Your Market Expectations

You anticipate a moderate increase or sideways trend in the development of the Underlying until the Final Fixing Date. You wish to achieve disproportional returns on positive performance of the Underlying over the lifetime of the product up to a certain Cap Level.

Our Proposal

By investing in a Capped Outperformance Certificate, you enjoy disproportionate participation in the Underlying positive performance. The product’s downside risk is similar to that of a direct investment in the Underlying.

Description

A Capped Outperformance Certificate offers the Investor disproportionate participation in the positive performance of the Underlying above the Initial Fixing Level. If the Underlying closes above the Initial Fixing Level at the Final Fixing Date the Investor receives a Cash Settlement per Product which equals the Initial Fixing Level plus the Participation Factor multiplied by the difference between the Final Fixing Level and the Initial Fixing Level. The Cash Settlement received at Redemption is capped at the Initial Fixing Level plus the Participation Factor multiplied by the difference between the Cap Level and the Initial Fixing Level (Maximum Redemption Amount). If the Underlying closes below the Initial Fixing Level the Investor will receive a predefined number (i.e. Conversion Ratio) of the Underlying per Product.

Component 1

The Investor buys a zero-strike Call on the Underlying. 

Component 2

The Investor buys an additional fraction of an at-the-money Call on the Underlying, enabling the disproportionate participation in the Underlying positive performance over its Initial Fixing Level up to the Cap Level. The amount of at-the-money Calls bought affects the level of Outperformance (Participation Factor) of the product.

Component 3

The Investor sells a Call on the Underlying, with its Strike at the Cap Level of the Capped Outperformance Certificate. The premium received is invested to finance component 2 (at-the-money Call)

Redemption Scenario 1

If the Final Fixing Level is at or above the Cap Level, the Investor will receive the Maximum Redemption Amount.

Redemption Scenario 2

If the Final Fixing Level is at or above the Initial Fixing Level and below the Cap Level, the Investor will receive a Cash Settlement in the Settlement Currency which equals the Initial Fixing Level plus the Participation Factor multiplied by the difference between the Final Fixing Level and the Initial Fixing Level.

Redemption Scenario 3

If the Final Fixing Level is below the Initial Fixing Level, the Investor will receive a predefined number (i.e. Conversion Ratio) of the Underlying per Product.

Opportunities and Risks of Capped Outperformance Certificates

Opportunities

• Disproportionate participation in positive performance of the Underlying

• During the lifetime of the Certificate the following factors can influence the Certificate’s value positively: An increase of the Underlying’s stock price, a decrease in interest rates and dividend estimates, and an increase of the Underlying’s volatility.

• Liquid Secondary Market on SWX Swiss Exchange.

Risks

• The downside risk is similar to a direct investment in the Underlying

• No dividends are received as they are invested to finance to strategy

• During the lifetime of the Certificate the value of the Certificate on the secondary market can underperform the performance of the Underlying.

Example product: