Credit Suisse is pitching two drop back certificates in the Swiss market featuring an exotic payoff which will invest 20% of the capital into the underlying on the strike date, while 80% will be placed in a cash account paying an interest of 1.9% per annum for the product linked to the S&P500 in USD and a interest of 1.2% per annum for the product linked to the SMI in CHF.
"The drop-back certificates represent an interesting alternative to a direct investment in the S&P500 Index," said the bank. "It is particularly compelling for investors who expect market corrections in the index in the short-term but a positive performance over the next three years."
According to the bank, the drop-back certificates will enable investors to gradually build up index exposure in the S&P500, in case of a market correction to the downside.
Each time the index is at or below a respective barrier of 95%, 90%, 85% and 80% for the first time during the lifetime of the product, an additional 20% will be invested in the S&P500.
At maturity, the investor participates in the positive or negative performance of the index. The notional amount that is not invested in the underlying index accrues interest daily at 1.90% per annum which is also reimbursed at maturity.
According to SRP data, this year the Swiss market has seen a number of rare payoff types featured in structured products including lookback, ladder, shark fin, accrual and cliquet, as well as combinations of callable and knockout and best of option.