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1130 Capital protection certificate with barriers

Product type number as specified by the Swiss Structured Products Association (SSPA): 1130

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

Market expectations

  • Rising underlying
  • Major price corrections in the underlying are possible
  • Underlying will not reach a certain level (Knock-in/Knock-out) during the term

Characteristics

  • The amount of the repayment upon expiry is at least the amount of the capital protection.
  • The capital protection is expressed as a percentage of the nominal amount (e.g. 100%).
  • The capital protection applies only to the nominal amount and not to the purchase price.
  • The value of the product may fall below the capital protection level during the term.
  • Participation in the rising underlying in the amount of the participation rate up to the knock-out level.
  • Possibility of a coupon payment after the knock-out level is reached.
  • The profit potential is limited.

Advantages

  • The minimum repayment specified at the beginning of the term is only guaranteed on expiry.
  • Participation in the positive performance of the underlying up to a predefined maximum (knock-out level).
  • If the underlying reaches the knock-out level, there is the possibility of a coupon payment on maturity (depending on the product structure).

Disadvantages

  • Capital protection applies only upon expiry. The value of the product may fall below the minimum repayment during the term.
  • If the guaranteed repayment is below 100%, a loss may result if the performance of the underlying is negative.
  • If the underlying rises sharply, the return compared with a direct investment is limited.

Repayment terms

  • Payment of the guaranteed minimum repayment on expiry.
  • Plus the positive performance of the underlying (from the strike price) if the underlying has not touched or exceeded the knock-out level at any time during the term.
  • However, if the knock-out level is touched or exceeded at any time during the term, the participation in the underlying’s positive performance lapses. In this case, the guaranteed capital protection amount and the coupon payment are paid out.

Pay-off diagram upon expiry

1130 Pay-off

Examples upon expiry

Product & scenarios
  Scenario 1 Scenario 2 Scenario 3
Description Rising underlying Slightly rising underlying Falling underlying
Underlying value SMI® Index SMI® Index SMI® Index
Capital protection 100% 100% 100%
Participation 100% 100% 100%
Knock-out Level (Cap) 124% 124% 124%
Rebate 4% 4% 4%
Term 2 years 2 years 2 years
Issue price 100% 100% 100%
Capital employed CHF 10'000 CHF 10'000 CHF 10'000
Barrier breached? Yes No No
SMI® at initial fixing 8'000 points 8'000 points 8'000 points
SMI® at maturity 8'800 points 8'400 points 7'200 points
Performance SMI® 10% 5% -10%
Payoff
  Scenario 1 Scenario 2 Scenario 3
Calculation 10'000 + (4%*10'000) 10'000 + (5%*100%*10'000) 10'000
Redemption CHF 10'400 CHF 10'500 CHF 10'000
Profit / Loss 4% 5% 0%
Taxes
Swiss income tax Predominantly one-off interest payments (IUP)
Swiss withholding tax No
Swiss stamp tax Yes
EU tax on interest No
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