Discover the potential

An information brochure issued by SSPA, the Swiss Structured Products Association

Contents 5 What are structured products 6 Derivatives: a brief history 9 Product types and categories 14 Structured products: four key advantages 15 Risks 8 1 19 23 24 27 30

Investing with structured products When do structured products investments make sense COSI – collatoral secured instruments Risk figure Frequent misunderstandings Investor checklist

31 31 32 33 34 35 37

The Association Portrait and goals SSPA Membership SSPA Committee Business Office Accomplishments of the SSPA Structured products and the Swiss financial center

A feather is suitable for writing with ink.

A feather is the perfect paragon for improving aeroplanes.

Discover Discover the the potential. potential.

What are structured products Structured products are innovative and flexible investment instruments that represent an attractive alternative to direct investments (such as shares, bonds, currencies etc.). Thanks to their flexibility, they lend themselves to investment solutions to suit any risk profile, even in challenging market situations. Structured products are defined as investment instruments publicly issued by securities issuers whose redemption value is linked to the performance of one or more underlying assets. According to a given derivative strategy, suitable products can be designed to fit any market expectation (positive, stagnant, negative) and any risk profile (conservative, balanced, aggressive).

ments, and investors do not enjoy the special legal protection provided by Switzerland’s Collective Investment Schemes Act (KAG). Today, they are directly or indirectly responsible for more than 3,000 highly skilled jobs. According to information from the Swiss National Bank, approx. CHF 200 billion in Swiss custodial accounts is currently invested in structured products (assets under management). This corresponds to approx. 4% of all assets under management in Switzerland. Structured products are important to both asset management and the Swiss financial center as a whole. Recent growth has made them a significant part of Switzerland’s economy. For the latest market volumes, visit the website (www.sspa-association.ch).

Most of the products sold have a structure with full or conditional capital protection or optimized risk-yield ratios. Legally, structured products are bonds or debt obligations payable by the issuer. The issuer is liable for their fulfillment to the full extent of his assets. This makes a structured product issuer’s creditworthiness of paramount importance to the investor. Structured products are not collective invest-

What are structured products | 5

Derivatives: a brief history Structured products, or derivatives, stand for innovation, complexity and modernity. Yet the first derivative transactions took place before the beginning of the Common Era. Often (wrongly) characterized as speculative, derivatives can serve an important function: They protect manufacturers against rises in commodity prices or poor harvests. McDonald’s, for example, uses beef futures to ringfence hamburger prices against commodity price fluctuations. This kind of risk transfer also provides private investors with a hedge against declining share prices.

1991 Swiss Bank Corporation issues Switzerland’s first structured product – a capital protection product

6 | What are structured products

2006 Establishment of SSPA, the Swiss Structured Products Association

Derivatives: the beginnings Historically, derivatives are much older than stocks: The first forward transactions appear to have been conducted as far back as 1700 BC, while the first recorded stock-market share trade took place in 1602 AD. In the first recorded instance of speculative transactions, in 500 BC, futures were traded in olives. Wanting a hedge against falling prices, producers agreed on a selling price in advance. Buyers were in turn assured that prices wouldn’t go up. Round about that time Thales, the famous mathematician, bought options on the operation of olive presses, exploitation rights which – thanks to his ability to estimate the volume of the next harvest early and accurately – he later sold at a profit. His options gave Thales the right to the

2006 First edition of the Swiss Derivative Awards

2007 First Structured Products Fair in Zurich

2007 Opening of the Scoach derivatives exchange for the electronic trade in structured products in Germany and Switzerland

future use of a commodity. Had the next harvest been poor, he would not have exercised his options and they would have worthlessly expired. The principle remains unchanged to this day. From tulip mania to forward transaction In 17th century Holland the options trade blossomed as tulip mania, a speculation-fed tulips bubble, swept the country. At the time tulip bulbs were valued more highly than gems or gold. When bulb prices reached exorbitant heights in 1637, dealers ignited a sell-off, prices collapsed and an economic crisis ensued. The opening of the Chicago Board of Trade in the 19th century made forward transactions respectable. The Board enforced commodity trading standards that made possible a leap

2008 Founding of Eusipa, the European Structured Investment Products Association, the umbrella organization of structured products in Europe

2009 Collateral Secured Instruments (COSI) to eliminate issuer risk launched at Scoach Switzerland

in forward transactions. Their name? Futures. When fixed exchange rates collapsed in the early 1970s, some kind of security guarantee was clearly needed because international companies invoicing their products in a foreign currency were too exposed to currency fluctuations. Derivatives boom since the mid-1980s The Black-Scholes option pricing model, a mathematical formula, led to precise option valuation that rapidly boosted interest in derivatives. Initially, computers were too slow to handle the complex calculations but technological progress soon caught up. First came trade in simple market risks, such as those associated with shares, followed by derivatives based on interest, loan default, commodities and foods. Today there are even pork bellies and orange juice concentrate futures.

2010 SSPA launches its Investor Knowledge Initiative

2011 Online Knowledge Test available on the SSPA website

2012 SSPA launches the communication initiative “Discover the potential”

What are structured products | 7

Outlook In recent years, structured products have proven their worth, establishing themselves as innovative and flexible investment instruments. Thanks to the wide range of structured products on offer – more than 20 types in all – Switzerland has established itself internationally as a leading innovative force, time and again demonstrating its strength in this area. With its introduction of Collateral Secured Instruments (COSI), for example, Switzerland (SIX and SSPA) created an effective product with which to sharply reduce issuer risk. This innovation has met with tremendous acceptance worldwide, and COSI products are already an extremely successful export. New product solutions such as these have also strengthened the innovative force and attractiveness of the entire Swiss financial centre. Even so, investors have yet to recognize or take advantage of the full potential of structured products. The Association intends to raise awareness of the potential and advantages of structured products by means of a communications offensive using selected examples to provide a straightforward demonstration of how to take advantage of the potential offered by structured products. The objective is to spur investors to take a closer look at structured products, make greater use of the wealth of information and explanatory materials provided by issuers and the Association and/or consult with their bankers in order to discuss the optimum deployment of these innovative investment products.

8 | What are structured products

One of the industry’s most significant trends involves customized product tools, which have been refined by issuers and integrated into meta-platforms. This advance makes it possible for investors to obtain certificate offers from multiple issuers through a single platform, increasing both price transparency and competition.

Product types and categories

groups, each listing a set of product types, for a total of more than twenty. A payout diagram shows the function of each product type. The map also informs about market expectation and product characteristics.

The SSPA provides clarity The structured products market has given rise to many, sometimes overlapping terms. For instance, the labels certificate, structured product and derivative are often used interchangeably – and there are still many other product names in use. To simplify this, in 2006, the SSPA issued its Swiss Derivative Map, an independent, systematized investor guide accepted by the entire market.

· T he Association website www.sspa-association.ch/productindex contains an interactive product finder. · T he classification is updated monthly. · T hree issuers coming out with at least three products each of the same type triggers the formation of a new category.

The SSPA Swiss Derivative Map Dividing structured products first into investment and leverage products, the Map then subdivides the two categories into six main

Goldmann_Sachs_Termsheets.pdf

DB_Termsheet.pdf

1

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Barrier Put Warrants on the STOXX® Europe 50 Index (Price EUR) - NON-US INVESTORS ONLY - NON-PRINCIPAL PROTECTED Final Terms and Conditions as of September 13, 2011 (Version 2.01)

All material herein is for discussion purposes only and is only a summary. Reference should always be made 2012 to the Programme for the Issuance of 27 September Derivatives which shall be read together with this Termsheet and the Offering Circular, which contains the only legally binding terms and conditions of the Warrants and other information related to the Issue. The Programme for the Issuance of Derivatives and the Offering Circular are obtainable free of charge from the Issuer/Swiss Programme Agent. Before investing in the Securities you should read the risk factors described under Risk Information below, in the Programme for the Issuance of Derivatives and in the Offering Circular.

No Collective Investment Scheme Units: The Securities are not supervised by the Swiss Financial Market Supervisory Structuredprovided Productsunder the Federal Act on Authority (FINMA) and investors do not benefit from the specific investor protection +41 (0) 58 Collective Investment Schemes (CISA). Investors should be aware, that theyPhone: are exposed to 888 the 8181 credit risk of the Issuer and the Guarantor respectively. E-Mail: [email protected] Term

Internet: derivatives.juliusbaer.com

A. PRODUCT DESCRIPTION PRODUCT Issue Size

18% P.A. BEDINGTER MEMORY COUPON – 100% ABSOLUTE PERFORMANCE

060580537

Exercise Type

European, automatic exercise on Maturity Date

Ratio

1

Strike

EUR 1184.36 EUR 285.07 1 Warrant and multiples of 1 thereafter

SVSP Swiss Derivative MapTM Capital Protection Certificate with Partic pation (1100*)

1 Warrant and multiples of 1 thereafter

Underlying

HIGHLIGHTS •

13.50% p.a. Early Redemption Kick-In GOAL Linked to Brent Crude Oil Issued by UBS AG, London Branch Cash settled SVSP Product Type: Barrier Reverse Convertible (1230), Hard Call EUSIPA Product Type: Barrier Reverse Convertible (1230), Hard Call Valor: 19663229 SIX Symbol: KIBTC

•

18% p.a. bedingter Memory Coupon im Falle eines Autocalls

•

Laufzeit: Max. 1.5 Jahre

FUNkTIONSWEISE DES COUPONS Der bedingte Coupon von 18% p.a. wird ausbezahlt, wenn der Basiswert an einem Beobachtungstag über dem Autocall Trigger Level schliesst. •

Underlying

Jeder nicht ausbezahlte Coupon wird gespeichert und falls die Bedingung erfüllt ist, am nächsten Autocall Beobachtungstag ausbezahlt.

• Wenn der Basiswert am Laufzeitende über der Anfangsfixierung notiert, erhält der Anleger die Performance des Basiswerts den nicht ausbezahlten Memory Initial Level (indicative) Autocall Trigger (indicative) Kick-Inplus Barrier (indicative)

Bloomberg Ticker

Coupon seit Laufzeitbeginn.

CO1

USD 109.81

USD 109.81

USD 76.87 – 82.36

(70% - 75%) (100%) RÜCkZAHLUNGSMECHANISMUS Wenn an einem Beobachtungstag (vierteljährlich) der Basiswert über dem jeweiligen Autocall Trigger Level von 100% des Anfangslevel liegt, wird das Produkt vorzeitig zurückbezahlt und der Anleger erhält 100% der Denomination, plus die anfallenden Coupons.

•

Product Details Security Numbers

Valor: 19663229 / ISIN: CH0196632290 / WKN: (im UU3ZAB Am Laufzeitende Falle keiner frühzeitigen Rückzahlung)

SIX Symbol

KIBTC

•

ISIN

EU0009658160

Index Sponsor

STOXX Limited

Derivatives Exchange

EUREX Frankfurt

GENERAL INFORMATION Warrant Right

Each Warrant entitles the Investor, in accordance with the respective Terms and Conditions of the Warrants, to receive either: If Reference Price (Final) is less than or equal to the Barrier Level: Ratio x [Strike – Reference Price (Final)] Else

Die in diesem Dokument erwähnten Finanzprodukte sind derivative Finanzinstrumente. Sie qualifizieren nicht als Anteile einer kollektiven Kapitalanlage im Sinne der Art. 7 ff. des Schweizerischen Bundesgesetzes über die kollektiven Kapitalanlagen (KAG) und sind daher weder registriert noch überwacht von der Eidgenössischen Finanzmarktaufsicht FINMA. Anleger geniessen nicht den durch das KAG vermittelten spezifischen Anlegerschutz.

ALLGEMEINE PRODUkTDETAILS Emittentin

Leonteq Securities AG Zürich, Schweiz

SVSP Kategorie

Twin-Win-Zertifikat (1340)

Basiswert

MSCI Russia

Bedingter Coupon

18% p.a.

Währung

65% (kontinuierlich) 100% der absoluten Performance

Laufzeit

max. 1.5 Jahre

Autocall Trigger Level

100%

Vorzeitige Rückzahlungsdaten

quartalsweise

des Barriere Levels gehandelt hat und am Laufzeitende unter der Anfangsfixierung

Kotierung

SIX Swiss Exchange

1. Produktebeschreibung

Derivatekategorie / Bezeichnung

Issue Size USD 3,000,000 (with reopening clause) absoluten Performance des Basiswerts seit Laufzeitbeginn zurück. Renditeoptimierung / Barrier Reverse Convertible (1230, gemäss Swiss Derivative Map des • Anderenfalls, wenn der Basiswert während der Laufzeit jemals auf oder unterhalb Denomination/Nominal USD 1,000 Schweizerischen Verbands für Strukturierte Produkte)

Issue Price 100% of Denomination (percentage quotation) schliesst, erhält der Anleger 100% abzüglich der negativen Performance des Hierbei handelt es sich in der Schweiz um Strukturierte Produkte. Sie sind keine Basiswerts (ähnlich wie bei einer Direktinvestition in den Basiswert). kollektiven Kapitalanlagen im Settlement Sinne des Kollektivanlagegesetzes (KAG). Sie Currency USD unterstehen weder der Genehmigungspflicht noch der Aufsicht der FINMA und Coupon Payment 13.50% p.a. in arrears. Coupon Payment per Denomination will be Anleger geniessen nicht den spezifischen Anlegerschutz des KAG. SECURITIES USD 11.25 on the relevant CouponLEONTEQ Payment Date(s) AG Brandschenkestrasse 90 | Postfach 1686 | CH-8027 Zürich | Telefon +41 58 800 1000 | Fax +41 58 800 1010 www.zkb.ch/struktifit For Swiss and EU Savings tax purposes the Coupon Payment is split into two components: info @leonteq.com | www.leonteq.com 0.65% interest component

Product Description Terms Issuer Lead Manager Rating of the Issuer Valor / ISIN / Symbol

Bank Julius Baer & Co. Ltd., Guernsey Branch Bank Julius Baer & Co. Ltd., Zurich Moody’s A1 19330388 / CH0193303887 / JENVR

Underlying

SMI Mid® Index (SMIM®) (SMIM Index)

Currency Reference Index Level Issue Price Nominal Amount Strike Price Capital Protection Participation

CHF CHF 1'187.45 100.00% CHF 1'000 CHF 1'068.71 (90.00%)1) 90.00% 87.00%

Fixing Date Payment Date Maturity Date Redemption Date Subscription Period until

28.09.2012 05.10.2012 16.05.2013 23.05.2013 27.09.2012, 12:00 CET

1)

 

  2 YEARS Quanto USD Subscription until 23-May-2011 Minimum Investment: 1’000 USD SVSP Product Type: 1230*, Hard Call

Emissionspreis

100%

Zeichnungsschluss

26.03.2014, 14 Uhr

Valor

23403344

Terms and Conditions Barrier Reverse Convertible with Early Redemption Feature on

EURO STOXX 50®, (Early Redemption Kick-In Goal)

in % of the Reference Index Level

Product Characteristics

Pay-off-Chart on the Maturity Date

This Structured Product does not constitute a participation in a collective investment scheme within the meaning of the Swiss Federal Act on

Reference Price Reference Price (Initial)

EUR 2042 – a price of the Underlying on the Strike Date

also allow a participation in the positive performance of the Underlying. This Product is aimed at investors who expect a positive performance of the Underlying and who do not exclude, that major market corrections may occur.

1. MAIN CHARACTERISTICS

SPEEDBEDSAR

Key parameters

Goldman Sachs Bank AG, Münsterhof 4, 8022 Zurich Phone: +41 (0)44 224 1144, Fax: +41 (0)44 224 1020 Homepage: http://www.goldman-sachs.ch, E-mail: [email protected] Bloomberg: GSSD

Valor ISIN Code Reuters RIC SIX Symbol Issue Size Denomination Issue Price

CHF Quanto

Barriere Partizipation

Wenn bis am Laufzeitende der Basiswert die Barriere weder berührt noch unterschritten hat, erhält der Investor 100% seines Anfangskapitals zusätzlich der

Neuemission

0 (Zero)

In Switzerland, these financial instruments are considered structured products. They do not constitute shares in collective investment schemes within the meaning of the Swiss Federal Act on Collective investment schemes (CISA). Therefore they are neither subject to the approval nor supervision by the Swiss Financial Market Supervisory Authority FINMA. The investors do not benefit from the specific investor protection provided under the CISA.

The official Special Quotation Price of the listed option on the Underlying that is expiring on the These Structured Products („Certificates“/„Products“) are Collective Investment Schemes (CISA) and is therefore not subject to authorization and supervision by the Swiss Financial Market same day as the relevant warrant on any Index Calculation Day as published by the Derivatives financial instruments which guarantee, depending on the Supervisory Authority (FINMA). Exchange. If on such a day no Special Quotation Price is available, the official closing price of the Product’s set-up, full or limited capital protection and which Underlying as calculated and published by the Index Sponsor.

CONTACT/INFO

•

Information on Underlying

SX5P Index .STOXX50

+ 41 58 800 1111

specific investor protection under the CISA (this paragraph is relevant to public offerings in Switzerland only).

1. Description of the Product

Brent Crude Oil

100% Partizipation an der absoluten Performance des Basiswerts (wenn die Barriere nicht berührt wird)

STOXX® Europe 50 Index (Price EUR)*

Bloomberg Reuters

[email protected] | www.leonteq.com

Indicative Terms

PRODUkTBESCHREIBUNG UND CHANCEN Das Twin-Win Autocall Zertifikat offeriert einen 18% p.a. Memory Coupon im Falle This Product does not represent a participation in any of the collective investment schemes pursuant to Art. 7 ss of erhält der Investor, wenn eines Autocall Events während der Laufzeit. Zusätzlich the Swiss Federal Act on Collective Investment Schemes (CISA) and thus does oder not require authorisation of the kein Autocall Barrierean Event statt gefunden hat, die Chance auf eine 100% Swiss Financial Market Supervisory Authority (FINMA). Therefore,Partizipation investors inanthis are not eligible forBasiswerts. the derProduct absoluten Performance des

Interaktive Produkterklärung "StruktiFit"

EUR 2205.36

Barrier Level Issue Price

UNDERLYING INFORMATION



KAG Hinweis

GSIUD

Common Code

Trading Size

09.08.2012 - 09.08.2013 | Valor 18 718 790

September 13, 2011

Bank Julius Baer & Co. Ltd. September 13, 2011 Bahnhofstrasse 36 September 20, 2011 P.O. Box First Trading Date Zurich September 20, 2011 CH-8010 Phone +41 (0) June 58 88813, 1111 Maturity Date 2013 Fax +41 (0) 58 888 1122 Strike Date

Settlement Date

Minimum Exercise/ Minimum Investment

6.85% ZKB Barrier Reverse Convertible on worst of CS Group N/UBS AG N

Issue Date

GB00B6KT7T67 10216340

Symbol PARTIZIPATION | MÄRZ 2014

TWIN-WIN AUTOCALL AUF MSCI RUSSIA

{ Sheet and Final Terms

JB 90% Capital Protection Certificate with Participation on SMI Mid Index 87% Participation

DATES 10'000 Warrants

ISIN Valor

Settlement Currency Capital Protection

KOTIERUNGSINSERAT

12568969 CH0125689692 CH12568969=SGAZ RVCEF

Dieses strukturierte Produkt ist keine kollektive Kapitalanlage im Sinne des Kollektivanlagegesetzes (KAG) und untersteht folglich weder der Bewilligung noch der Aufsicht der Eidgenössischen Finanzmarktaufsicht (FINMA). Der Anleger kann somit den Schutz des KAG nicht beanspruchen.

