susanna Moon Chicago, July 10 – Barclays Bank plc priced $1.3 million of 0% notes due July 12, 2017 linked to the EquityCompass Share Buyback index, according to a 424B2 filing with the Securities and Exchange Commission. The index seeks to capture returns that may be available from investing in a basket of stocks that are selected using the EquityCompass Share BuyBack Strategy, a trading restriction filter and concentration procedures. The strategy selects a portfolio of stocks of up to 30 companies with the most significant share buyback announcements in the prior three months. It is based on the premise that stocks of companies that announce share buybacks may be more likely to perform well because
share buybacks are a signal to the market that the management of a company believes the company’s shares are undervalued. The notes are putable subject to a minimum of $10,000 principal amount of notes. If the closing indicative note value falls to or below $250, the notes will be automatically called. For each $1,000 principal amount of notes, the payout at maturity or upon redemption will be 97.5% of the sum of (a) $1,000 plus (b) $1,000 multiplied by the closing indicative note return. The indicative note return on any day is the percentage change of the closing indicative note value from the initial closing indicative note value to the current closing indicative note value on that day. The initial closing indicative note value
is $1,000. On any business day, it will be (a) the closing indicative note value on the last note rebalancing date multiplied by (b) one plus the net index periodic return as of that business day. The note rebalancing dates are the sixth calendar day of each month. The net index periodic return equals the index periodic return as of that business day minus the investor fee, which is 0.9% per year. The index periodic return equals the performance of the index from its closing level on the last note rebalancing date to its closing level on that business day. Barclays is the agent. One or more affiliates of the index selection agent, Choice Financial Partners, Inc., may act as a dealer in the offering and may receive a selling commission.
New Issue:Credit Suisse prices $5.69 million more VelocityShares Daily 2x VIX Short Term ETNs
New York, July 10 – Credit Suisse AG, Nassau Branch priced another $5.69 million of 0% VelocityShares Daily 2x 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. The $21 billion principal amount add-on priced at 0.027092 for proceeds of $5,689,320. The original $15 million of notes priced on Nov. 29, 2010. The payout at maturity will equal the closing indicative value of the notes on Nov. 29, 2030. On Aug. 30, 2013 the company implemented a one-for-10 reverse split of the notes, increasing the principal amount of each note to $10,000 from $1,000 and changing the Cusip number from 22539T852. This was the second reverse
split. On Dec. 21, 2012, the principal amount per ETN was increased to $1,000 from $100. The closing indicative value of the notes on the inception date was $10,000. 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. The 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. The 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 two. The daily accrual is the rate of interest that could be earned on a
notional capital reinvestment at the 91-day Treasury rate. The daily investor fee is an annualized amount equal to 1.65% of the closing indicative value on the preceding day. The 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%. The company can accelerate the notes if their intraday indicative value is ever 20% or less of the prior day’s closing indicative value. The notes are listed on the NYSE Arca under the ticker symbol “TVIX.” 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.
New Issue:Credit Suisse prices $1.76 million more ETNs linked to Cushing 30 MLP
New York, July 10 – Credit Suisse AG, Nassau Branch priced another $1.76 million of 0% Credit Suisse Equal Weight MLP index exchange-traded notes due April 20, 2020 linked to the Cushing 30 MLP index, according to a 424B2 filing with the Securities and Exchange Commission. The $1 million principal amount add-on priced at 176.0695 for proceeds of $1,760,695. The original $15 million of notes priced on April 13, 2010. The goal of the index is to track the performance of 30 companies that hold mid-stream energy infrastructure assets in
North America. Included securities must be publicly traded and must represent the limited or general partner interests of a partnership that is an operating company or common units of a limited liability company that is an operating company. The notes will pay a quarterly distribution equal to the cash distributions a “reference holder” would have been entitled to receive during that period. A “reference holder” is a hypothetical holder of a number of units of each index master limited partnership equal to (a) the number of units of that MLP represented in the index multiplied by (b) 0.070691, which is
20 divided by the initial index level. The payout at maturity will be par of 20.00 plus the index return, which could be positive or negative, minus a fee factor of 0.85% per year. The notes are putable in increments of $1 million or more on any business day, and they became callable on April 20, 2012 if the principal amount of the notes outstanding is $10 million or less. Both options expire on April 7, 2020. The notes are listed on the NYSE Arca under the symbol “MLPN.” Credit Suisse Securities (USA) LLC is the underwriter.
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Issuer: Credit Suisse AG, Nassau BranchIssue: VelocityShares 3x Inverse Silver ETNUnderlying index: S&P GSCI Silver Index Excess ReturnAmount: $268,108,150, increased from original
$5 millionProceeds: $934,590 for latest $1.25 millionMaturity: Oct. 14, 2031Coupon: 0%Prices: Par of $50 for original $5 million;
74.7672 for latest $1.25 millionPayout at maturity: Amount equal to closing indicative
value of notes on Feb. 2, 2032Closing 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 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; July 9 for latest add-on
Settlement date: Feb. 10, 2012 for original issue; July 14 for latest add-on
New Issue:Credit Suisse prices $934,590 more VelocityShares 3x Inverse Silver ETNs
New York, July 10 – Credit Suisse AG, Nassau Branch priced another $934,590 of 0% VelocityShares 3x Inverse 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. The $1.25 million principal amount add-on priced at 74.7672 for proceeds of $934,590. The original $5 million of notes priced on Oct. 14, 2011. The payout at maturity will equal the closing indicative value of the notes on Oct. 8, 2031. The 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. The 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. The 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 three. The daily accrual is the rate of interest that could be earned on a notional capital reinvestment at the 91-day Treasury rate. The daily investor fee is an annualized
amount equal to 1.65% of the closing indicative value on the preceding day. The 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%. The company can accelerate the notes if their intraday indicative value is ever 15% or less of the prior day’s closing indicative value. The notes are listed on the NYSE Arca under the ticker symbol “DSLV.” 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.
New Issue:Credit Suisse prices $9.56 million more VelocityShares Daily Inverse VIX Medium Term ETNs
New York, July 10 – Credit Suisse AG, Nassau Branch priced another $9.56 million of 0% VelocityShares Daily Inverse VIX Medium Term ETNs due Dec. 4, 2030 linked to the S&P 500 VIX Medium-Term Futures index, according to a 424B2 filing with the Securities and Exchange Commission. The $2.5 million principal amount add-on priced at 382.4096 for proceeds of $9,560,240. The original $5 million of notes priced on Nov. 29, 2010. The payout at maturity will equal the closing indicative value of the notes on Nov. 29, 2030. On June 27, 2011 the company implemented an eight-for-one split of the notes, reducing the principal amount of each note to $12.50 from $100.
The closing indicative value of the notes on the inception date was $12.50. 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. The 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. The 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. The daily accrual is the rate of interest that could be earned on a notional capital reinvestment at the 91-day Treasury rate.
The daily investor fee is an annualized amount equal to 1.35% of the closing indicative value on the preceding day. The 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%. The company can accelerate the notes if their intraday indicative value is ever 20% or less of the prior day’s closing indicative value. The notes are listed on the NYSE Arca under the ticker symbol “ZIV.” 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.
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Issuer: Credit Suisse AG, London BranchIssue: Autocallable reverse convertible
securitiesUnderlying stock: American Railcar Industries, Inc.
(Symbol: ARII)Amount: $2,306,000Maturity: July 13, 2015Coupon: 10%, payable monthlyPrice: ParPayout at maturity: Par unless American Railcar stock
closes at or below knock-in price during life of notes and finishes below initial
share price, in which case 14.7732 American Railcar shares
Call: At par if American Railcar shares close at or above initial share price on Jan. 7, 2015 or April 8, 2015
Initial share price: $67.69Knock-in price: $47.383, 70% of initial share pricePricing date: July 8Settlement date: July 11Agent: Credit Suisse Securities (USA) LLCFees: 2.1%Cusip: 22547QQC3
New Issue:Credit Suisse prices $2.31 million autocallable reverse convertibles linked to American Railcar
By Angela McDaniels Tacoma, Wash., July 10 – Credit Suisse AG, London Branch priced $2.31 million of 10% autocallable reverse convertible notes due July 13, 2015 linked to the common stock of American Railcar Industries, Inc., according to a 424B2 filing with the Securities and Exchange Commission. Interest is payable monthly. The notes will be called at par if American Railcar shares close
at or above the initial share price on Jan. 7, 2015 or April 8, 2015. The payout at maturity will be par unless American Railcar shares close at or below the knock-in price, 70% of the initial share price, during the life of the notes and finish below the initial share price, in which case the payout will be a number of American Railcar shares equal to $1,000 divided by the initial share price. Credit Suisse Securities (USA) LLC is the agent.
Gold Miners exchange-traded fund and the United States Oil Fund, LP,
Amount: $1,389,000Maturity: July 11, 2016Coupon: 9% per year unless any underlying
component closes at or below knock-in level during life of notes, in which case coupon will be 1% from then on; payable quarterly
Price: ParPayout at maturity: If any component closes at or below
knock-in level during life of notes, par plus return of worst performing component, capped at par; otherwise, par
Call option: At par on any interest payment dateInitial levels: 1,172.15 for Russell, $38.180 for oil
fund and $26.44 for gold fundKnock-in levels: 668.126 for Russell, $21.763 for oil
fund and $15.071 for gold fund; 57% of initial levels
Pricing date: July 8Settlement date: July 11Agent: Credit Suisse Securities (USA) LLCFees: 0.55%Cusip: 22547QQ90
New Issue:Credit Suisse prices $1.4 million high/low coupon callable yield notes linked to index, funds
By Susanna Moon Chicago, July 10 – Credit Suisse AG, Nassau Branch priced $1.4 million of high/low coupon callable yield notes due July 11, 2016 linked to the Russell 2000 index, the Market Vectors Gold Miners exchange-traded fund and the United States Oil Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission. A knock-in event will occur if any underlying component closes at or below its knock-in level, 57% of its initial level.
Interest is payable quarterly. The coupon will be 9% per year unless a knock-in event occurs, in which case the coupon will be 1% per year for that and each subsequent quarterly interest period. The payout at maturity will be par unless a knock-in event has occurred, in which case the payout will be par plus the return of the worst performing component, up to a maximum payout of par. The notes are callable at par on any interest payment date. Credit Suisse Securities (USA) LLC is the agent.
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Issuer: Credit Suisse AG, London BranchIssue: High/low coupon callable yield notesUnderlying components: Russell 2000 index, Market Vectors
Gold Miners exchange-traded fund and the United States Oil Fund, LP
Amount: $986,000Maturity: Jan. 11, 2016Coupon: 8% per year unless any underlying
component closes at or below knock-in level during life of notes, in which case coupon will be 1% from then on; payable quarterly
Price: ParPayout at maturity: If any component closes at or below
knock-in level during life of notes, par plus return of worst performing component, capped at par; otherwise, par
Call option: At par on any interest payment dateInitial levels: 1,172.15 for Russell, $38.18 for oil fund
and $26.44 for gold fundKnock-in levels: 756.037 for Russell, $24.626 for oil
fund and $17.054 for gold fund; 64.5% of initial levels
Pricing date: July 8Settlement date: July 11Agent: Credit Suisse Securities (USA) LLCFees: 2.8%Cusip: 22547QQA7
New Issue:Credit Suisse prices $986,000 high/low coupon callable yield notes linked to index, funds
By Susanna Moon Chicago, July 10 – Credit Suisse AG, London Branch priced $986,000 of high/low coupon callable yield notes due Jan. 11, 2016 linked to the Russell 2000 index, the Market Vectors Gold Miners exchange-traded fund and the United States Oil Fund, LP, according to a 424B2 filing with the Securities and
Exchange Commission. A knock-in event will occur if any underlying component closes at or below its knock-in level, 64.5% of its initial level. Interest is payable quarterly. The coupon will be 8% per year unless a knock-in event occurs, in which case the coupon will be 1% per year for that and each subsequent quarterly interest period.
The payout at maturity will be par unless a knock-in event has occurred, in which case the payout will be par plus the return of the worst performing component, up to a maximum payout of par. The notes are callable at par on any interest payment date. Credit Suisse Securities (USA) LLC is the agent.
