Product Details

6.50% p.a. Multi Barrier Reverse Convertible

EURO STOXX 50^® Index, S&P 500^®, Swiss Market Index^®

Valor

132462408

SIX Symbol

NVBRCH

ISIN

CH1324624084

Currency

USD

Bid (indicative)

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150'000.00

Ask (indicative)

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150'000.00

Price on

Termsheet

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Report

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KID

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6.50% p.a. Multi Barrier Reverse Convertible on EURO STOXX 50® Index, S&P 500®, Swiss Market Index®

Identifiers

Valor 132462408

ISIN CH1324624084

SIX Symbol NVBRCH

Product Category Yield Enhancement

Product Group Barrier Reverse Convertible

Product Type Callable Multi Barrier Reverse Convertible

SSPA Product Type 1230

Figures

Yield To Call 1.06%

Performance 6.26%

Parameters

Issuer Raiffeisen Switzerland B.V., Amsterdam, The Netherlands

Guarantor Raiffeisen Switzerland Cooperative, St. Gallen, Switzerland

Coupon Payment Quarterly

Coupon 6.50% p.a.

Settlement Type Cash Settlement or Delivery of Underlying

Quoting Type Dirty (accrued interest included)

Issue Price 100%

Denomination USD 1'000.00

Currency USD

Tradable Volume Bid USD 150'000.00

Tradable Volume Ask USD 150'000.00

Exchange Listed

Quanto Yes

Life Cycle

Tenor 2.25 Years

Start Subscription Period 16 Feb 2024

End Subscription Period 23 Feb 2024

Initial Fixing Date 23 Feb 2024

Issue Date 04 Mar 2024

First Trading Day 04 Mar 2024

Maturity 28 May 2026

Redemption Date 04 Jun 2026

Barrier

Barrier 55.00%

Barrier Type Continuous barrier observation (american)

Barrier Observation Period 23 Feb 2024 - 28 May 2026

Barrier Event No

Distance to Barrier 48.70%

Product Specific Features

Strike Level 100.00%

Performance

Name	Market Price	Initial Fixing Level	Barrier Level	Distance to Barrier	Strike Level	Distance to Strike
Euro STOXX 50	{{ underlyings['67110204'].currency }} {{ underlyings['67110204'].underlyingFeed.spot \| number:2 }}	EUR 4'872.57	EUR 2'679.91	50.51%	EUR 4'872.57	10.02%
S&P 500	{{ underlyings['67115459'].currency }} {{ underlyings['67115459'].underlyingFeed.spot \| number:2 }}	USD 5'088.80	USD 2'798.84	52.69%	USD 5'088.80	13.98%
SMI	{{ underlyings['67108956'].currency }} {{ underlyings['67108956'].underlyingFeed.spot \| number:2 }}	CHF 11'496.76	CHF 6'323.22	48.70%	CHF 11'496.76	6.72%

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Coupons

Payment Date	Amount
04 Jun 2024	1.625%
05 Sep 2024	1.625%
06 Dec 2024	1.625%
07 Mar 2025	1.625%
04 Jun 2025	1.625%
05 Sep 2025	1.625%
05 Dec 2025	1.625%
06 Mar 2026	1.625%
04 Jun 2026	1.625%

Early Redemption

Observation Date	Redemption Amount
28 Feb 2025	100.00%
28 May 2025	100.00%
28 Aug 2025	100.00%
28 Nov 2025	100.00%
27 Feb 2026	100.00%

Euro STOXX 50

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Name Euro STOXX 50

Spot Price

Bloomberg Ticker SX5E

Currency EUR

Initial Fixing Level EUR 4'872.57

Barrier Level EUR 2'679.9135

Distance to Barrier Level 50.5136%

Strike Level EUR 4'872.57

Distance to Strike Level 10.0247%

Market STOXX Europe Calendar

S&P 500

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Name S&P 500

Spot Price

Bloomberg Ticker SPX

Currency USD

Initial Fixing Level USD 5'088.80

Conversion Ratio 0.1965

Barrier Level USD 2'798.84

Distance to Barrier Level 52.6916%

Strike Level USD 5'088.80

Distance to Strike Level 13.9847%

Market NYSE

SMI

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Name SMI

Spot Price

Bloomberg Ticker SMI

Currency CHF

Initial Fixing Level CHF 11'496.76

Barrier Level CHF 6'323.218

Distance to Barrier Level 48.6963%

Strike Level CHF 11'496.76

Distance to Strike Level 6.7206%

Market SIX Swiss Exchange AG

Phone: +41 44 226 72 20
Email: structuredproducts@raiffeisen.ch
Website: https://structuredproducts.raiffeisen.ch/
Address: Raiffeisen Switzerland Cooperative
The Circle 66
Postfach
8058 Zürich-Flughafen

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