USD None

Dates Launch Date Valuation Date (0)

28-Apr-2011 

PRODUKTBESCHREIBUNG

23-May-2011 (i.e. "first Valuation Date")

First Listing Day  Bank 31-May-2011 Julius Baer & Co. Ltd. 1/6 Issue Date 31-May-2011  Valuation Date (i) (i from 1 to 7) Valuation Date (8)  Last Listing Day  Maturity Date

Angaben zur Emission Valorennummer / ISIN / Symbol

23-Aug-2011; 23-Nov-2011; 23-Feb-2012; 23-May-2012; 23-Aug-2012; 23-Nov-2012; 25-Feb-2013 19 609 744 / ISIN CH0196097445 / BCV22B 23-May-2013 (i.e. "last Valuation Date")

Emittent

23-May-2013 (until noon, Zurich time) 30-May-2013

Leadmanager, Rechnungs-/ Zahlstelle Emissionspreis

12.85% premium component Emittentin Keep-Well Agreement

Secondary market prices are quoted in percentage and clean; accrued interest is NOT included in the price. Mit der Zürcher Kantonalbank (vollständiger Wortlaut in Anhang 3 des Emissionsprogramms); die Zürcher Kantonalbank verfügt über folgende Ratings: Standard & Poor's AAA, Moody's Aaa, Fitch AAA Dates Zürcher Kantonalbank, Zürich

Symbol / Valorennummer / ISIN

ZKB2GI / 18 718 790 / CH0187187908

Emissionsbetrag / Nennbetrag / Handelseinheiten

Pricing Date 03 Nennbetrag October 2012 Bis zu CHF 3 000 000, mit der Möglichkeit der(“Pricing”) Aufstockung / CHF 1 000 pro Strukturiertes Produkt / CHF 1 000First oder Mehrfaches davon SIXein Trading Date (anticipated) 10 October 2012

24 September 2012

Subscription Period

Until 03 October 2012, 15:00 CET

(Please note that Subscription Period might be closed earlier, if market conditions change or if maximum size is reached)

100.00% vom Nennbetrag

Issue Date / Payment Date Contact:

UBS AG, P.O. Box, 8098 Zürich

Private Investors: Please contact your client advisor or send an email to [email protected]

Währung

CHF

Internet:

www.ubs.com/keyinvest

Product Hotline: +41-44-239 76 76*

Credit Suisse Group AG Namenaktie / CH0012138530 / SIX Swiss Exchange (XVTX) / Bloomberg: CSGN VX UBS AG Namenaktie / CH0024899483 / SIX Swiss Exchange (XVTX) / Bloomberg: UBSN VX

Cap Level (100 %) Knock-in Level (49 %) Ratio Coupon

Société Générale may not be held responsible for the financial or other consequences that may follow the subscription to or acquisition of this product. Investors should conduct their own analyses of the risks involved and where necessary must consult their own legal, financial, tax, accounting or other professional advisers before committing themselves. In particular, when subscribing, purchasing and holding the note herein described, investors should be aware that under certain circumstances the redemption value of the note may be less than its nominal amount and may equal zero.

 

 

Launch Date

Basiswert

Ausgabepreis pro Strukturiertes Produkt

Referenzwährung

Zürcher Kantonalbank Finance (Guernsey) Guernsey Quoting Limited, Type

Lead Manager, Zahl-, Ausübungsund Berechnungsstelle

10 October 2012

         

Nominal

BCV Guernsey, Zweigniederlassung der BCV Lausanne Schweiz (S&P AA/negativ/A-1+, Moody’s A1/P-1/stabil) Banque Cantonale Vaudoise, Lausanne 100% USD USD 1 000

Emissionsvolumen

1 250 Barrier Reverse Convertible Callable (mit Aufstockungsmöglichkeit)

Datum Initial Fixing

27.09.2012 basierend auf dem offiziellen Schlusskurs der Basiswerte an der Referenzbörse

Zahlungsdatum Schlussbewertungsdatum Rückzahlungsdatum

08.10.2012 26.09.2014 basierend auf dem offiziellen Schlusskurs der Basiswerte an der Referenzbörse 08.10.2014

Definition

Der Barrier Rerverse Convertible Callable ist ein strukturiertes Produkt. Er garantiert während der Laufzeit des Produkts (bis Fälligkeit oder bis zum vorzeitigen Rückzahlungsdatum) die Auszahlung eines halbjährlichen Coupons von 2.90%. Mit dem Produkt wird dem Emittenten das einseitige Recht verliehen, das Produkt vorzeitig zurückzuzahlen („Callable“).

SVSP-Kategorie

Renditeoptimierungs-Produkt – Barrier Reverse Convertible (1230) gemäss der Swiss Derivative Map, erhältlich unter www.svsp-verband.ch.

Basiswert

Investors outside of Switzerland should consult their local client advisors. Please note that calls made to the numbers marked with an asterisk (*) may be recorded. Should you call one of these numbers, we shall assume that you consent to this business practice.

Basiswert CS Group N UBS AG N

Cap Level 16.01 10.14

Knock-in Level 7.84 4.96

Coupontermin(e)

09. August 2013 30/360 (German), modified following

Initial Fixing Tag

02. August 2012

Liberierungstag

09. August 2012

i

Ratio 62.4610 98.6193

Name ®

1

SMI Index

2

Euro Stoxx 50 Index

3

S&P500 Index

®

®

BloombergSymbol

Referenzbörse

Ausübungspreis

Barriere

SMI INDEX

SIX Swiss Ex

6 545.91

4 254.842

SX5E INDEX

STOXX

2 506.06

1 628.939

SPX INDEX

S&P

1 447.15

940.648

0

Produktbedingungen

6.85% per Nominal CHF 1 000, Zinsteil 0.370% (CHF 3.70), Prämienteil 6.480% (CHF 64.80)

Couponzinsusanz

SPEEDY

Barrier Reverse Convertible Callable

Basiswerte : SMI® - Euro Stoxx50® - S&P500® Coupon : 5.80% p.a. - Barriere In Fine 65% - Quanto USD Fälligkeit : 08.10.2014

USD 4,000,000 (i.e. 4,000 Notes) (subject to the Issue of further Notes or the cancellation of repurchased Notes by the Issuer) USD 1’000 100.00%

Initital Fixing Barriere

100% des offiziellen Schlusskurses der Basiswerte an der Referenzbörse 65% des Ausübungspreises jedes Basiswerts

www.bcv.ch/invest 021 212 42 00 1/5

What are structured products | 9

SSPA SWISS DERIVATIVE MAP © INVESTMENT PRODUCTS Capital Protection Certificate with Participation (1100)

Convertible Certificate (1110)

Barrier Capital Protection Certificate (1130)

Capital Protection Certificate with Coupon (1140)

Reference Entity Certificate with Conditional Capital Protection (1410)

Market expectation Rising underlying Rising volatility Sharply falling underlying possible

Market expectation Rising underlying Rising volatility Sharply falling underlying possible

Market expectation Rising underlying Sharply falling underlying possible Underlying is not going to touch or go above the barrier during product lifetime

Market expectation Rising underlying Sharply falling underlying possible

Market expectation Rising underlying Sharply falling underlying possible No credit event of the reference entity

Profit

Profit

Profit

Profit

Twin-Win Certificate (1340)

Market expectation Rising underlying Underlying will not breach barrier during product lifetime

Market expectation Rising or slightly falling underlying Underlying will not breach barrier during product lifetime

Profit

Profit

Profit Barrier

Barrier Barrier 0

0

0

0

Characteristics

g in

g

ly er

ly U

Loss

Characteristics

Participation in development of the underlying Minimum redemption is equal to the nominal provided the barrier has not been breached If the barrier is breached the product changes into a Tracker Certificate With greater risk multiple underlyings (Worst-of) allow for a higher bonus level or lower barrier Reduced risk compared to a direct investment into the underlying

nd

er

Characteristics

Participation in development of the underlying Disproportionate participation (outperformance) in positive performance above the strike Reflects underlying price moves 1:1 when below the Strike Risk comparable to direct investment in the underlying

nd

nd

Loss

U

U

Loss

Characteristics

Participation in development of the underlying Reflects underlying price moves 1:1 (adjusted by conversion ratio and any related fees) Risk comparable to direct investment in the underlying

in

g in er

ly er nd

nd U

Loss

Strike

ly

in

in ly er

13 PARTICIPATION

Loss

Strike

Strike

g

g

Strike

U

0

Characteristics

Participation in development of the underlying Disproportionate participation (outperformance) in positive performance above the strike Minimum redemption is equal to the nominal provided the barrier has not been breached If the barrier is breached the product changes into a Outperformance Certificate With greater risk multiple underlyings (Worst-of) allow for a higher bonus level or lower barrier Reduced risk compared to a direct investment into the underlying

er

Ba

sisw er ly t in g

Bonus Outperformance Certificate (1330)

Market expectation Underlying moving sideways or rising Underlying will not breach barrier during product lifetime

Participation in development of the underlying Profits possible with rising and falling underlying Falling underlying price converts into profit up to the barrier Minimum redemption is equal to the nominal provided the barrier has not been breached If the barrier is breached the product changes into a Tracker Certificate With higher risk levels, multiple underlyings (Worst-of) allow for a higher bonus level or lower barrier Reduced risk compared to a direct investment into the underlying

Reference Entity Certificate with Participation (1430) Market expectation Rising underlying No credit event of the reference entity

Profit

0

g

Bonus Certificate (1320)

Market expectation Rising underlying Rising volatility

in

Outperformance Certificate (1310)

There are one or more reference entities underlying the product In addition to credit risk, redemption of the product is subject to the solvency (non-occurrence of a credit event) of the reference entity If a credit event occurs at the reference entity during the life time, the product will be redeemed at an amount corresponding to the credit event The product value can fall during its lifetime, among other things due to a negative assessment of reference entity creditworthiness If the underlying is lower than the exercise price upon maturity, the underlying is delivered and/or a cash settlement is made, provided that no credit event of the reference entity has occurred If the underlying is higher than the exercise price upon maturity, the nominal is repaid, provided that no credit event of the reference entity has occurred Depending on the characteristics of the product, either a coupon or a discount to the underlying can apply A coupon is paid out regardless of performance of the underlying, provided that no credit event of the reference entity has occurred In addition, the product can feature a barrier With greater risk, multiple underlyings (Worst-of) allow for higher coupons, larger discounts, or lower barriers Limited Profit Potential (Cap) The product allows higher yield at greater risk

ly

Should the underlying trade above the Strike on the observation date, an early redemption consisting of nominal plus an additional coupon amount is paid Offers the possibility of an early redemption combined with an attractive yield opportunity Reduced risk compared to a direct investment into the underlying With higher risk levels, multiple underlyings (Worst-of) allow for higher coupons or lower barriers Limited profit opportunity (Cap)

Market expectation Rising underlying

Profit

Auszahlungsprofil Pay-off is subject Kreditereignis toohne no credit event

Characteristics

Characteristics

Should the barrier never be breached, the nominal plus coupon is paid at redemption Due to the barrier, the probability of maximum redemption is higher; the coupon, however, is smaller than for a Reverse Convertible If the barrier is breached the product changes into a Reverse Convertible The coupon is paid regardless of the underlying development Reduced risk compared to a direct investment into the underlying With higher risk levels, multiple underlyings (Worst-of) allow for higher coupons or lower barriers Limited profit potential (Cap)

nd

g ly er

Verlust Loss

Tracker Certificate (1300)

Profit

StrikeStrike

nd

Loss

Characteristics

Should the underlying close below the strike on expiry, the underlying and/or a cash amount is redeemed Should the underlying close above the Strike at expiry, the nominal plus the coupon is paid at redemption The coupon is paid regardless of the underlying development Reduced risk compared to a direct investment into the underlying With higher risk levels, multiple underlyings (Worst-of) allow for higher coupons Limited profit potential (Cap)

Cap 00

Strike

in

g in

U

Loss

Characteristics

The maximum redemption amount (Cap) is paid out if the barrier is never breached Barrier Discount Certificates enable investors to acquire the underlying at a lower price Due to the barrier, the probability of maximum redemption is higher; the discount, however, is smaller than for a Discount Certificate If the barrier is breached the product changes into a Discount Certificate Reduced risk compared to a direct investment into the underlying With higher risk levels multiple underlyings (Worst-of) allow for higher discounts or lower barriers Limited profit potential (Cap)

Strike

er ly

in nd

er ly

Characteristics

Barrier

Strike Strike

g

g er ly nd U

Loss

last Observation n. Observation 2nd Observation 1st Observation

Cap 0

Strike

in

g in er ly nd U

Loss

Barrier 0

0

Gewinn Profit

Profit

Profit Cap

Cap

Strike

Market expectation Underlying moving sideways or slightly rising Falling volatility of the underlying No credit event of the reference entity

Market expectation Underlying moving sideways or slightly rising Decreasing volatility Underlying will not breach barrier during product lifetime

er

Profit

Barrier

Reference Entity Certificate with Yield Enhancement (1420)

Express Certificate (1260)

U

Market expectation Underlying moving sideways or slightly rising Falling volatility Underlying will not breach barrier during product lifetime

Loss

nd

Barrier Reverse Convertible (1230)

0

Pay-off is subject to no credit event

There are one or more reference entities underlying the product In addition to the credit risk of the issuer, redemption is subject to the solvency (non-occurrence of a credit event) of the reference entity Redemption is made at least in the amount of conditional capital protection at maturity, provided that no credit event of the reference entity has occurred If a credit event occurs at the reference entity during the life time, the product will be redeemed at an amount corresponding to the credit event The product value can fall below conditional capital protection during its lifetime, among other things due to a negative assessment of reference issuer creditworthiness Conditional capital protection only applies to the nominal and not the purchase price Participation in development of the underlying, provided a reference entity credit event has not occurred The product allows higher yield at greater risk

U

Reverse Convertible (1220) Market expectation Underlying moving sideways or slightly rising Falling volatility

Profit

Should the underlying close below the strike on expiry, the underlying and/or a cash amount is redeemed Discount Certificates enable investors to acquire the underlying at a lower price Corresponds to a buy-write-strategy Reduced risk compared to a direct investment into the underlying With higher risk levels multiple underlyings (Worst-of) allow for higher discounts Limited profit opportunity (Cap)

Minimum redemption at expiry equiva lent to the capital protection Capital protection is defined as a percentage of the nominal (e.g. 100%) Capital protection refers to the nomi nal only, and not to the purchase price Value of the product may fall below its capital protection during the lifetime The coupon amount is dependent on the development of the underlying Periodic coupon payment is expected Limited profit opportunity

14 INVESTMENT PRODUCTS WITH REFERENCE ENTITIES

Minimum redemption at expiry equivalent to the capital protection Capital protection is defined as a percentage of the nominal (e.g. 100%) Capital protection refers to the nominal only, and not to the purchase price Value of the product may fall below its capital protection during the lifetime Participation in underlying price increase above the strike up to the barrier Possibility of rebate payment once barrier is breached Limited profit potential

Characteristics

Barrier Discount Certificate (1210)

Cap

Characteristics

U

Characteristics

Market expectation Underlying moving sideways or slightly rising Falling volatility Underlying will not breach barrier during product lifetime

Strike

U nd er ly in g

in g ly nd er

in er

Minimum redemption at expiry equivalent to the capital protection Capital protection is defined as a percentage of the nominal (e.g. 100%) Capital protection refers to the nominal only, and not to the purchase price Value of the product may fall below its capital protection during the lifetime Participation in underlying price increase above the strike (conversion price) Coupon payment possible

0

Loss

U

Characteristics

Loss

nd

Profit

Loss

U

Discount Certificate (1200)

nd

nd

Characteristics

Minimum redemption at expiry equivalent to the capital protection Capital protection is defined as a percentage of the nominal (e.g. 100%) Capital protection refers to the nominal only, and not to the purchase price Value of the product may fall below its capital protection during the lifetime Participation in underlying price increase above the strike

Strike

ly

ly er

Characteristics

Loss

U

Loss

0

g

g in

in g ly nd er

Loss

0

Strike

Strike

U

11 CAPITAL PROTECTION

Rebate 0

0

Strike

Market expectation Underlying moving sideways or slightly rising Falling volatility

12 YIELD ENHANCEMENT

Profit

Coupon

Barrier

0

U

The SSPA Swiss Derivative Map: milestone in the structured products story

Pay-off is subject to no credit event

Characteristics There are one or more reference entities underlying the product In addition to credit risk, redemption of the product is subject to the solvency (non-occurrence of a credit event) of the reference entity If a credit event occurs at the reference entity during the life time, the product will be redeemed at an amount corresponding to the credit event The product value can fall during its lifetime, among other things due to a negative assessment of reference entity creditworthiness Participation in development of the underlying, provided a reference entity credit event has not occurred In addition, the product can feature a barrier The product allows higher yield at greater risk

LEVERAGE PRODUCTS Warrant (2100)

Spread Warrant (2110)

Warrant with Knock-Out (2200)

Mini-Future (2210)

Constant Leverage Certificate (2300)

Additional features

Market expectation Warrant (Call): Rising underlying, rising volatility Warrant (Put): Falling underlying, rising volatility

Market expectation Spread Warrant (Bull): Rising underlying Spread Warrant (Bear): Falling underlying

Market expectation Knock-Out (Call): Rising underlying Knock-Out (Put): Falling underlying

Market expectation Mini-Future (Long): Rising underlying Mini-Future (Short): Falling underlying

Market Expectation Long: Rising underlying Short: Falling underlying

Asian option

Lo

ng

l al ut C -O

ut

t

or

-O Pu t

Financing Level nd

Loss

20 LEVERAGE

U

Loss

nd er

ly

in

g

Stop-Loss

ly in g

in ly nd er U

Loss

Knock-Out

er

Financing Level

g

g in ly er U

Loss

0

0

Strike

nd

nd U

Loss

0

Strike

U

0 er ly in g

0

Characteristics Small investment generating a leveraged performance relative to the underlying Increased risk of total loss (limited to initial investment) Suitable for speculation or hedging Daily loss of time value (increases as product expiry approaches) Continuous monitoring required

Characteristics Small investment generating a leveraged performance relative to the underlying Increased risk of total loss (limited to initial investment) Daily loss of time value (increases as product expiry approaches) Continuous monitoring required Limited profit potential (Cap)

Characteristics Small investment generating a leveraged performance relative to the underlying Increased risk of total loss (limited to initial investment) Suitable for speculation or hedging Continuous monitoring required Immediately expires worthless in case the barrier is breached during product lifetime Minor influence of volatility and marginal loss of time-value

Characteristics Small investment generating a leveraged performance relative to the underlying Increased risk of total loss (limited to initial investment) Suitable for speculation or hedging Continuous monitoring required A residual value is redeemed following a Stop-Loss Event No influence of volatility

© Swiss Structured Products Association SSPA, Zurich. Source: www.sspa-association.ch, Version 1.5, January 2014 This publication is produced in cooperation with Verlag Finanz und Wirtschaft AG, Scoach Schweiz AG and Derivative Partners. All rights to the design format are reserved by these parties. The SSPA Swiss Derivative Map© may not be reproduced or distributed, either in full or in part, in this format without the express permission in writing of the authors. Additional copies of this publication can be requested free of charge at www.sspa-association.ch/map.

10 | What are structured products

Uses the average underlying price over a number of predefined periods (monthly, quarterly, annually) rather the price at a specific time. If, on an observation day, the price of the underlying is either on or above (bull), or, on or below (bear) a previously defined barrier ("autocall trigger"), the product is redeemed prior to maturity. Callable The issuer has the right to cancel early, however, there is no obligation to do so. Capped participation The product has a maximum yield. Catch-up coupon One scenario for an unpaid-out coupon at risk is a catch-up payment at a later date (also: memory coupon) COSI The issuer of Collateral Secured Instruments provides SIX Swiss Exchange with collateral covering their current value. For the investor this means protection in case of issuer default. Coupon at risk A scenario exists where the coupon is not repaid. European Barrier Only the last-day closing price is relevant for monitoring the barrier. Lock-In If the lock-in level is reached, repayment is at least in that amount regardless of future development of the underlying price. Lookback Barrier and/or strike are set with a time delay (look-back phase). Partial capital Capital protection is between 90% and 100% of the nominal value. protection Puttable The investor has the right to return the product to the issuer on certain days during the term. Variable coupon The coupon amount can vary, depending on a predefined scenario. Auto-Callable

r

Bea

Bu ll

Profit

Kn ock

l

ng

Lo

t

Cal

Profit

Sh

t

ock

Profit

or Sh

Profit

Kn

Pu

Profit

Categorization can be more closely defined as follows:

Characteristics Small investment generating a leveraged performance relative to the underlying Increased risk of total loss (limited to initial investment) A potential stop loss and/or adjustment mechanism prevents the value of the product from becoming negative Frequent shifts in direction of the price of the underlying have a negative effect on the product performance Resetting on a regular basis ensure a constant leverage Continuous monitoring required

Capital protection products Capital protection products protect against falling prices. As a rule capital protection is from 90% to 100% of the nominal value applicable on product expiry. As with bonds, there can be price fluctuations throughout a structured product’s life. Generally, the growth potential of capital protection products is lower than that of other products and may even be limited (capped capital protection products). Their earning potential may nevertheless be significant without foregoing capital pro­ tection. Yield enhancement products Yield enhancement products are suitable for sideways-tending markets, with the investor foregoing full participation in the underlying’s price in­creases. The threshold of participation is called the cap. In return for surrendering the full upward growth potential the investor is given a coupon, called a reverse convertible, or a discount on the underlying (discount certificate). If the underlying declines sharply and falls below the cap or the barrier (barrier reverse convertible), the investor shares fully in the loss as he would with a direct investment in the underlying. But since the coupon is redeemed in any case, yield enhancement products are often referred to as interestbearing shares. The coupon yield of products

with several underlyings goes up – as does risk because none of the underlyings is allowed to fall below the threshold. Participation products In principle, participation products share fully in the underlying’s price movements, with no up or down limitations. Some products share in parallel with such price movements (tracker certificates), others come with additional mechanisms. For instance, the participation rate of outperformance certificates goes up beyond a previously specified threshold (strike). In turn, the investor foregoes dividends in favor of the outperformance mechanism. Bonus certificates pay a bonus even if the underlying’s price fails to increase but moves sideways. On the other hand there are no dividend payments to the investor because issuers use them to finance the bonus mechanism.

What are structured products | 11

Investment products with reference issuers In the summer of 2011, the SSPA added a new category to its categorization model entitled “Investment Products with Reference Issuers”. With securities from sources other than banks as the fixed-interest component, these products provide additional opportunities to increase yield and diversify debtors. Included in the new category are “reference issuer certificates with conditional capital protection”, “reference issuer certificates with yield enhancement” and “reference issuer certificates with participation”. The market expectation underlying each of the three product types conforms to that of the res­ pective category to which they refer. For instance, in the case of “reference issuer certificates with yield enhancement”, the market expectations of yield enhancement products apply in principle.

12 | What are structured products

Leverage products Leverage products allow shortterm speculation or hedging. Best-known among them are put and call warrants with a fixed lifetime, and mini-futures and knock-outs, which expire early once a barrier has been reached (stop-loss, knockout). Leverage products follow the underly­ ing’s price movements with a leverage mechanism. Whereas the expected volatility of warrants has a significant impact on price, this is not the case with mini-futures at all and only to a minimal extent with knock-out products. As of autumn 2012, the range of leverage products has been expanded to include the new Constant Leverage certificate product type. These products, which are also referred to as factor certificates or index certificates, are equipped with a constant leverage (factor) and grant the holder disproportionally high participation in movements in the underlying assets. Unlike knock-out warrants or mini-futures, these products do not have a knock-out. The constant leverage certificates are also largely volatility-neutral and are not subject to any loss of time value. Investments in leverage products require consistent monitoring, with maximum loss limited to the invested capital. Unlike other forward transactions, there is no obligation for supplementary payment.

Market acceptance Association-defined product types are listed on the easy-to-understand Swiss Derivative Map. Produced in cooperation with Payoff.ch (Derivative Partners), the financial newspaper “Finanz und Wirtschaft” and the Scoach Derivatives Exchange, it is available free of charge in folder or poster form.

Available from You may download the Swiss Derivative Map in poster and folder form at www.sspaassociation.ch/derivativemap or order a poster or folder of the Map free of charge at www.sspa-association.ch

The Swiss Derivative Map enjoys wide acceptance in the marketplace. Many investors consider it an indispensable aid. Most issuers note SSPA classifications on their termsheets. Eusipa, the European Structured Products Investment Association, has based its Europewide, uniform classification on the Swiss Derivative Map’s categorization system. As a result, the categorization system developed by the SSPA has become the standard valid throughout Europe.

What are structured products | 13

Structured products: four key advantages Four key advantages distinguish structured products. Unlike other asset categories, all market opinions and risk profiles can be represented, investments in every asset category are possible, and thanks to guaranteed liquidity, the products may be traded at any time. 1. Every market view… Unlike traditional investment classes, structured products allow reproduction of all market views. Yields from direct investments in shares or funds depend on upward-mov­ ing prices while structured products can generate returns when price development is neutral, even declining – provided, of course, the underlying’s future development is estimated correctly, as is the case with any other financial product investment. 2. Every risk profile… Deployed correctly, structured products can satisfy any risk profile. Speculation-oriented investors may choose from a wide range of leverage products, yield-oriented investors prefer yield enhancement and participation products. Conservative investors are best served with capital protection products.

14 | What are structured products

3. Every investment class… Structured products open the door to investments in underlying assets not previously accessible to most investors. Examples are exotic stock markets such as BRIC or Eastern Europe, fixed-income investments such as bond indexes, commodities ranging from aluminum to zinc, real estate indices or baskets, alternative investment classes (hedge funds) and new ones such as the weather. Investments in traditional stock markets are another option. In short, structured products provide optimum diversification opportunities. 4. A high degree of liquidity… Real-time prices, usually available at all times, assure structured products’ high degree of liquidity. They have a proven liquidity advantage over other investment categories, some of which, in turbulent markets in particular, may trade to only a limited extent or not at all.

Risks Like all financial products, structured products entail certain risks. The first rule in estimating a structured product’s future performance is to have an understanding of the underlying’s likely future development. Successful investing in structured products also presupposes a degree of understanding of market mechanisms and some basic financial know-how. In addition, structured products should be a good portfolio fit, for instance, to prevent a concentration on a given underlying asset. Another golden rule is to diversify. To make your investments more secure we recommend using several issuers rather than a single bank. Should an issuer default, the loss is limited to that one issuer. Issuer creditworthiness is vital. Structured products are debt obligations for which the issuer is liable to the extent of all his assets (not just special assets, as is the case with funds). This makes the security of a structured product dependent on the debtor’s, or issuer’s, creditworthiness. As a rule, bankruptcy claims against issuing banks arising from structured products do not enjoy privileged status. Investors are 3rd category creditors, as are holders of loans or bonds.

On the SSPA website, www.sspa-association.ch/creditworthiness, are published its members’ credit ratings, credit spreads and core capital ratios (tier 1 ratings). They are those of structured product issuers or, in the case of guarantees or other securities, of the providers of such securities. This informa­ tion and a structured product’s termsheet readily tells investors who is liable and to what extent. Credit ratings Credit ratings are those of the guarantor, usually a concern’s parent company. Explanations of credit ratings by Moody’s, S&P and Fitch are listed separately. The rating agencies have not assessed every issuer. Credit spreads Credit spreads help investors get an idea of an issuer’s or guarantor’s creditworthiness. The website information refers to corporate bonds of a one-year or five-year duration. The base points listed represent the investor’s hypothetical insurance premium for coverage against default of the issuer’s structured products. An even more precise means of measuring an issuer’s creditworthiness are credit spreads, with a small spread indicating high creditworthiness.

What are structured products | 15

Core capital ratio (tier 1 rating) A tier 1 core capital ratio (according to Basel II) is the ratio of core capital to risk-weighted assets. Core capital consists of share capital, disclosed reserves and profit carried forward. Basel II equity requirements call for at least a 4% tier 1 rating.

16 | What are structured products

Issuer creditworthiness – important aspect with structured products Credit spreads provide an accurate picture of an issuer’s creditworthiness. The SSPA updates the credit spreads of its members on

a weekly basis. For more information regarding issuer creditworthiness, credit ratings, credit spreads, and core capital ratio see: www.sspa-association.ch/creditworthiness.

Issuer creditworthness of SSPA members Data as of March 18. 2014 Issuer (issue vehicle)

Domicile

Relationship to rated company

Security category

Provider of security

Bank Julius Bär & Co. Ltd.

Zürich

same legal entity

-

none

Bank Julius Bär & Co. Ltd. Guernsey Branch

Guernsey

branch, same legal entity -

none

Bank Vontobel AG

Zürich

same legal entity

-

Vontobel Financial Products Ltd.

Dubai

subsidiary

Banque Cantonale Vaudoise

Lausanne

same legal entity

Banque Cantonale Vaudoise, Guernsey Branch Barclays Bank PLC Commerzbank

Fitch

1 year

∆11.03

5 year

∆11.03

n/a

n/a

n/a

n/a

n/a

n/a

none

Bank Vontobel AG

A1

A+

n/a

n/a

n/a

n/a

n/a

guarantee

Vontobel Holding AG, Zurich

Vontobel Holding AG

A2

A

n/a

n/a

n/a

n/a

n/a

-

none

n/a

AA

n/a

n/a

n/a

n/a

n/a

Guernsey

branch, same legal entity -

none

Banque Cantonale Vaudoise

London

same legal entity

-

none

Barclays Bank PLC

Frankfurt

same legal entity

-

none

Commerzbank

Credit Suisse Guernsey Branch

Guernsey

branch, same legal entity -

none

Credit Suisse London Branch

London

branch, same legal entity -

none

Credit Suisse Nassau Branch

Nassau

branch, same legal entity -

none

London

same legal entity

-

none

Deutsche Bank AG

Frankfurt

same legal entity

-

none

Deutsche Bank AG, London Branch

London

branch, same legal entity -

none

Deutsche Bank AG, Zuerich Branch

Zürich

branch, same legal entity -

none

Leonteq Securities AG

Zürich

n/a

none

-

Leonteq Securities AG Guernsey Branch

Guernsey

n/a

-

none

-

EFG International Finance (Guernsey) Ltd.

Guernsey

subsidiary

guarantee

EFG International AG

EFG International AG

Goldman Sachs International

London

subsidiary

guarantee

Frankfurt

subsidiary

guarantee

of SSPA Zürich memberssubsidiary

guarantee

-

Merrill International Data asLynch of March 18. 2014& Co. Netherlands Antilles Issuer (issue vehicle) Merrill Lynch SA

Curaçao

Domicile Relationship to Luxembourg subsidiary rated company

Security category guarantee

Morgan Stanley & Co. Inc.

Wilmington

same legal entity

-

Morgan Stanley & Co. International Plc.

London

subsidiary

-

Morgan Stanley B.V.

Amsterdam

subsidiary

guarantee

Notenstein Privatbank AG

St. Gallen

subsidiary

guarantee

Sal. Oppenheim jr. & Cie. KGaA

Köln

same legal entity

SGA Société Générale Acceptance N.V.

Curaçao

subsidiary

Frankfurt

subsidiary

Company awarded rating Société Générale Effekten GmbH

subsidiary

guarantee

guarantee

Moody's

subsidiary

Zürich

same legal entity

UBS AG, Jersey Branch

Jersey

branch, same legal entity -

Morgan Stanley & Co. Inc.

A2

& Co. Inc., - Zürcher Kantonalbank aware Zürcher Kantonalbank Finance (Guernsey) Ltd eiz Raiffeisen Schweiz , St. Gallen Genossenschaft curity Company awarded rating Sal. Oppenheim jr. & Cie.4) Key: Issuer (issue vehicle) Domicile Relationship to rated company

of Canada

albank,

Provider of security Security category Company awarded rating Credit rating Credit spread

n/a 1) 2) 3) 4)

-

A

Bank of America Corporation Company awarded rating

Sal. Oppenheim jr. & Cie.4) Société Générale

The Royal Bank of Canada

The Royal Bank of Canada

Fitch

1 year

Anone

37.00

A1

A

A

11.17

-0.13

70.50

-0.17

Aa1

A+

A

n/a

n/a

n/a

n/a

A2

A

A+

17.56

-0.57

82.50

-1.42

n/a

n/a

n/a

n/a

n/a

n/a

n/a

A3

n/a

A

n/a

n/a

n/a

n/a

Baa1

A-

A

38.41

2.76

98.50

8.03

A1

A

A+

25.35

0.08

113.00

0.48

Baa2

A-

A

27.14

1.64

69.00

Fitch

1 year

∆11.03

5 year

∆11.03 3.00

Credit rating

Moody's A2

Credit spread

∆11.03

93.50

n/a

n/a

none

A

A

37.00

1.00

93.50

A+

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

Aa3

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

AA-

n/a

n/a

n/a

n/a

A2

A

A

21.41

0.35

95.50

2.83

n/a

n/a

n/a

n/a

A

11.53

-2.47

65.50

0.84

A+

42.24

1.59

145.00

5.00

n/a

n/a

n/a

n/a

∆11.03 AAAA A

n/a A3

A-

Aaa

AAA

n/a AAA

n/a

n/a

n/a

Credit spread n/a n/a

n/a

Aa3

n/a

n/a

n/a

n/a

Creditn/arating

Moody's

S&P

AA-

Fitch

n/a

1 year

∆11.03

5 year

∆11.03

A2 A1

A n/a

A n/a

21.41 n/a

0.35 n/a

95.50 n/a

2.83 n/a

A1 Aa3

A+ AA-

n/a AA

n/a

n/a

n/a n/a

n/a n/a

n/a

n/a

Issuers

Please note that issuers’ credit ratings and spreads are only one of several criteria influencing the choice of a structured product. The information below should not be considered investment advice, nor does it constitute an offer or recommendation to buy or sell a product or take the place of a person-to-person consultation. Rather than investing in a single product, we recommend diversification. This prevents a single product in an investment portfolio from gaining too much weight, and in cases of default having too great an effect on the portfolio’s overall value.

A2

A

n/a

n/a

n/a

n/a

3.00

n/a

Important:

2.50

n/a

n/a

Zürcher Kantonalbank3)

Credit spread

A2

A2

UniCredit Bank AG

n/a

Zürcher Kantonalbank, Zurich

S&P

n/a

5 year Aa3

1.00

Sources:

Vontobel Holding AG

1.83 3.00

UBS AG

n/a

Issuer of a structured product. Issuer’s (issue vehicle's) legal domicile. Nature of legal relationship to the parent company. Listed only if the issuer or issue vehicle is other than the parent company. - Branch: Legally the same as the parent company. - Subsidiary: Independent legal entity (in which the parent company has a majority stake) in the country/judicial district concerned. The security provider covers any claim to the extent of the declared sum. The declaration of security lists security category and extent of liability. Company to which the credit rating and spread were given. Credit ratings concern the provider of security, usually the parent company. Exceptions are listed below. See separate document for explanations of Moody’s, S&P’s and Fitch’s credit ratings. Credit spread refers to the difference between the risk-free interest rate and the market rate a debtor is obliged to pay. There are one- and five-year spread durations (wcds: world credit default swap pricing matrix). Credit spreads concern the provider of security, usually the parent company. Exceptions are listed below. Support agreements, sometimes referred to as keep-well agreements, are not direct guarantees. Support providers promise to support issuers by, for instance, readying funds for redemption or payouts should the issuer be in default. Investors may demand that issuers resort to the support provider concerned but may not put claims against the support agreement per se. not available Credit Suisse and Credit Suisse International are 100% subsidiaries of Credit Suisse Group AG. The credit spreads also refer to Credit Suisse Group AG. Zürcher Kantonalbank disposes of a government guarantee of the Canton of Zurich No credit spread exists because as an owner-managed private bank, Sal Oppenheim jr. & Cie. does not grant corporate refinancing loans.

Bank Vontobel The Royal BankAG of Canada

95.00 110.00

Macquarie Bank Limited

none

none n/a

-

keep-well agreement*

n/a

4.65 -1.13

1) 2)

Goldman Sachs Group, Inc.

Société Générale, Paris 1 / 2 Société Générale, Paris

n/a

-

subsidiary

26.38 18.80

Morgan Stanley & Co. Inc.

none

same legal entity

A A+

Morgan Stanley & Co. International none plc Morgan Stanley & Co. Inc., Wilmington, Delaware Raiffeisen Schweiz Raiffeisen Schweiz Genossenschaft, St. Gallen Genossenschaft

none n/a

Guernsey

A A-

Deutsche Bank AG

Goldman Sachs Group, Inc., Delaware Macquarie Bank Limited, London Branch Bank of America Corporation Bank of America Corporation Provider of security Bank of America Corporation

A+

Zürich

Bank Julius Bär & Co. Ltd. Société Générale *keep-well agreement

guarantee -

Morgan Stanley & Co. International UBS AG, London Branch London branch, same A2legal entity plcUniCredit Bank AG München same legal entity

g AG,

S&P

London

UBS AG

Credit Suisse International

none

Credit rating guarantee

A2 Baa1

Credit Suisse1) 2)

Credit Suisse International

The Royal Bank of Canada Capital Markets Ltd.

e,

Credit spread

S&P

A1

Issuer Merrill Lynchcreditworthness Capital Markets AG

e,

Credit rating

Moody's

Bank Julius Bär & Co. Ltd.

Macquarie Structured Products (Europe) GmbH

urity

Company awarded rating

Rating and credit spread information is provided by issuer. The SSPA and the issuers listed are in no way responsible for the completeness or accuracy of the information. No special verification procedures were performed.

UBS AG Banque Cantonale Vaudoise

A2 n/a

A AA

A n/a

Barclays Bank UniCredit BankPLC AG

A2 A3

A A-

Commerzbank Zürcher Kantonalbank3)

11.53 n/a

-2.47 n/a

65.50 n/a

0.84 n/a

A A+

26.38 42.24

4.65 1.59

95.00 145.00

1.83 5.00

2/2

Baa1

A-

A+

18.80

-1.13

110.00

3.00

Aaa

AAA

AAA

n/a

n/a

n/a

n/a

What are structured products | 17

Investing with structured products

Observe a few basic ground rules and a wealth of exciting investment opportunities awaits you. To invest in structured products success­fully, a firm opinion of an underlying asset’s likely market development is indispensable, as is a clear appreciation of one’s risk profile. It would be wise to only invest in products one understands, and finally – the golden rule of all investing – diversify.

1 H  ow do you expect the market to perform in general and as regards specific underlyings? Structured products allow investing in rising, falling or sideways-moving markets and markets with high or low volatility. 2 A  re you familiar with the underlying and its past performance? What do the experts say? What are the alternatives? 3 H  ow should the underlying develop to produce a profit? Refer to the termsheet for the main product characteristics. 4 D  o you know the market scenarios that would result in a loss? Depending on the product, outperforming or failing to reach certain barriers can produce vastly different outcomes. 5 D  o you know the product issuer and associated risk? Go to our website for more issuer information. The termsheet provides information on additional credit risks associated with reference issuer certificates. 6 Is the product within the limits of your risk profile? Choose from among · risk averse: mainly capital protection products · limited risk: yield enhancement and participation products · high risk: participation and leverage products 7 H  ave you absorbed all of a product’s relevant information? Read the termsheet closely, and seek the advice of an investment adviser as needed.

Your investment decision

18 | Investing with structured products

The structured road to the right product Before investing in a structured product the investor should be able to answer the questions on the left.

When do structured product investments make sense

Scenario I: Rising underlying The underlying breaches the strike price (exercise price) at the start of the term. The call warrant’s leverage effect produces a disproportionately high profit.

First example: Leverage product (Call Warrant, SSPA product type number 2100) If you assume a rise in the underlying and higher volatility, choose a leverage product, such as a call warrant. Suitable for short-term speculation or hedging, call warrants leverage price rises of underlying assets. Ongoing monitoring is advisable. Note the daily loss of time value, which increases with the approach of the expiry date. The risk of total loss is higher, but won’t exceed the amount of the initial investment.

Scenario II: Falling underlying If the underlying’s price is below the strike level at maturity, the option premium is lost.

Scenario I

200

outperformance

180

share price (underlying)

160

exercise price (strike)

140 120

call warrant

strike

100 80

Scenario II

120

strike

80 60

call warrant share price (underlying)

100 loss of option premium

exercise price (strike)

40 20 0

Investing with structured products | 19

Second example: Participation product (Bonus Certificate, SSPA product type number 1320) You assume a sideways-tending to slightly rising underlying. You want less risk than that associated with direct investment. A Bonus Certificate (participation product) that offers partial protection up to the barrier fits the bill. On reaching the barrier the Bonus Certifi­ cate becomes a Tracker Certificate. If the barrier is never breached repayment is at the bonus level or – if the underlying exceeds the bonus level – the equivalent of the underlying.

Scenario I: The underlying does not breach the barrier during the term and on maturity is below the bonus level. The result is payment at the bonus level, which exceeds the underlying. Scenario II: The underlying breaches the barrier during its term. The Bonus Certificate then becomes a Tracker Certificate and loses the bonus mechanism. The result is price movements identical to those of the underlying.

Scenario I

120 110

Comparison of a share Bonus Certificate with the underlying

bonus level

100 90

share price (underlying)

80

Bonus Certificate

70

barrier

barrier

bonus level

60 50

Scenario II

17

bonus level

Comparison of a share Bonus Certificate with the underlying

16 15 14

share price (underlying)

13 12 11

Bonus Certificate

barrier

barrier

10 9 8

20 | Investing with structured products

bonus level underlying breaching barrier

Third example: Yield enhancement product (Discount Certificate, SSPA product type number 1200) You proceed from the assumption of a sideways-tending or slightly rising underlying, and declining volatility. In this case a yield enhancement product, such as a Discount Certificate, would be appropriate. Should, on maturity, the price of the underlying be below the cap, you receive the underlying asset and/or a cash compensation. The cap limits profit potential. Discount Certificates provide a discount on the underlying asset. The risk of loss is less than that with a direct

investment. If the product is based on a number of underlyings (multiassets), discounts can rise but so can risk. Scenario I: On expiry the underlying is under the cap. Since the Discount Certificate cost less than the underlying, the return from the certificate is higher than that from a direct investment. Scenario II: At maturity the underlying exceeds the cap. Since there is no participation above the cap, the result is a return lower than that on the underlying asset.

Scenario I

48 cap

46 44 42 40 38

Comparison of a Discount Certificate on the Pharma Index with the underlying index (underlying)

discount

Discount Certificate

36

cap

34 32

Scenario II Comparison of a Discount Certificate on the Pharma Index with the underlying

85 80 75 70 65 60 55 50

cap discount

index (underlying) Discount Certificate cap

45

Investing with structured products | 21

Fourth example: Capital Protection (Certificate with Participation, SSPA product type number 1100) You assume a rising underlying but can’t rule out large price drops, and you want redemption on expiry of no less than the invested capital. In this case a Capital Protection Certificate is the answer. You participate to a predefined extent in a rising underlying. Repayment is no less than the amount of capital protection. On the other hand you forego the certainty of the interest payments on money market investments. During the term of a Capital Protection Certificate, its

value may drop below that of the guaranteed repayment amount, i.e. its capital protection applies on expiry and on the nominal value. Scenario I: On expiry the price of the underlying is up; the certificate participates in the underlying’s positive returns to a considerable extent. Scenario II: On expiry the underlying is in minus territory. Thanks to capital protection the product nevertheless does not decline below of the nominal value.

Scenario I Comparison of Capital Protection Certificate with Participation with the underlying

150 140 130 120 110

capital protection level

100 90

index (underlying) Capital Protection Certificate capital protection level

Scenario II Comparison of Capital Protection Certificate with Participation with the underlying

110 105 100 95 90

capital protection level

index (underlying)

85

Capital Protection Certificate

80

capital protection level

22 | Investing with structured products

COSI – collateral secured instruments Since 2009 it has also been possible to use Collateral Secured Instruments (COSI) to protect against issuer risk, and this innovative service has proven itself a suitable response to changing investor needs. The COSI process, which has won awards at both the national and international levels, ensures that the investor’s outstanding claims against the issuer of the structured products are suitably secured at all times This further expands the market, offering investors additional investment opportunities with the best possible protection against issuer risk. Since the start of 2012, COSI products have gradually become available for foreign issuers, another milestone for the internationalization of this service.

Collateralization through deposits of liquid securities Legally, structured products are bonds or debt obligations payable by the issuer; this is why the investor bears the risk of issuer default. The new collateral system helps limit the effects of a default. Issuers deposit liquid securities with SIX SIS, a sister company of the Swiss Exchange. Collateralization protects investors against issuer default without affecting investors’ market risk. Collaterali­ zation is available only for structured products listed on the SIX Swiss Exchange and traded on the Scoach derivatives exchange. Depending on price movements, issuers must supplement the collateral as needed. Should an issuer declare bankruptcy, the deposited assets serve the investor as collateral.

How COSI works purchase/sale COSI product

Scoach

market making

Daily assessment of securities and certificates at fair market prices

Investor

Issuer

SIX Swiss Exchange

SIX SIS

safekeeping of security

Security

realization of pledged assets

in favor of the investor should specific events come to pass

Investing with structured products | 23

Risk figure The SSPA Risk Figure estimates the market risk of a structured product using the Value at Risk (VaR) method. To facilitate ranking, structured products are put in six risk classes, with Class 6 representing maximum, and Class 1 minimum risk. Risk Figures are recalculated and published daily. Value at Risk – VaR Value at Risk (VaR) is the finance industry’s most widespread method for estimating market risk. The VaR figure answers the question “If I lose, how much could it be?”. Example: The VaR states that with 99% probability any loss on a given investment during a 10-day holding period will not exceed a specific amount. VaR calculations infer potential loss and its probability by systematic examination of a pro­ duct’s or portfolio’s risks factor fluctuations resulting from, among other things, volatility, changes in interest rates and the price of the underlying.

24 | Investing with structured products

VaR calculations are expressed as a figure, usually a percentage, which can then be applied to the value of the investment. For instance, a 13% VaR for a structured product tells us that on a CHF 10,000 investment, any loss should not exceed CHF 1,300 under the given scenario. As a rule a VaR figure is issued in conjunction with a product’s holding period and confidence interval. The holding period states the time frame during which the VaR applies. A ten-day holding period means the product is still being held in ten days’ time. The confidence interval indicates the significance of the VaR. For instance, a 99% confidence interval means the VaR is accurate 99 times out of a hundred. SSPA has introduced the VaR risk figure to increase the transparency of structured products listed in Switzerland. A 250-day time window was chosen as the standard time period. The standard holding period was set at ten days and the standard confidence interval at 99%. The same parameters are used internationally to calculate VaRs.

To facilitate VaR classification, structured products listed in Switzerland are allocated to one of six risk classes, depending on their VaR figure.

Risk class allocations are reviewed weekly and adjusted as needed to ensure that a product’s relative market risk is always readily discernible. This takes into account that the market risks of structured products can change over time.

The six SSPA risk classes Risk Class

1

2

Risk Perception

Comparable to

low

Money Market, Deposits

moderate Bonds



3

medium

Mixed Portfolio Bonds / Shares



4

increased

Blue Chips



5

high

Small / Mid Caps, Emerging Markets



6

very high

Options, Futures

Investing with structured products | 25

The graph below shows changes in the risk class of an actual Bonus Certificate over four months, from the relatively high Class 4 to the lowest Class, 1. Our example illustrates the value of ongoing risk preference monitoring.

Risk Figures are recalculated daily after the stock exchange closes and published on the following day before the exchange opens. Risk Figures and SSPA Risk Ratings are available on the SSPA website, www.sspa-association.ch/riskrating.