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Issuer: Goldman Sachs Group, Inc.Issue: Leveraged trigger notesUnderlying index: Stoxx Europe Mid 200Amount: $2.69 millionMaturity: July 13, 2016Coupon: 0%Price: ParPayout at maturity: If index’s final level is greater than or
equal to 90% of initial level, par plus
1.25 times index return, subject to minimum payout of par; otherwise, par plus index return
Initial index level: 360.69Pricing date: July 8Settlement date: July 11Underwriter: Goldman Sachs & Co.Fees: 1.675%Cusip: 38147QCU8
New Issue:Goldman prices $2.69 million leveraged trigger notes linked to Stoxx Europe Mid 200
By Jennifer Chiou New York, July 10 – Goldman Sachs Group, Inc. priced $2.69 million of 0% leveraged trigger notes due July 13, 2016 linked to the Stoxx Europe Mid 200 index, according to a 424B2 filing with the Securities and Exchange Commission. If the index’s final level is greater than or equal to 90% of the
initial level, the payout at maturity will be par plus 1.25 times the index return, subject to a minimum payout of par. If the index’s final index level is less than 90% of the initial level, the payout at maturity will be par plus the index return. Goldman Sachs & Co. is the underwriter.
Issuer: Goldman Sachs Group, Inc.Issue: Callable quarterly range accrual notesUnderlyings: Russell 2000, LiborAmount: $1 millionMaturity: July 11, 2024Coupon: 6.7% per year multiplied by proportion
of days on which index closes at or above barrier level and Libor is 6% or less; payable quarterly
Price: ParPayout at maturity: If index return is greater than or equal
to negative 40%, par; otherwise, full exposure to index’s decline
Call option: At par on any interest payment date from July 11, 2015 onward
Initial index level: 1,172.147Barrier level: 703.2882, 60% of initial levelPricing date: July 8Settlement date: July 11Underwriter: Goldman Sachs & Co.Fees: 3.35%Cusip: 38147QBU9
New Issue:Goldman Sachs prices $1 million range accrual notes linked to Russell 2000, Libor
By Marisa Wong Madison, Wis., July 10 – Goldman Sachs Group, Inc. priced $1 million of callable quarterly range accrual notes due July 11, 2024 linked to the Russell 2000 index and Libor, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 6.7% multiplied by the proportion of days on which the index closes at or above the barrier level, 60% of the initial index level, and Libor is 6% or less. Interest is payable quarterly. The payout at maturity will be par if the index return is at least negative 40%.
Investors will be fully exposed to losses from the initial level if the index finishes below the 60% trigger. Beginning on July 11, 2015, the notes will be callable at par on any interest payment date. Goldman Sachs & Co. is the underwriter.
weight), Atlantia SpA (5% weight), Banca Monte dei Paschi di Siena SpA (2.138% weight), Banco Popolare (4.274% weight), CNH Industrial (5% weight), Enel Green Power SpA (3.154% weight), Enel SpA (5% weight), Eni SpA (5% weight), Exor SpA (2.605% weight), Fiat SpA (5% weight), Finmeccanica SpA (2.173% weight), Intesa Sanpaolo SpA ordinary shares (4.675% weight), Intesa Sanpaolo SpA savings shares (0.325% weight), Luxottica Group SpA (5% weight), Mediobanca Banca di Credito Finanziario SpA (3.803% weight), Pirelli & C SpA (2.53% weight), Prysmian SpA (2.913% weight), Saipem
SpA (4.472% weight), Snam SpA (5% weight), Telecom Italia SpA ordinary shares (3.412% weight), Telecom Italia SpA savings shares (1.588% weight), Tenaris SA (5% weight), Terna Rete Elettrica Nazionale SpA (5% weight), UniCredit SpA (5% weight), Unione di Banche Italiane ScpA (5% weight) and Unipolsai SpA (1.938% weight)
Amount: $4,546,000Maturity: Jan. 13, 2016Coupon: 0%Price: 99.4Payout at maturity: Par plus basket return with full exposure
to losses, if anyPricing date: July 8Settlement date: July 15Underwriter: J.P. Morgan Securities LLCFees: 1%Cusip: 48127DRS9
New Issue:JPMorgan prices $4.55 million notes linked to MSCI Italy index stocks
By Marisa Wong Madison, Wis., July 10 – JPMorgan Chase & Co. priced $4.55 million of 0% notes due Jan. 13, 2016 linked to a basket of the shares of the 24 Italian companies included in the MSCI Italy index, according to a 424B2 filing with the Securities and Exchange Commission. The issue price is 99.4% of par. The basket is comprised of 26 ordinary shares and savings shares of the following 24 Italian companies: Assicurazioni Generali SpA, Atlantia SpA, Banca Monte
dei Paschi di Siena SpA, Banco Popolare, CNH Industrial, Enel Green Power SpA, Enel SpA, Eni SpA, Exor SpA, Fiat SpA, Finmeccanica SpA, Intesa Sanpaolo SpA, Luxottica Group SpA, Mediobanca Banca di Credito Finanziario SpA, Pirelli & C SpA, Prysmian SpA, Saipem SpA, Snam SpA, Telecom Italia SpA, Tenaris SA, Terna Rete Elettrica Nazionale SpA, UniCredit SpA, Unione di Banche Italiane ScpA and Unipolsai SpA. The weightings of the shares range from 0.325% to 5%. The calculation agent
took the weights of the stocks in the index and reweighted them so that no basket stock was weighted in excess of 5% of the basket. For each basket stock having an initial weight of more than 5%, the excess weight was distributed to each of the other non-capped basket stocks pro rata according to their initial weights such that no basket stock would be greater than 5%. The payout at maturity will be par plus the basket return. If that return is negative, investors will receive less than par. J.P. Morgan Securities LLC is the agent.
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Issuer: JPMorgan Chase & Co.Issue: Buffered optimization securitiesUnderlying index: Euro Stoxx 50Amount: $1,435,500Maturity: Aug. 14, 2015Coupon: 0%Price: Par of $10Payout at maturity: If index return is positive, par plus
index return, subject to maximum return of 12.33%; par if index declines by 10%
or less; 1% loss for each 1% that index declines beyond 10%
Initial index level: 3,184.38Pricing date: July 8Settlement date: July 11Agents: UBS Financial Services Inc. and J.P.
Morgan Securities, LLCFees: NoneCusip: 481246866
New Issue:JPMorgan prices $1.44 million buffered optimization notes linked to Euro Stoxx 50
By Angela McDaniels Tacoma, Wash., July 10 – JPMorgan Chase & Co. priced $1.44 million of 0% buffered optimization securities due Aug. 14, 2015 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 the index return, subject to a maximum return of 12.33%.
Investors will receive par if the index declines by 10% or less and will lose 1% for each 1% that it declines beyond 10%. UBS Financial Services Inc. and J.P. Morgan Securities, LLC are the agents.
Issuer: JPMorgan Chase & Co.Issue: Reverse exchangeable notesUnderlying stock: International Game Technology
(Symbol: IGT)Amount: $1 millionMaturity: Oct. 14, 2014Coupon: 9.3%, payable monthlyPrice: ParPayout at maturity: Par in cash unless International Game
shares fall below the protection price of $10.69, 70.0524% of the initial
price, and finish below the initial price, in which case 65.5308 shares of International Game stock
Initial price: $15.26Protection price: $10.69, 70.0524% of $15.26Exchange ratio: 65.5308Pricing date: July 8Settlement date: July 11Agent: JPMorganFees: 0.5%Cusip: 48127DSP4
New Issue:JPMorgan prices $1 million 9.3% reverse exchangeables linked to International Game
New York, July 10 – JPMorgan Chase & Co. priced $1 million of 9.3% reverse exchangeable notes due Oct. 14, 2014 linked to International Game Technology shares, according to a 424B2 filing with the
Securities and Exchange Commission. The payout at maturity will be par in cash unless International Game shares fall below the protection price of $10.69, 70.0524% of the initial price of $15.26,
during the life of the notes and finish below the initial price in which case the payout will be 65.5308 shares of International Game stock. JPMorgan is the agent.
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Issuer: Royal Bank of CanadaIssue: Contingent coupon callable yield
notesUnderlying stock: Valero Energy Corp. (NYSE: VLO)Amount: $8,031,000Maturity: July 14, 2016Coupon: 12% per year, payable quarterly, if
stock closes at or above barrier level on quarterly observation date
Price: ParPayout at maturity: Par unless stock finishes below knock-in
level, in which case a number of Valero shares equal to $1,000 divided by initial
stock price or, at issuer’s option, the cash value of those shares
Call option: At par plus contingent coupon, if any, on any interest payment date beginning Oct. 15
Initial price: $49.28Barrier/knock-in level: $36.96, 75% of initial pricePricing date: July 9Settlement date: July 14Agents: RBC Capital Markets, LLC and
BarclaysFees: 1.75%Cusip: 78010UM87
New Issue:RBC prices $8.03 million contingent coupon callable yield notes tied to Valero Energy
By Toni Weeks San Luis Obispo, Calif., July 10 – Royal Bank of Canada priced $8.03 million of contingent coupon callable yield notes due July 14, 2016 linked to the common stock of Valero Energy Corp., according to a 424B2 with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 12% if the stock closes at or above its coupon barrier – 75% of the initial share price – on any quarterly observation date. The notes will be callable at par plus the contingent coupon on any quarterly interest payment date beginning Oct. 15.
The payout at maturity will be par unless the stock finishes below its 75% knock-in level, in which case investors will receive a number of Valero shares equal to $1,000 divided by the initial stock price or, at the issuer’s option, the cash value of those shares. RBC Capital Markets, LLC and Barclays are the agents.
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Issuer: Royal Bank of CanadaIssue: Autocallable market-linked step up
notesUnderlying indexes: Euro Stoxx 50 index with a weight
of 85% and MSCI Emerging Markets index with a weight of 15%
Amount: $6,245,400Maturity: July 28, 2017Coupon: 0%Price: Par of $10Payout at maturity: If basket finishes at or above 120.5%
of initial level, par plus basket return; if basket finishes below step-up level but at or above initial level, par plus step-up
return of 20.5%; par if basket falls by up to 5%; full exposure to losses beyond 5%
Call: At par plus an annualized call premium of 8% if basket closes at or above its initial level on July 10, 2015 or July 15, 2016
Initial levels: 3,184.38 for Euro Stoxx, 1,064.73 for MSCI EM
Pricing date: July 8Settlement date: July 15Agent: BofA Merrill LynchFees: 2%Cusip: 78011X787
New Issue:RBC prices $6.25 million market-linked step-up autocallable notes on two indexes
By Marisa Wong Madison, Wis., July 10 – Royal Bank of Canada priced $6.25 million of 0% autocallable market-linked step up notes due July 28, 2017 linked to two indexes, according to a 424B2 filing with the Securities and Exchange Commission. The basket consists of the Euro Stoxx 50 index with a weight of 85% and the
MSCI Emerging Markets index with a weight of 15%. The notes will be called at par plus an annualized call premium of 8% if the basket closes at or above its initial level on either annual call date. If the basket finishes at or above the step-up value – 120.5% of the initial level – the payout at maturity will be par plus the
basket return. If the basket finishes below the step-up level but at or above the initial level, the payout will be par plus the step-up return of 20.5%. Investors will receive par if the basket falls by up to 5% and will be exposed to losses beyond 5%. BofA Merrill Lynch is the underwriter.
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Issuer: Royal Bank of CanadaIssue: Bullish barrier booster notesUnderlying indexes: MSCI EAFE, Euro Stoxx 50Amount: $3 millionMaturity: Jan. 11, 2018Coupon: 0%Price: ParPayout at maturity: If return of worse performing index is
greater than 12%, par plus the return, capped at 50%; if return of worse performing index is greater than or equal to negative 31% but less than or equal to 12%, par plus 12%; if return
of worse performing index is less than negative 31%, investors will be fully exposed to decline
Initial levels: 1,964.55 for MSCI EAFE, 3,184.38 for Euro Stoxx
Barrier levels: 1,355.54 for MSCI EAFE, 2,197.22 for Euro Stoxx, 69% of initial levels
Pricing date: July 8Settlement date: July 11Underwriter: RBC Capital Markets, LLCFees: 3.5%Cusip: 78010UM61
New Issue:RBC prices $3 million bullish barrier booster notes tied to MSCI EAFE, Euro Stoxx
By Marisa Wong Madison, Wis., July 10 – Royal Bank of Canada priced $3 million of 0% bullish barrier booster notes due Jan. 11, 2018 linked to the worse performing of the MSCI EAFE index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission. If the return of the worse performing index is greater than 12%, the payout at maturity will be par plus the return, subject to a
maximum return of 50%. If the return of the worse performing index is greater than or equal to negative 31% but less than or equal to 12%, the payout will be par plus 12%. If the return of the worse performing index is less than negative 31%, investors will be fully exposed to the decline of the worse performing index. RBC Capital Markets, LLC is the underwriter.
