The notes, issued Feb. 7, lose value if 109 percent of the basket’s percentage gains aren’t greater than losses of the S&P 500 Index, with all capital at risk, according to a prospectus filed with the U.S. Securities and Exchange Commission. The basket is made up of the Financial Select Sector Index, the Industrial Select Sector Index and the Technology Select Sector Index.
The offering is the Swiss bank’s largest in almost four years, according to data compiled by Bloomberg. The bank sold $257.2 million of 13-month autocallable securities tied to the Standard & Poor’s 500 Index in April 2010.
Drew Benson, a spokesman for the bank in New York, declined to comment.
The S&P 500 Index fell 1 percent this year to 1,829.83 today. During the same period, the financial index declined 1.3 percent to 215.54, the industrial index dropped 2.4 percent to 510.28, and the technology index gained 0.5 percent to 360.53.
Bloomberg started collecting comprehensive data on structured notes in 2010.
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