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ZKB Capped Airbag Certificate
S&P 500® Index

ISIN: CH1218268022 Security: 121826802 Symbol: SPCAXZ Life cycle
gray-market

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1320 Bonus Certificates

Product type number as specified by the Swiss Structured Products Association (SSPA): 1320

Please consult the termsheet and the accompanying issue prospectus for information on the exact product functionality, product details and risks.

Market expectations

  • Sideways moving or rising underlying
  • The underlying will not reach or go below a certain level (knock-in level/barrier) during the term

Characteristics

  • Unlimited participation in the performance of the underlying.
  • The minimum repayment corresponds to the bonus level (strike price) if the price of the underlying has never touched or fallen below the knock-in level.
  • The risk buffer means that repayment of the bonus level is also guaranteed if the performance of the underlying is slightly negative.
  • Several underlyings (worst of) permit a higher bonus payment or a lower barrier in exchange for greater risk.
  • The product involves less risk than a direct investment.
  • The income accruing on the underlying is used for strategy purposes.

Advantages

  • Participation in the positive performance of the underlying is unlimited.
  • Due to the risk buffer, repayment of the bonus level is also guaranteed if the performance of the underlying is slightly negative (provided the price of the underlying never touches or falls below the knock-in level).

Disadvantages

  • The risk of loss corresponds to that of a direct investment in the underlying.
  • The risk buffer ceases to apply if the underlying touches or falls below the knock-in level during the term.

Repayment terms

  • If the price of the underlying has neither touched nor fallen below the knock-in level during the term:
    • and is at or lower than the strike price, the repayment corresponds to the bonus level.
    • and lies above the strike price upon expiry, repayment is made in the amount of the positive performance of the underlying multiplied by the participation rate.
  • If the price of the underlying has touched or fallen below the knock-in level during the term:
    • and is at or lower than the strike price on expiry, the number of underlyings specified at the start is delivered for each nominal amount and/or a cash settlement is paid out.
    • and lies above the strike price upon expiry, repayment is made in the amount of the positive performance of the underlying multiplied by the participation rate.

Pay-off diagram upon expiry

1320 Pay-off

Examples upon expiry

Product & scenarios
  Scenario 1 Scenario 2 Scenario 3 Scenario 4
Description Rising underlying Slightly rising underlying Slightly falling underlying Falling underlying
Underlying value share X share X share X share X
Term 1 year 1 year 1 year 1 year
Nominal amount CHF 100 CHF 100 CHF 100 CHF 100
Bonus level 110% 110% 110% 110%
Participation 100% 100% 100% 100%
Knock-in Level (Barrier) 80% 80% 80% 80%
Capital employed CHF 10'000 (100 certificates) CHF 10'000 (100 certificates) CHF 10'000 (100 certificates) CHF 10'000 (100 certificates)
Issue price CHF 100 CHF 100 CHF 100 CHF 100
Share X at initial fixing CHF 100 CHF 100 CHF 100 CHF 100
Share X at maturity CHF 120 CHF 102 CHF 90 CHF 80
Barrier breached? No Yes No Yes
Performance share X 20% 2% -10% -20%
Payoff
  Scenario 1 Scenario 2 Scenario 3 Scenario 4 (physical delivery)
Calculation [100% + (20% * 100%)] * 10'000 [100% + (2% * 100%)] * 10'000 110% * 10'000 100 certificates * 80 (equivalent value)
Redemption CHF 12'000 CHF 10'200 CHF 11'000 CHF 8'000
Profit / Loss 20% 2% 10% -20%
Taxes
Swiss income tax
Term <1 year: free of tax
Term >1 year: Predominantly one-off interest payments (IUP)
Swiss withholding tax No
Swiss stamp tax Yes
EU tax on interest No
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