Issuer: Royal Bank of CanadaIssue: Fixed-to-floating notesAmount: $1.7 millionMaturity: July 16, 2019Coupon: 1.35% initially; after three years, Libor
plus 50 bps, subject to 4% cap; payable quarterly
Price: ParPayout at maturity: ParPricing date: July 9Settlement date: July 16Underwriter: RBC Capital Markets LLCFees: 0.75%Cusip: 78010UWE3
New Issue:RBC prices $1.7 million fi xed-to-fl oating notes with 1.35% initial rate
By Jennifer Chiou New York, July 10 – Royal Bank of Canada priced $1.7 million of fixed-to-floating notes due July 16, 2019, according to a 424B2 filing with the Securities and
Exchange Commission. The coupon will be 1.35% for the first three years. After that, the rate will be Libor plus 50 basis points, up to a maximum interest rate of 4%. Interest is
payable quarterly and will not be less than zero. The payout at maturity will be par. RBC Capital Markets LLC is the underwriter.
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Issuer: Royal Bank of CanadaIssue: Trigger phoenix autocallable notesUnderlying stock: Yahoo! Inc. (Symbol: YHOO)Amount: $400,000Maturity: July 14, 2016Coupon: 9%, payable quarterly if stock closes at
or above coupon barrier on observation date for that quarter
Price: Par of $10.00Payout at maturity: Par plus contingent coupon if Yahoo!
shares finish at or above coupon barrier; par if shares finish below coupon barrier but at or above trigger price; otherwise,
par plus stock returnCall: Automatically at par plus contingent
coupon if Yahoo! shares close at or above initial price on any quarterly observation date
Initial share price: $34.85Coupon barrier: $27.53, 79% of initial priceTrigger price: $26.14, 75% of initial pricePricing date: July 9Settlement date: July 14Agent: RBC Capital Markets, LLCFees: 2.4%Cusip: 78010UN37
New Issue:RBC prices $400,000 trigger phoenix autocallable notes linked to Yahoo!
By Toni Weeks San Luis Obispo, Calif., July 10 – Royal Bank of Canada priced $400,000 of trigger phoenix autocallable notes due July 14, 2016 linked to the common stock of Yahoo! Inc., according to a 424B2 filing with the Securities and Exchange Commission. If Yahoo! stock closes at or above the
coupon barrier – 79% 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%. Otherwise, no coupon will be paid that quarter. If the shares close at or above the initial price on any quarterly observation date, the notes will be called at par plus the contingent coupon.
If the notes are not called and Yahoo! shares finish at or above the coupon barrier, the payout at maturity will be par plus the contingent coupon. If the stock finishes below the coupon barrier but at or above the 75% trigger price, the payout will be par. Otherwise, investors will be exposed to the share price decline from the initial price. RBC Capital Markets, LLC is the agent.
Friday July 11, 2014 Page 26
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Issuer: UBS AG, London BranchIssue: Trigger phoenix autocallable
optimization securitiesUnderlying stock: Abercrombie & Fitch Co. (NYSE: ANF)Amount: $100,000Maturity: July 17, 2015Coupon: 9.38%, payable quarterly if stock closes
at or above trigger price on observation date for that quarter
Price: Par of $10.00Payout at maturity: Par plus contingent coupon if
Abercrombie shares finish at or above trigger price; otherwise, par plus stock
returnCall: Automatically at par plus contingent
coupon if Abercrombie shares close at or above initial price on a quarterly observation date
Initial share price: $41.69Trigger price: $27.10, 65% of initial pricePricing date: July 10Settlement date: July 15Underwriters: UBS Financial Services Inc. and UBS
Investment BankFees: 1.15%Cusip: 90272N481
New Issue:UBS prices $100,000 trigger phoenix autocallables linked to Abercrombie
New York, July 10 – UBS AG, London Branch priced $100,000 of trigger phoenix autocallable optimization securities due July 17, 2015 linked to the common stock of Abercrombie & Fitch Co., according to a 424B2 filing with the Securities and Exchange Commission. If Abercrombie stock closes at or above the trigger price – 65% of the initial
share price – on a quarterly observation date, the issuer will pay a contingent coupon for that quarter at the rate of 9.38%. 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 Abercrombie 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 BranchIssue: Airbag yield optimization notesUnderlying stock: BlackBerry Ltd. (Nasdaq: BBRY)Amount: $100,000Maturity: July 17, 2015Coupon: 11.47%, payable monthlyPrice: ParPayout at maturity: If final share price is less than
conversion price, number of BlackBerry shares equal to $1,000 divided by
conversion price; otherwise, parInitial share price: $11.42Conversion price: $9.71, 85% of initial pricePricing date: July 10Settlement date: July 15Underwriters: UBS Financial Services Inc. and UBS
Investment BankFees: 1.81%Cusip: 90272N507
New Issue:UBS prices $100,000 airbag yield optimization notes tied to BlackBerry
New York, July 10 – UBS AG, London Branch priced $100,000 of 11.47% airbag yield optimization notes due July 17, 2015 linked to the common stock of BlackBerry Ltd., according to a 424B2 filing with the Securities and Exchange Commission. Interest is payable monthly. The payout at maturity will be par unless the final share price
is less than the conversion price, in which case the payout will be a number of BlackBerry shares equal to $1,000 divided by the conversion price. The conversion price is 85% of the initial share price. UBS Financial Services Inc. and UBS Investment Bank is the agent.
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Issuer: UBS AG, London BranchIssue: Trigger yield optimization notesUnderlying stock: Cree, Inc.Amount: $209,573.28Maturity: July 15, 2015Coupon: 8.65%, payable monthlyPrice: Par of $48.92Payout at maturity: If final share price is less than trigger
price, one Cree share; otherwise, par
Initial share price: $48.92Trigger price: $36.69, 75% of initial pricePricing date: July 10Settlement date: July 15Underwriters: UBS Financial Services Inc. and UBS
Investment BankFees: 2%Cusip: 90272N523
New Issue:UBS prices $209,573 8.65% trigger yield optimization notes on Cree
New York, July 10 – UBS AG, London Branch priced $209,573.28 of 8.65% trigger yield optimization notes due July 15, 2015 linked to the common stock of Cree, Inc., according to a 424B2 filing with the Securities and Exchange Commission. The face amount of each note is $48.92, which is equal to the initial share price of Cree stock.
Interest is payable monthly. The payout at maturity will be par unless the final price of Cree stock is less than 75% of the initial share price, in which case investors will receive one Cree share per note. UBS Financial Services Inc. and UBS Investment Bank are the underwriters.
Issuer: UBS AG, London BranchIssue: Trigger phoenix autocallable
optimization securitiesUnderlying stock: Delta Air Lines, Inc.Amount: $100,000Maturity: July 17, 2015Coupon: 7.49%, payable quarterly if stock closes
at or above trigger price on observation date for that quarter
Price: Par of $10.00Payout at maturity: Par plus contingent coupon if Delta Air
shares finish at or above trigger price; otherwise, par plus stock return
Call: Automatically at par plus contingent coupon if Delta Air shares close at or above initial price on a quarterly observation date
Initial share price: $37.45Trigger price: $26.21, 70% of initial pricePricing date: July 10Settlement date: July 15Underwriters: UBS Financial Services Inc. and UBS
Investment BankFees: 1.5%Cusip: 90272N515
New Issue:UBS prices $100,000 trigger phoenix autocallables linked to Delta Air
New York, July 10 – UBS AG, London Branch priced $100,000 of trigger phoenix autocallable optimization securities due July 17, 2015 linked to the common stock of Delta Air Lines, Inc., according to a 424B2 filing with the Securities and Exchange Commission. If Delta Air 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 7.49%. 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 Delta Air 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.
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Issuer: UBS AG, London BranchIssue: Trigger phoenix autocallable
optimization securitiesUnderlying stock: Facebook, Inc. (Nasdaq: FB)Amount: $312,000Maturity: July 17, 2015Coupon: 10.66%, payable quarterly if stock
closes at or above trigger price on observation date for that quarter
Price: Par of $10.00Payout at maturity: Par plus contingent coupon if Facebook
shares finish at or above trigger price; otherwise, par plus stock return
Call: Automatically at par plus contingent coupon if Facebook shares close at or above initial price on a quarterly observation date
Initial share price: $64.88Trigger price: $45.42, 70% of initial pricePricing date: July 10Settlement date: July 15Underwriters: UBS Financial Services Inc. and UBS
Investment BankFees: 1.5%Cusip: 90272N457
New Issue:UBS prices $312,000 trigger phoenix autocallables linked to Facebook
New York, July 10 – UBS AG, London Branch priced $312,000 of trigger phoenix autocallable optimization securities due July 17, 2015 linked to the common stock of Facebook, Inc., according to a 424B2 filing with the Securities and Exchange Commission. If Facebook 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 10.66%. 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 Facebook 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.
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Issuer: UBS AG, London BranchIssue: Trigger phoenix autocallable
optimization securitiesUnderlying stock: GT Advanced Technologies Inc.
(Nasdaq: GTAT)Amount: $105,000Maturity: July 17, 2015Coupon: 26.97%, payable quarterly if stock
closes at or above trigger price on observation date for that quarter
Price: Par of $10.00Payout at maturity: Par plus contingent coupon if GT
Advanced shares finish at or above trigger
price; otherwise, par plus stock returnCall: Automatically at par plus contingent
coupon if GT Advanced shares close at or above initial price on a quarterly observation date
Initial share price: $16.11Trigger price: $9.67, 60% of initial pricePricing date: July 10Settlement date: July 15Underwriters: UBS Financial Services Inc. and UBS
Investment BankFees: 1.5%Cusip: 90272N424
New Issue:UBS prices $105,000 trigger phoenix autocallables linked to GT Advanced
New York, July 10 – UBS AG, London Branch priced $105,000 of trigger phoenix autocallable optimization securities due July 17, 2015 linked to the common stock of GT Advanced Technologies Inc., according to a 424B2 filing with the Securities and Exchange Commission. If GT Advanced stock closes at or
above the trigger price – 60% of the initial share price – on a quarterly observation date, the issuer will pay a contingent coupon for that quarter at the rate of 26.97%. 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 GT Advanced 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.
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Issuer: UBS AG, London BranchIssue: Trigger phoenix autocallable
optimization securitiesUnderlying stock: Hewlett-Packard Co. (NYSE: HPQ)Amount: $145,000Maturity: July 18, 2016Coupon: 10.37%, payable quarterly if stock
closes at or above trigger price on observation date for that quarter
Price: Par of $10.00Payout at maturity: Par plus contingent coupon if Hewlett-
Packard shares finish at or above trigger price; otherwise, par plus stock return
Call: Automatically at par plus contingent coupon if Hewlett-Packard shares close at or above initial price on a quarterly observation date
Initial share price: $33.85Trigger price: $27.08, 80% of initial pricePricing date: July 10Settlement date: July 15Underwriters: UBS Financial Services Inc. and UBS
Investment BankFees: 1.5%Cusip: 90272N465
New Issue:UBS prices $145,000 trigger phoenix autocallable optimization securities linked to Hewlett-Packard
New York, July 10 – UBS AG, London Branch priced $145,000 of trigger phoenix autocallable optimization securities due July 18, 2016 linked to the common stock of Hewlett-Packard Co., according to a 424B2 filing with the Securities and Exchange Commission. If Hewlett-Packard 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 10.37%. 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 Hewlett-Packard 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.
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Issuer: UBS AG, London BranchIssue: Trigger phoenix autocallable
closes at or above trigger price on observation date for that quarter
Price: Par of $10.00Payout at maturity: Par plus contingent coupon if Palo Alto
shares finish at or above trigger price; otherwise, par plus stock return
Call: Automatically at par plus contingent coupon if Palo Alto shares close at or above initial price on a quarterly observation date
Initial share price: $76.71Trigger price: $53.70, 70% of initial pricePricing date: July 10Settlement date: July 15Underwriters: UBS Financial Services Inc. and UBS
Investment BankFees: 1.5%Cusip: 90272N432
New Issue:UBS prices $1.13 million trigger phoenix autocallable optimization securities linked to Palo Alto
New York, July 10 – UBS AG, London Branch priced $1,130,000 of trigger phoenix autocallable optimization securities due Jan. 19, 2016 linked to the common stock of Palo Alto Networks, Inc., according to a 424B2 filing with the Securities and Exchange Commission. If Palo Alto 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 14.99%. 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 Palo Alto 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.
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Issuer: UBS AG, London BranchIssue: Trigger phoenix autocallable
optimization securitiesUnderlying stock: Tesla Motors, Inc. (Nasdaq: TSLA)Amount: $300,000Maturity: July 18, 2016Coupon: 11.35%, payable quarterly if stock
closes at or above trigger price on observation date for that quarter
Price: Par of $10.00Payout at maturity: Par plus contingent coupon if Tesla
Motors shares finish at or above trigger price; otherwise, par plus stock return
Call: Automatically at par plus contingent coupon if Tesla Motors shares close at or above initial price on a quarterly observation date
Initial share price: $219.46Trigger price: $131.68, 60% of initial pricePricing date: July 10Settlement date: July 15Underwriters: UBS Financial Services Inc. and UBS
Investment BankFees: 1.5%Cusip: 90272N473
New Issue:UBS prices $300,000 trigger phoenix autocallables linked to Tesla Motors
New York, July 10 – UBS AG, London Branch priced $300,000 of trigger phoenix autocallable optimization securities due July 18, 2016 linked to the common stock of Tesla Motors, Inc., according to a 424B2 filing with the Securities and Exchange Commission. If Tesla Motors stock closes at or above the trigger price – 60% of the initial share
price – on a quarterly observation date, the issuer will pay a contingent coupon for that quarter at the rate of 11.35%. 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 Tesla Motors 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 BranchIssue: Trigger yield optimization notesUnderlying stock: Petroleo Brasileiro SA (NYSE: PBR)Amount: $119,973.6Maturity: July 16, 2015Coupon: 11.16%, payable monthlyPrice: Par of $15.20Payout at maturity: If final share price is less than trigger
price, one Petroleo Brasileiro share;
otherwise, parInitial share price: $15.20Trigger price: $12.92, 85% of initial pricePricing date: July 10Settlement date: July 15Underwriters: UBS Financial Services Inc. and UBS
Investment BankFees: 1.52%Cusip: 90272N499
New Issue:UBS prices $119,973 11.16% trigger yield optimization notes linked to Petroleo Brasileiro
New York, July 10 – UBS AG, London Branch priced $119,973.6 of 11.16% trigger yield optimization notes due July 16, 2015 linked to the American depositary shares of Petroleo Brasileiro SA, according to a 424B2 filing with the
Securities and Exchange Commission. The face amount of each note is $15.20, which is equal to the initial share price of Petroleo Brasileiro stock. Interest is payable monthly. The payout at maturity will be par
unless the final price of Petroleo Brasileiro stock is less than 85% of the initial share price, in which case investors will receive one Petroleo Brasileiro share per note. UBS Financial Services Inc. and UBS Investment Bank are the underwriters.
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Issuer: UBS AG, London BranchIssue: Trigger yield optimization notesUnderlying fund: Market Vectors Junior Gold Miners ETFAmount: $199,962.8Maturity: July 15, 2015Coupon: 8.71%, payable monthlyPrice: Par of $43.66Payout at maturity: If final share price is less than trigger
price, one fund share; otherwise, par
Initial share price: $43.66Trigger price: $30.56, 70% of initial pricePricing date: July 10Settlement date: July 15Underwriters: UBS Financial Services Inc. and UBS
Investment BankFees: 2%Cusip: 90272N440
New Issue:UBS prices $199,962 8.71% trigger yield optimization notes linked to gold fund
New York, July 10 – UBS AG, London Branch priced $199,962.8 of 8.71% trigger yield optimization notes due July 15, 2015 linked to the shares of the Market Vectors Junior Gold Miners ETF, according to a 424B2 filing with the
Securities and Exchange Commission. The face amount of each note is $43.66, which is equal to the initial share price. Interest is payable monthly. The payout at maturity will be par
unless the final price is less than 70% of the initial share price, in which case investors will receive one share per note. UBS Financial Services Inc. and UBS Investment Bank are the underwriters.
Issuer: Federal Home Loan BanksIssue: Step up notesAmount: $45 millionMaturity: July 23, 2019Coupon: 1.25% initial ratePrice: Par
Call: Bermuda callPricing date: June 26Settlement date: July 23Underwriters: Incapital and MesirowCusip: 3130A2JE7
New Issue:FHLB upsizes to $45 million fi ve-year callable step up notes at 1.25% initial rate
New York, July 10 – Federal Home Loan Banks upsized to $45 million its sale of 1.25% initial rate five-year callable step up notes at par, according to the agency’s web site.
The bonds will mature on July 23, 2019 and have a Bermuda call. FHLB originally priced $35 million of the issue. Incapital and Mesirow are the managers.
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Issuer: Federal Home Loan BanksIssue: Capped floatersAmount: $10 millionMaturity: Aug. 6, 2021Coupon: FloatingPrice: Par
Call: Bermuda callPricing date: July 10Settlement date: Aug. 6Underwriter: Barclays CapitalCusip: 3130A2M94
New Issue:FHLB prices $10 million seven-year callable capped fl oaters
New York, July 10 – Federal Home Loan Banks priced $10 million of 1% seven-year callable capped floaters at par, according to the agency’s web site.
The bonds will mature on Aug. 6, 2021 and have a Bermuda call. Barclays Capital is the manager.
Issuer: Federal Home Loan BanksIssue: Step up notesAmount: $35 millionMaturity: July 30, 2019Coupon: 1.625% initial ratePrice: Par
Call: Bermuda callPricing date: July 1Settlement date: July 30Underwriters: Incapital and MesirowCusip: 3130A2JV9
New Issue:FHLB upsizes to $35 million fi ve-year callable step up notes at 1.625% initial rate
New York, July 10 – Federal Home Loan Banks upsized to $35 million its sale of 1.625% initial rate five-year callable step up notes at par, according to the agency’s web site.
The bonds will mature on July 30, 2019 and have a Bermuda call. FHLB originally priced $25 million of the issue. Incapital and Mesirow are the managers.
Issuer: Freddie MacIssue: Step up medium-term notesAmount: $50 millionMaturity: July 16, 2018Coupon: 0.50% from July 16, 0.75% from Jan.
16, 2015, 1.00% from July 16, 2015, 1.25% from Jan. 16, 2016, 1.50% from July 16, 2016, 2.00% from Jan. 16,
2017, 3.00% from July 16, 2017, 4.00% from Jan. 16, 2018
Price: ParCall: Bermuda call beginning Oct. 16Pricing date: July 9Settlement date: July 16Underwriter: UBS Securities LLCCusip: 3134G5D85
New Issue:Freddie Mac prices $50 million four-year non-call 0.25-year step up notes at 0.50% initial rate
New York, July 10 – Freddie Mac priced $50 million of 0.50% initial rate four-year non-call 0.25-year step up
medium-term notes at par, according to the agency’s web site. The bonds will mature on July 16,
2018 and have a Bermuda call beginning Oct. 16. UBS Securities LLC is the manager.
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BANK OF AMERICA CORP.
• Capped Leveraged Index Return Notes due August 2017 linked to the natural gas futures contract; via BofA Merrill Lynch; pricing in July
• Autocallable market-linked step-up notes due July 2016 linked to the PHLX Housing Sector index; via BofA Merrill Lynch; pricing in July
• 0% autocallable market-linked step-up notes due July 2016 linked to the S&P Oil & Gas Exploration and Production Select Industry index; via BofA Merrill Lynch; pricing in July
• 14-month 0% Accelerated Return Notes due September 2015 linked to the S&P Oil & Gas Exploration and Production Select Industry index; via BofA Merrill Lynch; pricing in July
• 14-month 0% Accelerated Return Notes due September 2015 linked to the S&P Oil & Gas Exploration and Production Select Industry index; via BofA Merrill Lynch; pricing in July
BANK OF MONTREAL
• 0% notes due July 31, 2024 linked to the BMO Q-30 Strategy; via BMO Capital Markets Corp.; pricing July 28; Cusip: 06366RTZ8
• 0% autocallable barrier notes with step-up call price due July 31, 2017 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing July 28; Cusip: 06366RVB8
• 0% buffered bullish digital return notes due July 31, 2018 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing July 28; Cusip: 06366RVC6
• 0% bullish enhanced return notes due July 31, 2018 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing July 28; Cusip: 06366RUX1
• 0% bullish enhanced return notes due July 31, 2018 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing July 28; Cusip: 06366RUW3
• 0% contingent risk absolute return notes due July 31, 2020 linked to the SPDR Dow Jones industrial average exchange-traded fund; via BMO Capital Markets Corp.; pricing July 28; Cusip: 06366RUV5
• 0% bullish enhanced return notes due July 31, 2019 linked to the SPDR Euro Stoxx 50 exchange-traded fund; via BMO Capital Markets Corp.; pricing July 28; Cusip: 06366RUY9
• 0% contingent risk absolute return notes due July 31, 2020 linked to the SPDR Euro Stoxx 50 exchange-traded fund; via BMO Capital Markets Corp.; pricing July 28; Cusip: 06366RUU7
BANK OF NOVA SCOTIA
• Series A callable step-up rate notes due July 30, 2024; via Scotia Capital (USA) Inc.; pricing July 25; Cusip: 064159FJ0
• Series A callable step-up rate notes due July 30, 2019; via Scotia Capital (USA) Inc.; pricing July 25; Cusip: 064159FH4
• Autocallable contingent interest barrier notes due July 30, 2017 linked to the common stock of Facebook Inc.; via Scotia Capital (USA) Inc.; pricing July 25; Cusip: 064159FD3
• Autocallable contingent interest barrier notes due July 30, 2017 linked to the common stock of Goodyear Tire & Rubber Co.; via Scotia Capital (USA) Inc.; pricing July 25; Cusip: 064159FE1
• Autocallable contingent interest barrier notes due July 30, 2017 linked to the common stock of Keurig Green Mountain Inc.; via Scotia Capital (USA) Inc.; pricing July 25; Cusip: 064159FF8
• Autocallable contingent interest barrier notes due July 30, 2017 linked to the common stock of Twitter Inc.; via Scotia Capital (USA) Inc.; pricing July 25; Cusip: 064159FG6
BARCLAYS BANK DELAWARE
• 0% certificates of deposit due Jan. 21, 2022 linked to the S&P 500 index; via Barclays with Incapital LLC; pricing July 18; Cusip: 06740AV97
• Certificates of deposit due July 30, 2020 linked to Apple, Inc., Duke Energy Corp., Hewlett-Packard Co., NIKE Inc. and Ford Motor Co.; via Barclays with Incapital LLC; pricing July 25; Cusip: 06740AV89
• Certificates of deposit due July 30, 2019 linked to Apple, Inc., AbbVie Inc., American Express Co., Bristol-Myers Squibb Co., ConocoPhillips, Cisco Systems, Inc., Ford Motor Co., Microsoft Corp., PPL Corp. and the Williams Cos., Inc.; via Barclays with Incapital LLC; pricing July 25; Cusip: 06740AV48
• Certificates of deposit due July 29, 2021 linked to Apple, Inc., AbbVie Inc., American Express Co., Bristol-Myers Squibb Co., ConocoPhillips, Cisco Systems, Inc., Ford Motor Co., Microsoft Corp., PPL Corp. and the Williams Cos., Inc.; via Barclays with Incapital LLC; pricing July 25; Cusip: 06740AV71
Continued on page 36
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• Certificates of deposit due July 30, 2020 linked to Apple, Inc., AbbVie Inc., American Express Co., Bristol-Myers Squibb Co., ConocoPhillips, Cisco Systems, Inc., Ford Motor Co., Microsoft Corp., PPL Corp. and the Williams Cos., Inc.; via Barclays with Incapital LLC; pricing July 25; Cusip: 06740AV55
• 0% certificates of deposit due July 30, 2019 linked to the Russell 2000 index; via Barclays with Incapital LLC; pricing July 25; Cusip: 06740AW39
• 0% certificates of deposit due July 29, 2021 linked to the S&P 500 index; via Barclays with Incapital LLC; pricing July 25; Cusip: 06740AW21
• 0% certificates of deposit due Jan. 28, 2022 linked to the S&P 500 index; via Barclays; pricing July 25; Cusip: 06740AW54
• 0% certificates of deposit due April 29, 2020 linked to the S&P 500 index; via Barclays; pricing July 25; Cusip: 06740AW70
• 0.25% Certificates of deposit due July 29, 2021 linked to the Shiller Barclays CAPE US Sector Risk Controlled 7% USD Excess Return index; via Barclays with Incapital LLC; pricing July 25; Cusip: 06740AW62
BARCLAYS BANK PLC
• Contingent income autocallable securities due July 17, 2017 with step-up redemption threshold level linked to Ford Motor Co. shares; 80% trigger; via Barclays with Morgan Stanley Wealth Management; pricing July 11; Cusip: 06742W448
• Phoenix autocallable notes due July 29, 2015 linked to Mylan Inc. shares; via Barclays with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as placement agents; pricing July 11; Cusip: 06741UFW9
• Principal-at-risk callable CMS steepener and S&P 500 index-linked notes due July 22, 2024; via Barclays; pricing July 17; Cusip: 06741UFT6
• Capped callable steepener notes due July 28, 2034 linked to the 30-year Constant Maturity Swap rate and the two-year CMS rate; via Barclays; pricing July 23; Cusip: 06741UFK5
• 0% buffered Super Track notes due July 31, 2019 linked to the Dow Jones industrial average; via Barclays; pricing July 28; Cusip: 06741UFP4
• Callable contingent payment notes due July 31, 2019 linked to the Market Vectors Gold Miners exchange-traded fund; via Barclays; pricing July 28; Cusip: 06741UFR0
• 0% buffered Super Track notes due July 31, 2019 linked to the S&P 500 index; via Barclays; pricing July 28; Cusip: 06741UFN9
• 0% trigger performance securities due July 31, 2019 linked to the Vanguard FTSE Emerging Markets exchange-traded fund; via UBS Financial Services Inc. and Barclays; pricing July 28; Cusip: 06742W463
• Annual reset coupon buffered notes due July 31, 2020 linked to the Russell 2000 index; via Barclays; pricing July 29; Cusip: 06741UFQ2
• 0% trigger Performance Leveraged Upside Securities due Feb. 5, 2018 linked to a basket containing equal weights of the S&P 500 index, the Euro Stoxx 50 index and the WisdomTree Japan Hedged Equity fund; via Barclays; pricing July 31; Cusip: 06742W455
• 0% notes due September 2016 linked to the S&P 500 index; via Barclays; pricing in July; Cusip: 06741UFL3
• 0% Barclays Inverse US Treasury Aggregate exchange-traded notes linked to the Barclays Inverse US Treasury Futures Aggregate index; via Barclays; Cusip: 06742W570
• 0% 36-39-month capped leveraged buffered notes linked to the MSCI EAFE index; via Barclays; Cusip: 06741UEZ3
• 0% 24-27-month capped leveraged notes linked to the S&P 500 index; via Barclays; Cusip: 06741UFH2
CITIGROUP INC.
• Fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due July 30, 2029; via Citigroup Global Markets Inc. with Morgan Stanley & Co. LLC as a dealer; pricing July 25; Cusip: 1730T0U56
• 0% market-linked notes due Jan. 31, 2020 linked to the Dow Jones industrial average; via Citigroup Global Markets Inc.; pricing July 28; Cusip: 1730T0U23
• 0% Accelerated Return Notes due Feb. 1, 2018 linked to the Stoxx Europe 600 index; via Citigroup Global Markets Inc.; pricing July 28; Cusip: 1730T0U72
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Prospect NewsThe
Structured
DailyProductsStructured Products Calendar
• 0% trigger step performance securities due July 31, 2018 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc. and UBS Financial Services Inc.; pricing July 29; Cusip: 17322H529
• 0% buffer securities due Aug. 1, 2019 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing July 29; Cusip: 1730T0T90
• Autocallable contingent coupon securities due Aug. 4, 2015 linked to the common stock of Coach, Inc.; via Citigroup Global Markets Inc.; pricing July 30; Cusip: 1730T0U80
CREDIT SUISSE AG
• 0% return enhanced notes due Aug. 3, 2015 linked to Bristol-Myers Squibb Co. shares; via J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA as placement agents; pricing July 11; Cusip: 22547QQ66
• Contingent coupon callable yield notes due July 16, 2019 linked to the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing July 11; Cusip: 22547QQ82
• 0% absolute return barrier securities due July 27, 2020 linked to the Dow Jones industrial average; via Credit Suisse Securities (USA) LLC; pricing July 18; Cusip: 22547QPS9
• 0% absolute return barrier securities due July 27, 2020 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing July 18; Cusip: 22547QNM4
• Contingent coupon callable yield notes due July 25, 2017 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing July 18; Cusip: 22547QPU4
• 0% Buffered Accelerated Return Equity Securities due July 31, 2018 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing July 28; Cusip: 22547QPY6
• Step-up contingent coupon callable yield notes due July 31, 2024 linked to the performance of the Euro Stoxx 50 index and the Russell 2000 index; via Incapital LLC as placement agent; pricing July 28; Cusip: 22547QQD1
• 0% absolute return barrier securities due July 31, 2019 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing July 28; Cusip: 22547QPW0
• 0% accelerated barrier notes due July 31, 2018 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing July 28; Cusip: 22547QPT7
• 0% digital-plus barrier notes due July 31, 2018 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing July 28; Cusip: 22547QPV2
• Annual reset coupon buffered notes due July 31, 2020 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing July 29; Cusip: 2547QQH2
• 0% digital-plus barrier notes due May 31, 2019 linked to the S&P 500 index and the Russell 2000 index; 65% trigger; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22547QPX8
• 0% absolute return barrier securities due Aug. 5, 2019 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22547QQ25
• 8% STEP Income Securities due July 2015 linked to Amazon.com, Inc. shares; via BofA Merrill Lynch; pricing in July
• 0% Accelerated Return Notes due July 2015 linked to the common stock of General Motors Co.; via BofA Merrill Lynch; pricing in July
• Autocallable market-linked step-up notes due July 2017 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in July
• 0% autocallable market-linked step-up notes due July 2017 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in July
• 0% autocallable market-linked step-up notes due July 2017 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in July
• 24-27-month 0% leveraged buffered notes linked to the MSCI EAFE index; via Credit Suisse Securities (USA) LLC; Cusip: 22547QPG5
• 24-27-month 0% leveraged buffered notes linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; Cusip: 22547QPH3
DEUTSCHE BANK AG, LONDON BRANCH
• Trigger phoenix autocallable optimization securities due Jan. 15, 2016 linked to Delta Air Lines, Inc.; via Deutsche Bank Securities Inc. and UBS Financial Services Inc.; pricing July 11Cusip: 25155V549
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Prospect NewsThe
Structured
DailyProductsStructured Products Calendar
• Trigger phoenix autocallable optimization securities due Jan. 15, 2016 linked to Dick’s Sporting Goods, Inc.; via Deutsche Bank Securities Inc. and UBS Financial Services Inc.; pricing July 11Cusip: 25155V531
• 0% digital return notes due Jan. 19, 2016 linked to the Mexican peso relative to the euro; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing July 11; Cusip: 25152RLZ4
• Trigger phoenix autocallable optimization securities due Jan. 15, 2016 linked to Wynn Resorts, Ltd.; via Deutsche Bank Securities Inc. and UBS Financial Services Inc.; pricing July 11; Cusip: 25155V523
• 0% securities linked to lesser performing of iShares MSCI Emerging Markets ETF and Euro Stoxx 50 index; via Deutsche Bank Securities Inc.; pricing July 18; Cusip: 25152RMA8
• 0% uncapped buffered underlying securities due Aug. 2, 2017 linked to the Euro Stoxx 50 index; via Deutsche Bank Securities Inc.; pricing July 28; Cusip: 25152RKQ5
• 0% trigger performance securities due July 31, 2024 linked to the Russell 2000 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing July 28; Cusip: 25155V655
• 0% uncapped buffered underlying securities due Aug. 2, 2018 linked to the S&P 500 index; via Deutsche Bank Securities Inc.; pricing July 28; Cusip: 25152RKR3
• 0% autocallable securities due Aug. 2, 2017 linked to the lesser performing of the S&P 500 index and the Euro Stoxx 50 index; via Deutsche Bank Securities Inc.; pricing July 28; Cusip: 25152RLT8
• 0% return optimization securities due Aug. 31, 2015 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing July 29; Cusip: 25155V671
• 0% trigger performance securities due July 31, 2019 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing July 29; Cusip: 25155V630
• 0% trigger performance securities due July 31, 2019 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing July 29; Cusip: 25155V648
• 0% trigger performance securities due July 31, 2024 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing July 29; Cusip: 25155V663
• 0% airbag performance securities due July 31, 2024 linked to the Euro Stoxx 50 index; via Deutsche Bank Securities Inc. and UBS Financial Services Inc.; pricing July 29; Cusip: 25155V697
• 0% buffered performance securities due July 31, 2019 linked to the Euro Stoxx 50 index; via Deutsche Bank Securities Inc. and UBS Financial Services Inc.; pricing July 29; Cusip: 25155V689
• 0% 24-27-month capped leveraged buffered index-linked notes tied to the MSCI EAFE index; via Deutsche Bank Securities Inc.; Cusip: 25152RLQ4
• 0% capped leveraged notes linked to the S&P 500 index; via Deutsche Bank Securities Inc.; Cusip: 25152RLN1
GOLDMAN SACHS BANK USA
• 0% equity index-linked certificates of deposit due July 29, 2020 linked to the Dow Jones industrial average; via Goldman Sachs & Co. and distributor Incapital LLC; pricing July 24; Cusip: 38147JR46
• 0% certificates of deposit due Jan. 30, 2020 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co. and distributor Incapital LLC; pricing July 25; Cusip: 38147JP22
• 0% certificates of deposit due April 29, 2021 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co. and distributor Incapital LLC; pricing July 25; Cusip: 38147JN81
• 1% certificates of deposit due July 29, 2021 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co. and distributor Incapital LLC; pricing July 25; Cusip: 38147JP30
• Variable-coupon certificates of deposit due July 29, 2021 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co. and distributor Incapital LLC; pricing July 25; Cusip: 38147JP48
• Variable-coupon certificates of deposit due July 29, 2021 linked to the common stocks of Apple Inc., Baxter International Inc., Eli Lilly and Co., Exelon Corp., Hewlett-Packard Co., Merck & Co., Inc., Microsoft Corp., Target Corp., Southern Co. and Verizon Communications Inc.; via Goldman Sachs & Co. and distributor Incapital LLC; pricing July 28; Cusip: 38147JR79
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Prospect NewsThe
Structured
DailyProductsStructured Products Calendar
• 0% certificates of deposit due July 31, 2020 linked to the S&P 500 index; via Goldman Sachs & Co. and distributor Incapital LLC; pricing July 28; Cusip: 38147JN73
• 0% equity index-linked certificates of deposit due Feb. 2, 2021 linked to the S&P 500 index, the Russell 2000 index and the S&P MidCap 400 index; via Goldman Sachs & Co. and distributor Incapital LLC; pricing July 28; Cusip: 38147JP55
GOLDMAN SACHS GROUP, INC.
• 0% notes due July 20, 2020 linked to the Dow Jones industrial average; via Goldman, Sachs & Co.; pricing July 11; Cusip: 38147QBG0
• 0% Dow Jones industrial average-linked notes due July 27, 2020; via Goldman Sachs & Co.; pricing July 18; Cusip: 38147QBG0
• Trigger performance securities due July 31, 2019 linked to iShares MSCI EAFE ETF; pricing July 28; Cusip: 38148C452
• Callable monthly Russell 2000 index-linked range accrual notes due July 31, 2029; via Goldman Sachs & Co.; pricing July 28; Cusip: 38147QBV7
• Callable buffered monthly Russell 2000 index-linked range accrual notes due Jan. 31, 2022; via Goldman Sachs & Co.; pricing July 28; Cusip: 38147QCG9
• Callable monthly range accrual notes due July 31, 2029 linked to the Russell 2000 index; 50% trigger; via Goldman Sachs & Co.; pricing July 28; Cusip: 38147QCZ7
• 0% leveraged notes due Aug. 3, 2021 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing July 29; Cusip: 38147QC46
• Callable monthly Russell 2000 index-linked range accrual notes due July 31, 2024; via Goldman Sachs & Co.; pricing July 29; Cusip: 38147QCH7
• Callable monthly Russell 2000 index-linked range accrual notes due July 31, 2024; via Goldman Sachs & Co.; pricing July 29; Cusip: 38147QBZ8
• Range accrual notes due July 31, 2029 linked to the Russell 2000 index; via Goldman Sachs & Co.; pricing July 29; Cusip: 38147QBY1
• Callable monthly Russell 2000 index-linked range accrual notes due July 31, 2024; via Goldman Sachs & Co.; pricing July 29; Cusip: 38147QC38
• 0% Buffered notes due Feb. 3, 2020 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing July 29; Cusip: 38147QC53
• Callable step-up fixed-rate notes due July 2019; via Goldman Sachs & Co. and Incapital LLC; settling in July; Cusip: 38147QBR6
• 18- to 21-month 0% digital notes linked to the Euro Stoxx 50 index; 85% trigger; via Goldman Sachs & Co.
