Factsheet - For Professional Investors and clients of private banks Only
Key Facts
- Upside: 209% of any rise of the MSCI Europe Ex. UK subject to final year averaging.
- Protection:Invested capital is 100% protected unless at maturity the Underlying Index is below 60% of its Initial level. In this case, 1% capital is lost for every 1% fall in the Index between strike date and maturity.
- Underlying:MSCI Europe Ex. UK Index
- Trade Date:Monday 27thFebruary 2012
- Currency:EUR
- Issuer / counterparty risk:Credit Suisse AG (Moody’s: Aa1. S&P rating: A+. Fitch: A).
- Term:6Years
- Taxation:Returns should be taxed as Capital Gains under current rules.
- Wrapper:Excluded Index Security (EIS)
- Eligibility: Direct Investments, ISA, SIPP, SSAS, most Trusts.
- Strike level:Official Closing Level of the MSCI Europe Ex. UK on the Trade Date
Scenario Table of Capital Return
These noteswill redeem an uncapped return equal to 209% of any rise of the MSCI Europe Ex. UK Index over the term of the trade, final year averaging (based on 13 monthly observations) applies to the final level of the Index.
Capital is protected at maturity provided the level of the MSCI Europe Ex. UK is not below 60% of the Strike Level (observed at maturity). / MSCI Europe Ex. UKlevel / Capital Return per note
150%* / 204.50%
125%* / 152.25%
100%* / 100.00%
75% / 100.00%
61% / 100.00%
59% / 59.00%
* Assumed average growth of the MSCI Europe Ex. UK Index over the life of the trade (Final year observervations)
The Underlying Asset
The Underlying Asset on which this structured investment is based is the MSCI Europe Ex. UK Index (Bloomberg: MXEUG). The charts below illustrate thegeographical and sector weightings of the Underlying Asset, as well as the performance of the Index versus both the European benchmark FTSE World Series Europe Ex UK TR EUR and the Eurostoxx in EUR over the last 5 years.
Country / Sector allocation
Top 10 Holdings (13th February 2012)
Issuer / Percentage of Index
NESTLE SA-REG / 3.64%
NOVARTIS AG-REG / 2.55%
TOTAL SA / 2.13%
SIEMENS AG-REG / 2.09%
ROCHE HOLDING AG-GENUSSCHEIN / 2.00%
TELEFONICA SA / 1.85%
SANOFI / 1.73%
BANCO SANTANDER SA / 1.61%
BASF SE / 1.50%
DAIMLER AG-REGISTERED SHARES / 1.33%
/
Source: Bloomberg LLP / Source: Bloomberg LLP / Source: BlackRock Advisors (UK) Limited
Source: Bloomberg LLP
Summary
This vehicle offers:
- A potential leveraged return of 209% of any rise in the Index over 6 years.
- Capital protected provided the MSCI Europe Ex. UK Index is at or above 60% of initial level (observed at maturity only) (European).
- Counterparty risk to an A+ rated bank.
European ETF and Accelerator Comparison – Payoff at maturity diagram
- The graph below shows the payoff diagram of the European Accelerator Payoff (blue line).
- Shown on the same graph are possible ETF performances assuming a net dividend yield of 15.18%.
- Blue Shaded areas signify under what scenarios the European Accelerator will out-perform an ETF under these assumptions.
- Red Shaded areas signify under what scenarios an ETF will out-perform the European Accelerator under these assumptions.
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