130

Bonus Certificate price (indexed) underlying price (indexed)

120

100

Se

9 00 O kct 2

09 p

20

09 20 Au g

20 Ju l

20 Ju n

09

90

09

Kurs (indexiert) Price (indexed)

110

100 90 6

80 70 60

4

40 3

20

1 2

10

26 | Investing with structured products

9 00 O kct 2

09 20 p Se

09 20 g Au

l2

00

9

0

Ju

Ju

n

20

09

Risikoklasse Risk class

30

Value at Risk - VaR

5

50

change in risk during observation period

SSPA Risk Figure Finder Both the VaR Risk Figure and the Risk Rating of 85% of all structured products listed on the Scoach Switzerland derivatives exchange are listed in the Risk Figure finder on the SSPA website, www.sspa-association.ch/riskrating. You simply enter the symbol, the ISIN or product number, or search for SSPA product type, issuer, risk class or underlying (for multiassets, also by individual underlyings) in the drop-down menus.

Frequent misunderstandings Structured products and derivatives are an ongoing subject of discussion. Erroneous assumptions, prejudices and incomplete knowledge abound. The SSPA would like to address the most frequently heard misapprehensions. Comprehensibility Reservations, ranging from “The products are impossible to understand”, to “There’s a veritable jumble of product names; each issuer calls his product by a different name” or “You have to be a rocket scientist to understand the termsheet”, imply that it takes a professional investor to understand structured products. Nothing could be further from the truth but, as with any kind of investment, some rules should be followed.

There’s no way past it: Either the investor or his adviser must acquire a degree of basic knowledge. Often the initial effort required is overestimated. Issuers have published vast amounts of literature and brochures that help investors to quickly gain a basic overview. In addition, various providers and issuers offer structured product training. The SSPA too, through its knowledge initiative provides valuable information. A comprehensive structured products overview is available on the SSPA website, www.sspa-association.ch/ knowledge. We cannot overstate the importance of carefully examining a product’s termsheet. Regulations issued by Switzerland’s Financial Market Supervisory Authority stipulate that termsheets must state clearly and transparently how a product is to be repaid. Most products are easy to understand using their termsheets. Understanding the termsheet is a prerequisite of informed structured product investment. The Swiss Derivative Map contains additional information and a summary of all product types. Dangerous promises and betting Judging from utterances such as “The often high coupons fail to disclose true risk and can lead to disappointment”, “Capital protection products can be subject to massive price fluctuations; there’s no such thing as capital protection” and “You bet against the bank and the bank always wins”, you’d think you were in a casino. Nothing could be further from the truth.

Investing with structured products | 27

The prejudice persists that buying structured products is a bet against the issuing bank. This is plainly wrong. Because the bank has already hedged against price fluctuations, how a structured product develops matters less to the bank. The buyer of a structured product making a profit doesn’t imply a loss to the bank. In fact, what motivates the bank is to have satisfied, repeat customers. However, because a structured product’s risk profile may change during the holding period, ongoing monitoring of product and underlying prices is vital.

Fees and commissions “Hidden charges abound”, “Fees are unknown and unspecified”, “There are always reinvestment fees due to the limited holding times”, “Products are too expensive”. As is the case with all financial products, the more exotic, the higher the fees and commissions (innovation premium); the more common a product, the lower the costs (competitive pressure). Issuers want to be compensated for the cost of marketing and sales, product creation (concept, structuring) and hedging, none of which will be known until the end of a product’s lifetime. Fair market prices are ensured by the intense competition among issuers. In addition, the SIX Swiss Exchange continuously validates the prices of all listed products by actively monitoring the secondary market and intervenes in the event of mistrades. Various online tools and meta tools for the creation of products also promote competition while making it easier to compare what is on offer. Greater competition helps rein in costs. Surveys show that average structured product costs are less than those of actively administered investment funds.

28 | Investing with structured products

The ideal material for ordinary pencils.

Perfect for making sparkling diamonds.

Discover Discover the the potential. potential.

Investor checklist Before investing in structured products, investors should have the answers to these questions: H  ow do you expect the market to perform in general and as regards specific underlyings? A  re you familiar with the underlying and its past performance? How  should the underlying develop to produce a profit? D  o you know the market scenarios that would result in a loss? D  o you know the product issuer and associated risk? Is the product within the limits of your risk profile? H  ave you absorbed all of the product’s relevant information?

30 | Investing with structured products

The Association Portrait and goals Established April 4, 2006, the Swiss Structured Products Association represents and maintains the shared interests of Swiss issuers of structured products without engaging in any commercial activity itself. The active members of SSPA account together for 95% of Switzerland’s structured products market. Legal and natural persons who support the SSPA’s goals may apply for passive membership. Switzerland is the world’s principal structured products market. The share of structured products in assets with Swiss banks is now approx. CHF 190 billion. Supply and demand of structured products have grown significantly in recent years, which has led to the appearance of many new products. The Swiss market is known for high innovation and a considerable trading volume. The lat­ est market statistics are available from the monthly SSPA market report published on the SSPA website, www.sspa-association.ch/marketreports

One of the SSPA’s goals is to help create a favorable long-term climate for structured products in the Swiss financial center. To ensure its continued influence, the SSPA strives to be the market’s initial and fair point of contact. Bodies The Association has three bodies, the Delegate Meeting, the Committee and the Business Office. Each active SSPA member nominates two delegates. Delegates meet annually at ordinary Delegate Meetings and elect the members of the SSPA Committee, with each active SSPA member having one vote. Passive members may attend Delegate Meetings but have no vote.

The Association | 31

SSPA Membership

32 | The Association

Switzerland’s leading issuers are active SSPA members. Passive membership is open to legal entities and private individuals who support the Association’s objectives.

SSPA Committee

The five members of the Committee are elected from the ranks of active members to a two-year term of office.

Daniel Sandmeier President Head Marketing & Distribution Structured Products Credit Suisse

Patrick Grob Member of the Committee European Head of Structured Equity Derivatives Sales Managing Director UBS AG

Georg von Wattenwyl Vice president Global Head of Advisory & Distribution Financial Products Vontobel Investment Banking Bank Vontobel AG

Jan Schoch Member of the Committee CEO and Founder Leonteq Securities AG

Philipp Rickenbacher Member of the Committee Head Structured Products Julius Baer & Co. AG

The Association | 33

Business Office

34 | The Association

The Committee recruits the Business Office staff to handle day-to-day affairs. Part-time sector heads are in charge of the Office’s three activity sectors.

Jürg Stähelin Executive Director [email protected]

Enrico Friz Director Legal & Regulation [email protected]

Vanessa Winter Office Management [email protected]

Peter Keller Director Operations & Standards [email protected]

Accomplishments of the SSPA · Widely accepted initial contact regarding structured products in Switzerland · Generally applicable product classification; Swiss Derivative Map · Creation and establishment of the Structured Products Fair, which is taking place for the sixth time in 2012 · Establishment of the European umbrella organization EUSIPA · Definition of industry-wide standards · Weekly publication of updated Association member credit ratings and credit spreads · Introduction of a risk classification · Helped inspire COSI collateral-secured investments · The SSPA Knowledge Initiative · Publication of widely accepted reference work “The World of Structured Products” (in German) · Introductory brochure “Investing Successfully in Structured Products” · The Online Knowledge Test · Launching the “Discover the potential” communications offensive in order to increase awareness of the untapped potential of structured products

The SSPA Knowledge Initiative Since its beginnings, the SSPA’s objective has been promoting the knowledge and awareness of structured products among investors and the general public. Its Knowledge Initiative provides wide-ranging background information including this introductory brochure, as well as a definitive work entitled “The World of Structured Products”. An Online Knowledge Test with feedback has been introduced to help investors check the state of their expertise. Additional measures are in the pipeline and will be available soon. And because it takes an informed investor to be a happy investor, the SSPA puts its maximum effort into the provision of structured products information in the most transparent way possible.

Information on the SSPA’s Knowledge Initiative is available at www.sspa-association.ch/knowledge

The Association | 35

Communications offensive: “Discover the potential” Structured products have proven their worth as innovative and flexible investment instruments. Even so, investors have yet to recognize or take advantage of the full potential of structured products. The Association intends to raise awareness of the potential and advantages of structured products by means of a communications offensive, using selected examples to provide a straightforward demonstration of how to take advantage of the potential offered by structured products. The objective is to spur investors to take a closer look at structured products, make greater use of the wealth of information and explanatory materials provided by issuers and the Association and/or consult with their bankers in order to discuss the optimum deployment of these innovative investment products.

36 | The Association

Structured products and the Swiss financial center Regulation Structured products are extensively regulated in Switzerland. They require a Swiss bank, insurance company, securities trader, or a similarly regulated foreign institute to issue, guarantee and sell them.

Significance for the financial center Switzerland has become a sales center of nontraditional investments such as hedge funds, private equity and commodities, which are generated largely in financial centers such as London and New York. On the other hand, structured products, whose sale and development take place mainly in Switzerland, are an important innovative force for the Swiss financial center.

The importance of structured products in the Swiss financial center Great potential

Structured products are a relatively young investment class whose growth in recent years is likely to continue

Innovative force

Structured products drive asset management innovation and boost the attractiveness of the Swiss financial center at the same time

Know-how a must

Structured products create high-quality jobs in Switzerland

The Swiss capital market

Structured products create liquidity in the Swiss capital market (own resources and external funds for Swiss companies)

The Association | 37

I‘m a novice

I‘m experienced

Test your knowledge of structured products! With the online knowledge test you can check how much you really know about structured products and get feedback on your current level of knowledge. At the same time, you can also broaden your general understanding of these important investment products. www.svsp-verband.ch

Disclaimer: The accuracy of the information contained in this brochure, including information obtained from third parties, is without warranty, either express or implied. While the SSPA has taken every reasonable precaution to ensure the information’s reliability, it cannot guarantee that the information and details contained in this brochure are complete, accurate or up to date. The aforementioned information shall not be construed as investment advice nor shall it be considered an offer or recommendation to buy or sell a specific security.

SSPA – Swiss Structured Products Association Rämistrasse 4 | P. O. Box | CH-8024 Zurich E-Mail: [email protected] | Web: www.sspa-association.ch © SSPA, March 2014 | 6th edition