• 24- to 27-month 0% notes linked to the Euro Stoxx 50 index; 90% trigger; via Goldman Sachs & Co.
• 24- to 27-month 0% leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.
• 36- to 40-month 0% leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 38147Q5C6
• Four-year 0% leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.
• Five-year 0% leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 38148A811
• 0% leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 38147QCR5
• 15- to 17-month 0% digital notes linked to the Hang Seng China Enterprises index; 90% trigger; via Goldman Sachs & Co.
• 48- to 51-month 0% digital notes due linked to the Hang Seng China Enterprises index; via Goldman Sachs & Co.
• 24- to 27-month 0% leveraged buffered notes linked to the iShares MSCI Emerging Markets index fund; 90% trigger; via Goldman Sachs & Co.
• 18- to 21-month 0% digital index-linked notes tied to the MSCI EAFE index; via Goldman Sachs & Co.
• 18- to 21-month 0% leveraged notes linked to the MSCI EAFE index; via Goldman Sachs & Co.
• 24-27-month 0% leveraged buffered notes linked to the MSCI EAFE index; via Goldman Sachs & Co.
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Prospect NewsThe
Structured
DailyProductsStructured Products Calendar
• 24- to 27-month 0% leveraged buffered notes linked to the MSCI EAFE index; via Goldman Sachs & Co.
• 25- 28-month 0% leveraged notes tied to the MSCI EAFE index; 90% trigger; via Goldman Sachs & Co.
• Five-year 0% leveraged buffered notes linked to the MSCI EAFE index; via Goldman Sachs & Co.; Cusip: 38147Q5F9
• 0% leveraged buffered notes linked to the MSCI EAFE index; via Goldman Sachs & Co.; Cusip: 38147Q2V7
• 0% leveraged buffered notes linked to the MSCI EAFE index; via Goldman Sachs & Co.; Cusip: 38147QCQ7
• 18-month 0% basket-linked notes tied to the 26 ordinary shares and saving shares of the 24 Italian companies included in the MSCI Italy index; via Goldman Sachs & Co.
• 18-month 0% notes linked to a basket of the shares of the 24 Italian companies included in the MSCI Italy index; via Goldman Sachs & Co.
• 18-month 0% notes linked to a basket of the components of the MSCI Italy index (Assicurazioni Generali SpA, Atlantia SpA, Banca Monte dei Paschi di Siena SpA, Banco Popolare, CNH Industrial, Enel Green Power SpA, Enel SpA, Eni SpA, Exor SpA, Fiat SpA, Finmeccanica SpA, Intesa Sanpaolo SpA, Luxottica Group SpA, Mediobanca Banca di Credito Finanziario SpA, Pirelli & C SpA, Prysmian SpA, Saipem SpA, Snam SpA, Telecom Italia SpA, Tenaris SA, Terna Rete Elettrica Nazionale SpA, UniCredit SpA, Unione di Banche Italiane ScpA and Unipolsai SpA); via Goldman Sachs & Co.
• 13- to 24-month 0% autocallable buffered index-linked notes tied to the Russell 2000 index; via Goldman Sachs & Co.
• Two-year 0% leveraged buffered notes linked to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38147QSF4
• 0% leveraged buffered notes linked to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38147QSF4
• 16- to 19-month 0% buffered basket-linked notes tied to the Russell 2000 index and MSCI EAFE index via Goldman, Sachs & Co.
• 18- to 21-month 0% leveraged notes linked to the S&P 500 index; via Goldman Sachs & Co.
• 24- to 27-month 0% leveraged buffered notes linked to the S&P 500 index; 90% trigger; via Goldman Sachs & Co.
• 24- to 27-month 0% leveraged buffered S&P 500 index-linked notes; via Goldman, Sachs & Co.
• 36- to 39-month 0% leveraged notes linked to the S&P 500 index; via Goldman Sachs & Co.
• Five-year 0% leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38147Q5B8
• 0% leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38147QA97
• 0% digital notes linked to the S&P 500 index; via Goldman Sachs & Co.
• 0% leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.
• 0% leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38147QCM6
• 0% buffered digital notes linked to a basket containing the S&P 500 index and the MSCI EAFE index; via Goldman Sachs & Co.
• 24-month 0% autocallable leveraged buffered notes linked to the S&P Banks Select Industry index; via Goldman Sachs & Co.
• 24- to 27-month 0% leveraged buffered notes linked to the S&P Banks Select Industry index; via Goldman Sachs & Co.
• 13-month 0% notes linked to the Topix index; via Goldman Sachs & Co.
• 36- to 39-month 0% notes linked to the Topix index; via Goldman Sachs & Co.
HSBC USA INC.
• Callable step-up rate notes due July 11, 2024; via HSBC Securities (USA) Inc.; pricing July 11; Cusip: 40433BEN4
• Contingent income autocallable securities due July 16, 2015 linked to Alexion Pharmaceuticals, Inc. shares; via HSBC Securities (USA) Inc. with Morgan Stanley Wealth Management handling distribution; pricing July 11; Cusip: 40434C196
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Friday July 11, 2014 Page 41
Prospect NewsThe
Structured
DailyProductsStructured Products Calendar
• 5.5% autocallable yield notes due Oct. 19, 2015 linked to the S&P 500 index and the Russell 2000 index; 80% trigger; via HSBC Securities (USA) Inc.; pricing July 14; Cusip: 40433BGF9
• 6% autocallable yield notes due Oct. 19, 2015 linked to the S&P 500 index and the Russell 2000 index; 75% trigger; via HSBC Securities (USA) Inc.; pricing July 14; Cusip: 40433BGE2
• Callable step-up rate notes due July 17, 2017; via HSBC Securities (USA) Inc.; settling July 17; Cusip: 40433BFC7
• 0% SelectInvest debt securities due July 25, 2016 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing July 18; Cusip: 40433BEV6
• 0% SelectInvest debt securities due July 25, 2018 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing July 18; Cusip: 40433BEY0
• 0% SelectInvest debt securities due July 27, 2020 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing July 18; Cusip: 40433BFA1
• 0% SelectInvest debt securities due July 27, 2020 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing July 18; Cusip: 40433BEZ7
• 0% SelectInvest debt securities due July 25, 2016 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing July 18; Cusip: 40433BET1
• 0% SelectInvest debt securities due July 25, 2018 linked to the Russell 2000; via HSBC Securities (USA) Inc.; pricing July 18; Cusip: 40433BEW4
• Contingent income barrier notes due July 27, 2020 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing July 18; Cusip: 40433BES3
• 0% trigger return optimization securities due July 24, 2017 linked to the S&P 500 index; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing July 18; Cusip: 40434C279
• 0% SelectInvest debt securities due July 25, 2016 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing July 18; Cusip: 40433BEU8
• 0% SelectInvest debt securities due July 25, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing July 18; Cusip: 40433BEX2
• 0% digital-plus barrier notes due Jan. 27, 2020 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing July 18; Cusip: 40433BER5
• 0% SelectInvest debt securities due July 27, 2020 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing July 18; Cusip: 40433BFB9
• 0% trigger return optimization securities due July 24, 2017 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC and UBS Financial Services Inc.; pricing July 21; Cusip: 481246783
• 0% trigger return optimization securities due July 31, 2017 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC and UBS Financial Services Inc.; pricing July 21; Cusip: 481246775
• 0% SelectInvest debt securities due July 29, 2015 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFG8
• 0% SelectInvest debt securities due July 28, 2017 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFM5
• 0% SelectInvest debt securities due July 29, 2019 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFS2
• 0% SelectInvest debt securities due July 29, 2015 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFW3
• 0% SelectInvest debt securities due July 28, 2017 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BGB8
• 0% SelectInvest debt securities due July 29, 2015 linked to the iShares MSCI Emerging Markets ETF; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFX1
• 0% SelectInvest debt securities due July 29, 2015 linked to the iShares MSCI Emerging Markets ETF; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFF0
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Prospect NewsThe
Structured
DailyProductsStructured Products Calendar
• 0% SelectInvest debt securities due July 28, 2017 linked to the iShares MSCI Emerging Markets ETF; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFL7
• 0% SelectInvest debt securities due July 29, 2019 linked to the iShares MSCI Emerging Markets ETF; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFR4
• 0% SelectInvest debt securities due July 28, 2017 linked to the iShares MSCI Emerging Markets ETF; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BGC6
• 0% SelectInvest debt securities due July 29, 2015 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFE3
• 0% SelectInvest debt securities due July 28, 2017 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFK9
• 0% SelectInvest debt securities due July 29, 2019 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFQ6
• 0% SelectInvest debt securities due July 29, 2015 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFV5
• 0% SelectInvest debt securities due July 28, 2017 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BGA0
• 0% SelectInvest debt securities due July 29, 2015 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFU7
• 0% SelectInvest debt securities due July 29, 2015 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFD5
• 0% SelectInvest debt securities due July 28, 2017 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFZ6
• 0% SelectInvest debt securities due July 28, 2017 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFJ2
• 0% SelectInvest debt securities due July 29, 2019 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFP8
• 0% SelectInvest debt securities due July 29, 2015 linked to the S&P 500 index with a 40% weight, the Euro Stoxx 50 index with a 30% weight, the Russell 2000 index with a 20% weight and iShares MSCI Emerging Markets ETF with a 10% weight; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFY9
• 0% SelectInvest debt securities due July 29, 2015 linked to a basket of the S&P 500 index, the Euro Stoxx 50 index, the Russell 2000 index and the iShares MSCI Emerging Markets ETF; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFH6
• 0% SelectInvest debt securities due July 28, 2017 linked to a basket of the S&P 500 index, the Euro Stoxx 50 index, the Russell 2000 index and the iShares MSCI Emerging Markets ETF; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFN3
• 0% SelectInvest debt securities due July 29, 2019 linked to a basket of the S&P 500 index, the Euro Stoxx 50 index, the Russell 2000 index and the iShares MSCI Emerging Markets ETF; via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40433BFT0
• 0% buffered uncapped market participation securities due July 30, 2018 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing July 24; Cusip: 40433BGK8
• 0% Accelerated Market Participation Securities due Jan. 29, 2016 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing July 24; Cusip: 40433BGY8
• 0% leveraged buffered uncapped market participation securities due July 29, 2019 linked to the PowerShares S&P 500 Low Volatility Portfolio exchange-traded fund; via HSBC Securities (USA) Inc.; pricing July 24; Cusip: 40433BGM4
• 0% Accelerated Market Participation Securities due Jan. 29, 2016 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing July 24; Cusip: 40433BGX0
• 0% buffered accelerated return notes due July 29, 2021 linked to the S&P 500 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing July 24; Cusip: 40433BGZ5
• 0% Accelerated Market Participation Securities due Jan. 29, 2016 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing July 24; Cusip: 40433BGW2
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Prospect NewsThe
Structured
DailyProductsStructured Products Calendar
• 0% buffered uncapped market participation securities due July 29, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing July 24; Cusip: 40433BGJ1
• 0% buffered uncapped market participation securities due July 30, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing July 24; Cusip: 40433BHA9
• 0% buffered uncapped market participation securities due July 29, 2019 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing July 24; Cusip: 40433BGL6
• 5.5% autocallable yield notes due Oct. 29, 2015 linked to the S&P 500 index and the Russell 2000 index; 80% trigger; via HSBC Securities (USA) Inc.; pricing July 24; Cusip: 40433BGH5
• 6% autocallable yield notes due Oct. 29, 2015 linked to the S&P 500 index and the Russell 2000 index; 75% trigger; via HSBC Securities (USA) Inc.; pricing July 24; Cusip: 40433BGG7
• 0% barrier leveraged tracker notes due July 31, 2018 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 40433BHC5
• 0% buffered Accelerated Market Participation Securities due Aug. 1, 2016 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 40433BGR3
• 0% buffered Accelerated Market Participation Securities due Aug. 1, 2016 linked to the iShares MSCI Emerging Markets exchange-traded fund; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 40433BGQ5
• 0% buffered Accelerated Market Participation Securities due Aug. 1, 2016 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 40433BGP7
• 0% buffered Accelerated Market Participation Securities due Aug. 1, 2016 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 40433BGN2
• 0% barrier leveraged tracker notes due July 31, 2018 linked to the Hang Seng China Enterprises index; via HSBC Securities (USA) Inc.; pricing July 28; Cusip: 40433BHB7
• 0% trigger performance securities due July 31, 2019 linked to the S&P 500 index; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing July 28; Cusip: 40434C220
• 0% trigger step performance securities due July 31, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing July 28; Cusip: 40434C246
• 0% contingent return optimization securities due July 31, 2017 linked to the S&P 500 index; via HSBC Securities (USA) Inc. with UBS Financial Services Inc. as agent; pricing July 28; Cusip: 40434C287
• 0% trigger return optimization securities due July 24, 2017 linked to the S&P 500 index; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing July 28; Cusip: 40434C295
• 0% trigger performance securities due July 31, 2017 linked to the Vanguard FTSE Emerging Markets exchange-traded fund; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing July 28; Cusip: 40434C238
• 0% Performance Leveraged Upside Securities due Sept. 8, 2015 linked to the Russell 2000 index; via HSBC Securities (USA) Inc. with Morgan Stanley Wealth Management; pricing July 31; Cusip: 40434C253
• 0% Performance Leveraged Upside Securities due Sept. 8, 2015 linked to the WisdomTree Japan Hedged Equity fund; via HSBC Securities (USA) Inc. with Morgan Stanley Wealth Management; pricing July 31; Cusip: 40434C261
• 0% leveraged tracker notes due July 2021 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing in July; Cusip: 40433BEQ7
• Leveraged Index Return notes due July 2019 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in July
• 0% Accelerated Return notes due July 2016 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing in July
• 0% Accelerated Return Notes due September 2015 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in July
• 0% notes due September 2016 linked to the S&P 500 index; via Barclays; pricing in July; Cusip: 06741UFL3
JPMORGAN CHASE BANK, NA
• 0% trigger Performance Leveraged Upside Securities due Jan. 17, 2017 linked to WTI crude oil futures contracts; 80% trigger; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management; pricing July 11; Cusip: 48127DSN9
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• Callable variable-rate range accrual certificates of deposit due July 21, 2029 linked to six-month Libor and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing July 16; Cusip: 48125TTG0
• Callable variable-rate range accrual certificates of deposit due July 21, 2029 linked to six-month Libor and the Russell 2000; via J.P. Morgan Securities LLC; pricing July 16; Cusip: 48125TTH8
• Digital contingent coupon certificates of deposit due July 30, 2021 linked to a basket of common stocks (Apple Inc., Duke Energy Corp., FedEx Corp., Intel Corp., Coca-Cola Co., Eli Lilly and Co., McDonald’s Corp., Occidental Petroleum Corp., Procter & Gamble Co. and Potash Corp. of Saskatchewan Inc.); via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48125TSE6
• 0% certificates of deposit due July 31, 2019 linked to a basket of equally weighted currencies relative to the U.S. dollar (Brazilian real, Russian ruble, Indian rupee and Chinese renminbi); via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48125TRN7
• 0% certificates of deposit with contingent annual interest due July 30, 2021 linked to the JPMorgan ETF Efficiente 5 index; via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48125TSD8
• Variable annual income certificates of deposit due July 30, 2021 contingent on the performance of the JPMorgan ETF Efficiente 5 index; via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48125TSJ5
• 0% certificates of deposit due July 31, 2020 linked to the JPMorgan ETF Efficiente 5 index; via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48125TRZ0
• 0% certificates of deposit due July 30, 2021 linked to the JPMorgan ETF Efficiente 5 index; via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48125TSB2
• Variable annual income certificates of deposit due July 30, 2021 linked to the J.P. Morgan High Yield ETF Volatility Target index 3%; via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48125TSX4
• 0% certificates of deposit due July 31, 2020 linked to the J.P. Morgan Mozaic Fixed Income index (USD); via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48125TSR7
• 0% certificates of deposit due July 31, 2020 linked to the JPMorgan Optimax Market-Neutral index; via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48125TRS6
JPMORGAN CHASE & CO.
• Autocallable contingent interest notes due July 29, 2015 linked to Biogen Idec Inc. shares; 75% trigger; J.P. Morgan Securities LLC; pricing July 11; Cusip: 48127DSJ8
• 0% contingent absolute return autocallable optimization securities due July 20, 2015 linked to the common stock of BioMarin Pharmaceutical Inc.; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing July 11; Cusip: 481246718
• 0% contingent buffered equity notes due Jan. 13, 2016 linked to the Euro Stoxx 50 index; 86.2% trigger; J.P. Morgan Securities LLC; pricing July 11; Cusip: 48127DSF6
• 0% contingent buffered equity notes due Jan. 13, 2016 linked to the Euro Stoxx Banks index; 86.4% trigger; J.P. Morgan Securities LLC; pricing July 11; Cusip: 48127DSG4
• 0% contingent absolute return autocallable optimization securities due July 20, 2015 linked to the common stock of Fortinet, Inc.; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing July 11; Cusip: 481246742
• 0% return notes due July 15, 2015 linked to the MSCI World Health Care index; via J.P. Morgan Securities LLC; pricing July 11; Cusip: 48127DSK5
• 0% return notes due July 29, 2015 linked to Pfi zer Inc., Merck & Co., Inc., Sanofi , Bristol-Myers Squibb Co., Walgreen Co., Eli Lilly & Co., Mylan Inc., Perrigo Co. plc and Zoetis Inc., Biogen Idec Inc., Celgene Corp., Valeant Pharmaceuticals International, Inc., Illumina, Inc., Endo Health Solutions Inc., Impax Laboratories, Inc. and Gilead Sciences, Inc.; via J.P. Morgan Securities LLC; pricing July 11; Cusip: 48127DSH2
• 0% contingent absolute return autocallable optimization securities due July 20, 2015 linked to the common stock of Sprouts Farmers Market, Inc.; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing July 11; Cusip: 481246726
• Contingent income autocallable securities due July 10, 2015 linked to class A common stock of Under Armour, Inc.; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing July 11; Cusip: 48127H109
• 0% contingent absolute return autocallable optimization securities due July 20, 2015 linked to the common stock of Valero Energy
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Corp.; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing July 11; Cusip: 481246734
• Autocallable contingent interest notes due July 20, 2017 linked to the S&P 500 index and the Vanguard Total Stock Market exchange-traded fund; via J.P. Morgan Securities LLC; pricing July 15; Cusip: 48127DSE9
• Autocallable contingent interest notes due Oct. 22, 2015 linked to Apple Inc. shares; 75% trigger; via J.P. Morgan Securities LLC; pricing July 18; Cusip: 48127DSL3
• 0% autocallable contingent interest notes due Oct. 22, 2015 linked to Apple Inc. common stock; via J.P. Morgan Securities LLC; pricing July 18; Cusip: 48127DSS8
• 0% knock-out buffered return enhanced notes due July 21, 2017 linked to the lesser performing of the Euro Stoxx 50 index and the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing July 18; Cusip: 48127DRY6
• Autocallable contingent interest notes due Oct. 22, 2015 linked to Market Vectors Gold Miners exchange-traded fund; 75% trigger; via J.P. Morgan Securities LLC; pricing July 18; Cusip: 48127DSM1
• 0% review notes due July 21, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing July 18; Cusip: 48127DQQ4
• Callable interest rate spread notes due July 30, 2029 linked to the 10-year U.S. dollar Constant Maturity Swap rate and the two-year CMS rate; via J.P. Morgan Securities LLC; pricing July 25; Cusip: 48126N7D3
• 0% capped buffered return enhanced notes due July 29, 2016 linked to the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48127DRK6
• 0% capped buffered return enhanced notes due July 29, 2016 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48127DRM2
• 0% return notes due Oct. 30, 2015 linked to the J.P. Morgan Strategic Volatility index; via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48127DRG5
• 0% return notes due Aug. 31, 2015 linked to the J.P. Morgan U.S. Long Equity Dynamic Overlay 80 Index (Series 1); via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48127DRF7
• 0% capped buffered return enhanced notes due July 29, 2016 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48127DRH3
• Autocallable contingent interest notes due Nov. 2, 2015 linked to the Russell 2000 index and the iShares MSCI Brazil Capped exchange-traded fund; via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48127DRQ3
• Autocallable contingent interest notes due Nov. 2, 2015 linked to the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48127DRN0
• 0% capped buffered return enhanced notes due July 29, 2016 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48127DRL4
• 0% review notes due Aug. 2, 2017 linked to the lesser performing of the S&P 500 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48127DRR1
• Autocallable contingent interest notes due Nov. 2, 2015 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48127DRP5
• Contingent coupon callable yield notes due Aug. 2, 2017 linked to the S&P 500 index, the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing July 28; Cusip: 48127DRZ3
• 0% trigger performance securities due July 31, 2017 linked to the Euro Stoxx 50 index; 75% trigger; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing July 29; Cusip: 48127E130
• 0% Performance Leveraged Upside Securities due Sept. 3, 2015 linked to the S&P 500 index; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management; pricing July 31; Cusip: 481246767
• 0% Performance Leveraged Upside Securities due Sept. 3, 2015 linked to the S&P MidCap 400 index; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management; pricing July 31; Cusip: 481246759
MORGAN STANLEY
• 0% participation securities due Jan. 13, 2016 linked to the shares of AngloGold Ashanti Ltd., Anheuser-Busch InBev SA, Chemical
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and Mining Co. of Chile Inc., EOG Resources, Inc., Freeport-McMoRan Copper & Gold Inc., Goldcorp Inc., Google Inc., Halliburton Co., Monsanto Co., Mosaic Co., Nucor Corp., Realogy Holdings Corp., Stillwater Mining Co., Total SA, Twenty-First Century Fox, Inc. and Weatherford International plc; via agent Morgan Stanley & Co. LLC and dealer J.P. Morgan Securities LLC; pricing July 11; Cusip: 61761JRY7
• 0% enhanced trigger jump securities due Jan. 17, 2017 linked to RBOB gasoline, West Texas Intermediate light sweet crude oil, copper, palladium and soybeans; via Morgan Stanley & Co. LLC; pricing July 11; Cusip: 61762GBY9
• Contingent income autocallable securities due July 25, 2016 linked to the common stock of Tesla Motors, Inc.; via Morgan Stanley & Co. LLC; pricing July 18; Cusip: 61761JRS0
• Contingent income autocallable securities due July 25, 2016 linked to the common stock of Twitter, Inc.; via Morgan Stanley & Co. LLC; pricing July 18; Cusip: 61761JRT8
• 0% buffered jump securities due July 30, 2020 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing July 25; Cusip: 61761JRX9
• Redeemable step-up notes due July 28, 2017; via RBC Capital Markets, LLC; settlement July 28; Cusip: 78010UWG8
• Contingent income autocallable securities due July 31, 2029 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing July 28; Cusip: 61761JRQ4
• Contingent income securities due July 31, 2029 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing July 28; Cusip: 61761JRP6
• Contingent income securities due July 31, 2029 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing July 28; Cusip: 61761JRN1
• 0% trigger performance securities due July 31, 2024 linked to the S&P 500 index; via Morgan Stanley & Co. LLC with UBS Financial Services Inc. as dealer; pricing July 28; Cusip: 61761S687
• 0% trigger performance securities due July 31, 2024 linked to the S&P 500 index; via Morgan Stanley & Co. LLC with UBS Financial Services Inc. as dealer; pricing July 28; Cusip: 61761S638
• 0% dual directional trigger Performance Leveraged Upside Securities due July 29, 2016 linked to the West Texas intermediate light sweet crude oil; via Morgan Stanley & Co. LLC; pricing July 28; Cusip: 61762GBX1
• 0% airbag performance securities due July 31, 2019 linked to AT&T Inc. shares; 80% trigger; via Morgan Stanley & Co. LLC with UBS Financial Services Inc.; pricing July 29; Cusip: 61761S737
• Redeemable leveraged steepener notes due July 31, 2034 linked to the 30-year Constant Maturity Swap rate and the two-year CMS rate; via RBC Capital Markets, LLC; settlement July 31; Cusip: 78010UWF0
• Fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked notes due July 31, 2034; via Morgan Stanley & Co. LLC; settling July 31; Cusip: 61760QEL4
• Fixed-to-floating-rate CMS curve and S&P 500 index-linked range accrual securities due July 31, 2034; via Morgan Stanley & Co. LLC; settling July 31; Cusip: 61760QEK6
• Contingent income autocallable securities due July 2015 linked to Abercrombie & Fitch Co. shares; 70% trigger; via Morgan Stanley & Co. LLC with Morgan Stanley Wealth Management; pricing in July; Cusip: 61761S604
• Contingent income autocallable securities due July 2017 linked to Apple Inc. shares; 80% trigger; via Morgan Stanley & Co. LLC with Morgan Stanley Wealth Management; pricing in July; Cusip: 61761S620
• 0% Performance Leveraged Upside Securities due August 2015 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing in July; Cusip: 61761S711
• 0% trigger Performance Leveraged Upside Securities due August 2020 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing in July; Cusip: 61761S752
• 0% dual directional trigger Performance Leveraged Upside Securities due January 2020 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing in July; Cusip: 61761S729
• Contingent income autocallable securities due July 2017 linked to Gilead Sciences, Inc. shares; 75% trigger; via Morgan Stanley & Co. LLC with Morgan Stanley Wealth Management; pricing in July; Cusip: 61761S612
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• 0% trigger Performance Leveraged Upside Securities due July 2018 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Morgan Stanley & Co. LLC; pricing in July; Cusip: 61761S703
• 0% trigger Performance Leveraged Upside Securities due January 2016 linked to RBOB gasoline with a 27.5% weight, West Texas Intermediate light sweet crude oil with a 27.5% weight, soybeans with a 16.9% weight, copper with a 12.5% weight, palladium with a 10% weight and cotton with a 5.6% weight; via Morgan Stanley & Co. LLC; pricing in July; Cusip: 61762GBV5
• 0% dual directional trigger Performance Leveraged Upside Securities due July 2020 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in July; Cusip: 61761S646
• 0% trigger jump securities due July 2020 linked to the S&P 500 index; 60% trigger; via Morgan Stanley & Co. LLC; pricing in July; Cusip: 61761S653
• 0% market-linked notes due January 2022 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in July; Cusip: 61761S679
• 0% enhanced trigger jump securities due August 2015 linked to West Texas Intermediate light sweet crude oil; via Morgan Stanley & Co. LLC; pricing in July; Cusip: 61762GBW3
• 0% market-linked notes due April 2020 linked to the iShares MSCI EAFE ETF, the iShares MSCI Emerging Markets ETF and the WisdomTree Japan Hedged Equity Fund; via Morgan Stanley & Co. LLC; pricing in August; Cusip: 61761S661
NOMURA AMERICA FINANCE, LLC
• Callable contingent coupon trigger notes due July 2024 linked to the Russell 2000 index; via Nomura Securities International, Inc.; pricing in July; Cusip: 65539ABD1
• Callable leveraged steepener notes due July 2034; via Nomura Securities International, Inc.; pricing in July; Cusip: 65539ABE9
ROYAL BANK OF CANADA
• 6.6%-8.6% airbag autocallable yield optimization notes due July 17, 2015 linked to Alexion Pharmaceuticals, Inc. common stock; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing July 11; Cusip: 78011Q782
• 6%-8% airbag autocallable yield optimization notes due July 17, 2015 linked to Beazer Homes USA, Inc. common stock; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing July 11; Cusip: 78011Q790
• 6.5%-8.5% airbag autocallable yield optimization notes due July 17, 2015 linked to Micron Technology, Inc. common stock; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing July 11; Cusip: 78011Q808
• 6%-8% airbag autocallable yield optimization notes due July 17, 2015 linked to SandRidge Energy, Inc. common stock; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing July 11; Cusip: 78011Q816
• 6.5%-8.5% airbag autocallable yield optimization notes due July 17, 2015 linked to Stratasys Ltd. ordinary shares; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing July 11; Cusip: 78011Q824
• 7.5%-9.5% airbag autocallable yield optimization notes due July 17, 2015 linked to Tesla Motors, Inc. common stock; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing July 11; Cusip: 78011Q832
• 12% reverse convertible notes due Oct. 20, 2014 linked to Cree, Inc. stock; via RBC Capital Markets Corp.; pricing July 15; Cusip: 78010UK71
• 8% reverse convertible notes due Jan. 21, 2015 linked to Cree, Inc. stock; via RBC Capital Markets Corp.; pricing July 15; Cusip: 78010UL70
• 8.25% reverse convertible notes due Jan. 21, 2015 linked to F5 Networks, Inc. stock; via RBC Capital Markets Corp.; pricing July 15; Cusip: 78010UL96
• 9% reverse convertible notes due Jan. 21, 2015 linked to Facebook, Inc. stock; via RBC Capital Markets Corp.; pricing July 15; Cusip: 78010UL88
• 12% reverse convertible notes due Oct. 20, 2014 linked to First Solar, Inc. stock; via RBC Capital Markets Corp.; pricing July 15; Cusip: 78010UK89
• 15.25% reverse convertible notes due Oct. 20, 2014 linked to Green Mountain Coffee Roasters, Inc. stock; via RBC Capital Markets Corp.; pricing July 15; Cusip: 78010UK97
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• 15% reverse convertible notes due Oct. 20, 2014 linked to Illumina, Inc. stock; via RBC Capital Markets Corp.; pricing July 15; Cusip: 78010UL39
• 15.5% reverse convertible notes due Oct. 20, 2014 linked to Netflix Inc. stock; via RBC Capital Markets Corp.; pricing July 15; Cusip: 78010UL47
• 9.25% reverse convertible notes due Jan. 21, 2015 linked to Netflix Inc. stock; via RBC Capital Markets Corp.; pricing July 15; Cusip: 78010UM38
• 9% reverse convertible notes due Jan. 21, 2015 linked to Radian Group Inc. stock; via RBC Capital Markets Corp.; pricing July 15; Cusip: 78010UM46
• 12.75% reverse convertible notes due Oct. 20, 2014 linked to Tesla Motors, Inc stock; via RBC Capital Markets Corp.; pricing July 15; Cusip: 78010UL54
• 8.5% reverse convertible notes due Jan. 21, 2015 linked to United States Steel Corp. stock; via RBC Capital Markets Corp.; pricing July 15; Cusip: 78010UM53
• 11.5% reverse convertible notes due Oct. 20, 2014 linked to Vertex Pharmaceuticals Inc. stock; via RBC Capital Markets Corp.; pricing July 15; Cusip: 78010UL62
• Redeemable step-up notes due July 16, 2027; via RBC Capital Markets, LLC; settlement July 16; Cusip: 78010UWB9
• Fixed-to-floating notes due July 18, 2019; via RBC Capital Markets LLC; settling July 18; Cusip: 78010UWC7
• 0% return optimization securities due Aug. 24, 2015 linked to an equally weighted basket of common stocks (BioMarin Pharmaceutical Inc., Celgene Corp., Gilead Sciences, Inc., Incyte Corp., Medivation, Inc., Merck & Co., Inc., Pfizer Inc. and Puma Biotechnology, Inc.); pricing July 18; Cusip: 78011Q758
• Trigger phoenix autocallable notes due June 23, 2017 linked to Tesla Motors, Inc. shares; 60% trigger; via RBC Capital Markets, LLC; pricing July 21; Cusip: 78010UL21
• Redeemable step-up notes due July 22, 2022; via RBC Capital Markets, LLC; settlement July 22; Cusip: 78010UWD5
• Contingent coupon callable yield notes due Feb. 2, 2016 linked to the worst performing of the Euro Stoxx 50 index, the Russell 2000
index and the iShares MSCI EAFE exchange-traded fund; 75% trigger; via RBC Capital Markets, LLC and Barclays; pricing July 28; Cusip: 78010UK22
• 0% trigger performance securities due July 31, 2017 linked to the S&P 500 index; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing July 28; Cusip: 78011Q741
• 0% bullish barrier enhanced return notes due Aug. 1, 2018 linked to the Euro Stoxx 50 index; via RBC Capital Markets, LLC; pricing July 29; Cusip: 78010UM95
• 0% trigger jump securities due August 2019 linked to the Euro Stoxx 50 index; via RBC Capital Markets, LLC; pricing July 31; Cusip: 78011Q774
• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Feb. 5, 2018 linked to the iShares MSCI Russell 2000 exchange-traded fund; via Wells Fargo Securities, LLC; pricing July 31; Cusip: 78010UK55
• 0% trigger Performance Leveraged Upside Securities due February 2017 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing July 31; Cusip: 78011Q766
• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Aug. 6, 2018 linked to the SPDR S&P 500 ETF Trust, the iShares Russell 2000 ETF, the iShares MSCI EAFE ETF and the iShares MSCI Emerging Markets ETF; via Wells Fargo Securities LLC; pricing July 31; Cusip: 78010UK63
• 0% market-linked step-up notes due July 2016 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in July
• 0% Accelerated Return Notes due September 2015 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in July
• 0% market-linked step-up notes due July 2016 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in July
• 0% autocallable market-linked step up notes due July 2017 linked to the Euro Stoxx 50 index and the MSCI Emerging Markets index; via BofA Merrill Lynch; pricing in July
• Capped Leveraged Index Return notes due July 2016 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in July
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• 0% Strategic Accelerated Redemption Securities due August 2015 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in July
• 0% direct investment notes due Sept. 9, 2015 linked to the Equity Compass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing Aug. 5; Cusip: 78010UN29
• 15- to 17-month 0% buffered equity index-linked notes tied to the MSCI EAFE index; 85% trigger; via Goldman Sachs & Co.
AB SVENSK EXPORTKREDIT
• 0% Accelerated Return Notes due September 2015 linked to the MSCI EAFE index; via BofA Merrill Lynch; pricing in July
• 0% Accelerated Return Notes due September 2015 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in July
UBS AG, LONDON BRANCH
• Trigger phoenix autocallable optimization securities due July 17, 2019 linked to Banco Santander, SA; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 11; Cusip: 90273E431
• 0% return notes due July 29, 2015 linked to the common stocks of Cabot Oil & Gas Corp., Canadian Pacific Railway Ltd., Continental Resources, Inc., Dow Chemical Co., Halliburton Co., LyondellBasell Industries NV, National Oilwell Varco, Inc., Pioneer Natural Resources Co., Schlumberger Ltd., Union Pacific Corp. and Weatherford International Ltd.; via UBS Investment Bank and agents JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing July 11; Cusip: 90270KCU1
• Airbag phoenix autocallable notes due Jan. 15, 2016 linked to Gilead Sciences, Inc. shares; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 11; Cusip: 90273E456
• Trigger phoenix autocallable optimization securities due July 17, 2019 linked to Kinder Morgan, Inc.; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 11; Cusip: 90273E449
• Trigger phoenix autocallable optimization securities due July 17, 2019 linked to Lincoln National Corp.; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 11; Cusip: 90273E423
• Airbag phoenix autocallable notes due Jan. 15, 2016 linked to Michael Kors Holdings Ltd. shares; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 11; Cusip: 90273E464
• 0% trigger autocallable optimization securities due July 15, 2016 linked to the Russell 2000 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 11; Cusip: 90273E324
• Contingent income autocallable securities due July 19, 2017 with step-down call threshold levels linked to United Continental Holdings Inc. shares; 75% trigger; via UBS Securities LLC with Morgan Stanley Wealth Management; pricing July 14; Cusip: 90273E480
• 0% return optimization securities due Aug. 31, 2015 linked to the Russell 2000 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 28; Cusip: 90273E357
• 0% trigger return optimization securities due July 31, 2017 linked to the Russell 2000 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 28; Cusip: 90273E407
• 0% trigger performance securities due July 31, 2024 linked to the S&P 500 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 28; Cusip: 90273E332
• 0% trigger performance securities due July 31, 2024 linked to the UBS Bloomberg Constant Maturity Commodity Index Excess Return; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 28; Cusip: 90273E167
• 0% trigger step performance securities due July 31, 2018 linked to the Vanguard FTSE Emerging Markets exchange-traded fund; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 28; Cusip: 90273E340
• 0% trigger performance securities due July 31, 2019 linked to the Vanguard FTSE Emerging Markets exchange-traded fund; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 28; Cusip: 90273E316
• 0% contingent absolute return performance securities due July 31, 2019 linked to the Euro Stoxx 50 index; 75% trigger; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 29; Cusip: 90273E415
WELLS FARGO & CO.
• 0% digital securities with buffered downside linked to the Russell 2000 index; via Wells Fargo Securities, LLC; pricing in July; Cusip: 94986RUG4
Continued from page 48
Friday July 11, 2014 Page 50
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