Product Know-How Leveraged Certificates Best of Mini Futures
Newsflash
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Best-Of Mini Fututes on Swiss and European Blue Ships
Market Expectation
You are short term bullish on both Underlyings. You expect at least one of the Underlyings to close above the Breakeven Level. Further, you do not expect the Underlyings to trade at or below the Stop Loss Level.
Investor Rationale
• The Certificate offers a leveraged and uncapped participation in the performance of the best performing Underlying
• If the performance of one of the Underlyings is positive, the performance of the Certificate is also positive, irrespective of the performance of the second Underlying, as long as this trades above the Stop Loss Level.
Stop Loss Event
A Stop Loss Event occurs if at least one Underlying trades at or below the Stop Loss Level during the lifetime of the product (continuous observation).
Redemption
If a Stop Loss Event has occurred:
The product will be automatically redeemed and the investor will receive an observed price of the best performing Underlying (“Liquidation Price”) on that day less the Strike Level, multiplied by the Conversion Ratio, however the redemption is floored at zero: Conversion Ratio x MAX(0; Liquidation Price of the best performing Underlying - Strike Level)
If a Stop Loss Event has not occurred:
The investor will receive at the redemption date the final fixing of the best performing Underlying less the Strike Level, multiplied by the Conversion Ratio: Conversion Ratio x (Final fixing of the best performing Underlying - Strike Level)
KEY TERMS
| Underlying | Swiss and European Blue Chips |
| Currency | CHF/ EUR |
| Maturity | 3 Months |
| Strike Level | 50% of Initial Fixing |
| Stop Loss Level | 70% of Initial Fixing |
| Denomination | 100 CHF / 100 EUR |
| Conversation Ratio | Denomination divided by the intial fixing of the best performing underlying. |
Sample Payoff Calculation
| NESN VX | |
| Initial Fixing | 44.86 CHF |
| Stoploss level | 30.86 CHF (=70% of Initial Fixing) |
| Strike level | 22.04 CHF (=50% of Initial Fixing) |
| Conversion Ratio | 2.27 (=100 CHF / Initial Fixing) |
| NOVN VX | |
| Initial Fixing | 51.30 CHF |
| Stop Loss Level | 35.91 CHF (=70% of Initial Fixing) |
Strike Level: | 25.65 CHF (=50% of Initial Fixing) |
Conversion Ratio | 1.95 (=100 CHF / Initial Fixing) |
| A | At least one of the Underlyings traded at or below the Stop Loss Level during the lifetime of the product. The Certificate is redeemed immediately. Best performing Underlying: NESN VX Liquidation Price of NESN VX: 52.90 CHF (= 120% of Initial Fixing) Redemption: Conversion Ratio x MAX(0; Unwind Liquidation Price of NESN – Strike Level of NESN) = 2.27 x (52.90 CHF – 22.04 CHF) = 70.00 CHF |
| B | At least one of the Underlyings traded at or below the Stop Loss Level during the lifetime of the product. The Certificate is redeemed immediately. Best performing Underlying: NOVN VX Liquidation Price of NOVN VX: 43.61 CHF (= 85% of Initial Fixing) Redemption: Conversion Ratio x MAX(0; Unwind Liquidation Price of NOVN – Strike Level of NOVN) = 1.95 x (43.61 CHF – 25.65 CHF) = 35.00 CHF |
| C | None of the Underlyings traded at or below their Stop Loss Level during the lifetime of the product. Best performing Underlying: NESN VX Final fixing of NESN VX: 57.30 CHF (=130% of Initial Fixing) Redemption at Maturity: Conversion Ratio x (final fixing of NESN – Strike Level of NESN) = 2.27 x (57.30 CHF - 22.04 CHF) = 80.00 CHF |
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