Your Market Expectations

You anticipate a moderate increase or sideways trend of the respective Underlying until the end of the Product’s lifetime. However, you do not want to rule out the possibility that individual shares will fall significantly. You wish to achieve attractive yields in the form of coupon payments by investing in a Structured Product.

Our Proposal

The Multi Chance Barrier Reverse Convertible pays the Investor a guaranteed Coupon Amount which is significantly above the risk-free rate. You are protected against falling prices of the Underlying providing no more than two Underlying touch or surpass their respective Barrier Levels during the Barrier Observation Period.

Description

The Multi Chance Barrier Reverse Convertible pays the Investor a guaranteed Coupon Amount on the respective Coupon Payment Dates regardless of the performance of the Underlying during the Product’s lifetime. Multi Chance Barrier Reverse Convertibles contain a conditional capital protection feature. In contrast to a Worst of Barrier Reverse Convertible a Barrier Event occurs only if three or more Underlying touch their respective Barrier Levels independently of each other during the Barrier Observation Period. If no Barrier Event occurs or if all Underlying close above their Initial Fixing Levels at the Final Fixing Date, the Investor receives the Denomination. In case a Barrier Event has occurred and at least one Underlying closes below its Initial Fixing Level, the Investor receives on the Redemption Date a predefined number of the Underlying with the Worst Performance, according to the given Conversion Ratio.

Redemption Scenario 1

If two or less of the Underlying have touched or surpassed their Barrier Levels during the Barrier Observation Period, the Investor will receive the Denomination on the Redemption Date.

Redemption Scenario 2

Should at least three of the Underlying independently of each other touch or surpass their Barrier Levels during the Barrier Observation Period (continuous observation), but all Underlying close above their Initial Fixing Levels at the Final Fixing Date, the Investor will receive the Denomination on the Redemption Date.

Redemption Scenario 3

Should at least three of the Underlying independently of each other touch or surpass their Barrier Levels at one point during the Barrier Observation Period and should at least one of the Underlying trade at or below its Initial Fixing Level on the Final Fixing Date, the Investor will receive a predefined round number (i.e. Conversion Ratio) of the Underlying with the Worst Performance. Any potential fractional entitlements per Denomination will be paid in cash, based on the Final Fixing Level.

Component 1

The Investor buys a bond which pays for the Coupons on the Coupon Payment Dates and the Denomination on the Redemption Date. This component increases in value if interest rates fall, and decreases in value if interest rates rise.

Component 2

The Investor is short a Down-and-In Put-Option on the five Underlying. Through the sale of this Put-Option the Investor will receive the Put-Premium, which is paid out in the form of the high Coupon Payment. If no more than two of the Underlying ever touch or surpass their Barrier Levels during the Barrier Observation Period, the option expires worthless. Otherwise has our product provider the right to deliver a predefined number (i.e. Conversion Ratio) of the Underlying with the Worst Performance during the Barrier Observation Period. This delivery replaces the repayment of the Denomination at the Redemption Date. The value of the option increases as the fluctuations of the Underlying (volatility) increase. If the price of one of the Underlying falls, the value of the Put rises. As the Investor has sold the Put, the value of the Multi Chance Barrier Reverse Convertible falls.

Opportunities

• The Coupon Payment is guaranteed: Attractive yields despite sideways-trending or moderately falling Underlying
• Conditional Capital Protection: The Investor is capital protected at maturity even if one or two Underlying decrease significantly in value during the Barrier Observation Period.
• Liquid secondary market on the SWX Swiss Exchange.

Risks

• During the lifetime of the Product the fluctuations in the price of the Product can be larger than the fluctuations in the price of the Underlying. This is particularly the case when the Underlying are trading close to their Barrier Levels.
• In the case of physical delivery of an Underlying the Investor may suffer a significant loss.
• The Maximum Yield is limited to the Coupon Rate.
• The Investor surrenders income such as dividends in favor of the strategy.
• Depending on client’s depository bank, transaction fees may occur for the physical delivery of equities.

Example product: