Your Market Expectations

You anticipate a moderate increase or sideways trend of the respective Underlying until the end of the Product’s term and do not expect the Underlying to drop below the Barrier Level throughout the lifetime of the Product. You wish to achieve attractive yields in the form of a Bonus payment by investing in a structured product, whilst also enjoying protection against price losses to a certain Barrier Level.

Our Proposal

By investing in a Capped Bonus Certificate, you can enjoy a Bonus payment which is significantly above the risk-free interest rate, whilst also being protected against price losses down to the Barrier Level.

Description

A Capped Bonus Certificate pays the Investor the Denomination multiplied by the Bonus Level (in %) at the Final Fixing Date unless the Barrier Level has been touched or surpassed during the lifetime of the Product. Otherwise the Investor will receive a Cash Settlement in the Settlement Currency which equals the Denomination multiplied with the minimum of either the Bonus Level (in %) or the Final Fixing Level divided by the Initial Fixing Level.

Component 1

The Investor buys a bond. This component increases in value if interest rates fall, and decreases in value if interest rates rise.

Component 2

The Investor sells a Down-and-In Put-Option on the Underlying. If the Underlying does not touch the Barrier Level, the option expires worthless. The value of the Down-and-In Put-Option increases as the fluctuations of the Underlying (volatility) increases.

The strike of the Put-Option is set at the Barrier Level (in %), whilst the barrier is a predefined percentage of the Initial Fixing Level which lies below it. If the official close of the Underlying is above the Strike of the Put-Option on the Final Fixing Date, the Put-Option will expire worthless, if the option ever existed due to a Barrier Event. If the Final Fixing Level is below the Initial Fixing Level the Investor will owe the Issuer for this Product component an amount equal to the negative performance between the Initial Fixing Date and the Final Fixing Date multiplied with the Denomination. This amount never exceeds the value of the bond (Component 1) and is offset by its value.

Opportunities and Risks of Capped Bonus Certificate

Opportunities

• An attractive yield opportunity in sideways-trending or moderately falling price of the Underlying. 
• Limited capital protection, until the Barrier Level. As long as the Barrier Level is not touched or broken, the Investor will receive the Bonus Level (in %) multiplied with the Denomination paid out in cash. 
• Liquid secondary market on the SWX Swiss Exchange.

Risks

• If the Underlying touches or surpasses the Barrier Level at some point during the product’s term, the certificate’s potential risk of loss is equal to that of a direct investment in the Underlying. 
• The volatility of the Product can be higher than the one of the Underlying. 
• The maximum yield is limited to the Bonus (Bonus Level (in %) – 100%). 
• The Investor surrenders income such as dividends in favor of the strategy.