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Transcript of UBS Project Presentation
UBS Evergreen Investment PlanQiping Zhang, Peiyi Li, Ziyi Zhu
General Terms
Issuer United Bank of Switzerland
Denomination AUD 250,000
Notional Amount AUD 100,000,000
Number of Notes 400 Notes
Issue Date 20 April 2016
Maturity Date 19 April 2021
Issue Price 100%
Interest Reset Period Annually
Interest Payment Dates 20 April in each year
Reference Rate Swap Rate of Australia
Principal 100%
Coupon (3+1)*Reference Rate - 3*2.31%
Australian Dollar Floating Rate Notes
Summary of indicative terms and conditions as of 8 April
2016
Prospects : AUD –Linked Leveraged FRN
Australia Economy Forecast
Historical Australia Interest Rate
FRN will gain!
Stable growth
Interest rate expected to
increase
Inflation expected to
increase
Interest Rate FRN 6.000% 17.061%
5.500% 15.061%
5.000% 13.061%
4.500% 11.061%
4.000% 9.061%
Forecast 3.500% 7.061%
⍟ Breakeven 2.269% 2.137%
Current 2.000% 1.061%
Floor 1.730% 0.000%
1.500% 0.000%
1.000% 0.000%
0.500% 0.000%
Risk-Return Analysis: AUD –Linked Leveraged FRN
0
17.06%
1.73%
FRN
Zero Rate
2.14%
⍟When the interest rate > 2.269%, the annualized return is 2.137%, which is equal to Australian 5-year swap rate.
General Terms
Issuer United Bank of Switzerland
Denomination ZAR 250,000
Notional Amount ZAR 100,000,000
Number of Notes 400 Notes
Issue Date 20 April 2016
Maturity Date 19 April 2021
Issue Price 100%
Interest Reset Period Annually
Interest Payment Dates 20 April in each year
Reference Rate Swap Rate of South Africa
Principal 100%
Coupon (2+1)*7.99%-2*Reference Rate
South Africa Rand Leveraged Inverse
Floating Rate Notes
Summary of indicative terms and conditions as of 12 April
2016
Weak economy outlook• Expected to recover gradually
Inflation pressure
• Expected to drop
Prospects : ZAR –Linked Inverse FRN
2017 Inflation ForecastGrowth Forecast
Inverse FRN mitigate interest rate risk
Swap Rate Inverse FRN
12.489% 0.000%
Cap 11.989% 0.000%
10.042% 3.893%
9.542% 4.893%
9.042% 5.893%
8.542% 6.893%
8.042% 7.893%⍟ Breakeven 7.864% 8.250%
Current 7.542% 8.893%
7.042% 9.893%
Forecast 6.542% 10.893%
6.042% 11.893%
5.542% 12.893%
Risk-Return Analysis: ZAR –Linked Inverse FRN
0
23.53%
11.989%
Inverse FRN
Zero Rate
8.25%
⍟When the swap rate = 7.864%, the annualized return is 8.25%, which is equal to South Africa 5-year swap rate.
CNY 100% Capital Protected
SSE Composite Index -Linked Note
General Terms
Issuer United Bank of Switzerland
Denomination CNY 250,000 per Note
Notional Amount CNY 100,000,000
Number of Notes 400 Notes
Issue Price 100% of the Notional Amount
Issue Date 20 April 2016
Maturity Date 19 April 2021
Underlying Index ShangHai Stock Exchange Composite Index
Index Initial Level 3,023.65
Index Final Level Closing Level of the Index on Maturity Date
Option Type Digital Call Option
Strike Level 2,675.64
Final Redemption 100%+30%, if SCIT ≥2675.64 on Maturity Date
Min Redemption 100%
Summary of indicative terms and conditions as of 12 April
2016
* SCIT = Closing Level of SSE Composite Index on Maturity Date
Exports Expansion
Moderate GDP
Growth
Economy Transition
BONUS GET!!!
Prospects :SSE Index -Linked Note
Index Chg% Principal Return
3600.00 19.06% 130% 30%
3500.00 15.75% 130% 30%
3400.00 12.447% 130% 30%
3300.00 9.140% 130% 30%
3200.00 5.832% 130% 30%
3100.00 2.525% 130% 30%
Current 3023.65 0.000% 130% 30%
2900.00 -4.089% 130% 30%
2800.00 -7.397% 130% 30%
⍟Win 2675.64 -11.51% 130% 30%
2600.00 -14.01% 100% 0%
2500.00 -17.32% 100% 0%
2400.00 -20.63% 100% 0%
Risk-Return Analysis: SSE Index -Linked Note
100%
130%
2675.6
Principal
Index3023.7
⍟As long as the SSE index >2675.64, our product offers 30% bonus. If the index decreases, we provide 100% protection.
USD 100% Capital Protected
USDCHF–Linked Note
General Terms
Issuer United Bank of Switzerland
Denomination USD 200,000 per Note
Notional Amount USD 100,000,000
Number of Notes 500 Notes
Issue Price 100% of the Notional Amount
Issue Date 20 April 2016
Maturity Date 19 April 2021
Underlying Currency Exchange Rate of Swiss Franc against US Dollar
Initial Rate 1.049, USDCHF Spot Rate
Final RateSpot Rate Observed through Trades at 10 a.m., New York City Time at Maturity Date
Option Type Up–and–Out Call Spread
Barrier Level 1.300
Final Redemption100% + {Max(XT-0.921 , 0)/0.921 - Max(XT-1.2 , 0)/0.921}
Min Redemption 100%
Summary of indicative terms and conditions as of 8 April
2016
Prospects :USDCHF –Linked Note
Inflation Rate Comparison
US Increasing Interest Rate
Demand of a Safe Haven
USD/CHF Chg% Principal Return
1.300 23.97% 130.25% 5.43%
1.289 22.89% 130.25% 5.43%
1.249 19.07% 130.25% 5.43%
1.209 15.26% 130.25% 5.43%
1.169 11.44% 126.84% 4.87%
1.129 7.63% 122.50% 4.14%
1.089 3.81% 118.16% 3.39%
Current 1.049 0.00% 113.81% 2.62%
1.009 -3.81% 109.47% 1.83%
⍟Breakeven 0.976 -6.97% 105.88% 1.15%
0.969 -7.63% 105.13% 1.01%
0.929 -11.44% 100.79% 0.16%
0.921 -12.17% 100.00% 0.00%
Risk-Return Analysis: USDCHF –Linked Note
100%
130%
0.921
Principal
FX Rate
106%
1.200 1.300
⍟When the USD/CHF > 0.976, the annualized return is 1.15%, which is equal to US 5-year swap rate.
RUB 100% Capital Protected
DAX-Linked Note
General Terms
Issuer United Bank of Switzerland
Denomination RUB 250,000 per Note
Notional Amount RUB 100,000,000
Number of Notes 400 Notes
Issue Price 100% of the Notional Amount
Issue Date 20 April 2016
Maturity Date 19 April 2021
Underlying Index Deutsche Boerse AG German Stock Index
Index Initial Level 9,761.47
Index Final Level Closing Level of the Index on Maturity Date
Option Type Quanto Call Option
Strike Level 6166.6
Final Redemption 100%+ Max(0,DAX-6166.6)/6166.6
Min Redemption 100%
Summary of indicative terms and conditions as of 12 April
2016
Prospects :DAX –Linked Note
Russian swap rate is high
DAX has a moderate performance
Risk-Return Analysis: DAX –Linked Note
100%
211%
6166.6
Principal
Index
162%
DAX Chg% Principal Return
13278.84 36.03% 215.34% 16.58%
12992.52 33.10% 210.69% 16.07%
12071.67 23.67% 195.76% 14.38%
11811.38 21.00% 191.54% 13.88%
10974.25 12.42% 177.96% 12.22%
10737.62 10.00% 174.13% 11.73%
⍟Breakeven 9976.59 2.20% 161.78% 10.10%
Current 9761.47 0.00% 158.30% 9.62%
8785.32 -10.00% 142.47% 7.34%
7906.79 -19.00% 128.22% 5.10%
7116.11 -27.10% 115.40% 2.91%
6404.50 -34.39% 103.86% 0.76%
6166.60 -36.83% 100.00% 0.00%
5764.05 -40.95% 100% 0.00%
⍟When the DAX increases by 2.20% to 9976.59, the annualized return is 10.10%, which is equal to Russian 5-year swap rate.
BRL 80% Capital Protected
PFE -Linked Note (Quanto Adjusted)
General Terms
Issuer United Bank of Switzerland
Denomination BRL 250,000 per Note
Notional Amount BRL 100,000,000
Number of Notes 400 Notes
Issue Price 100%
Issue Date 20 April 2016
Maturity Date 19 April 2019
Underlying Stock Pfizer Inc. (PFE)
Initial Price 32.00
Final Price Closing Price of the Stock on Maturity Date
Option Type Fixed Lookback Call
Strike Level 30.62
Final Redemption 80%+ 3*Max(PFEmax-30.62,0)/30.62
Min Redemption 80%
Summary of indicative terms and conditions as of 12 April
2016
Prospects : PFE –Linked Note
High dividend yield and low volatility
Structure Renovation
Deep pipeline andcost-cutting initiatives
Risk-Return Analysis: PFE –Linked Note
80%
130%
32.8
Principal
Smax
100%
103%
Max Price Chg% Principal Bonus
47.131 47.29% 241.70% 141.70%
45.319 41.62% 223.94% 123.94%
43.575 36.17% 206.87% 106.87%
41.900 30.94% 190.45% 90.45%
40.288 25.90% 174.66% 74.66%
38.206 19.39% 154.26% 54.26%
37.368 16.78% 146.06% 46.06%
34.611 8.16% 119.05% 19.05%
⍟Win 32.978 3.06% 103.06% 3.06%
Current 32.000 0.00% 93.47% -6.53%
30.720 -4.00% 80.93% -19.07%
29.491 -7.84% 80.00% -20.00%
28.312 -11.53% 80.00% -20.00%
⍟During the investment period, as long as Pfizer price is higher that 32.978, our product will outperform the stock.
Thank you! ( ' ' )●◡●Q&A
Vanilla Bond
Maturity 5
Settlement 04/09/16
Maturity 04/08/21
Frequency 1
Swap 2.1375%
Subsidy 0.15%
Subsidy 0.704%
Leverage 3
FIX 2.31%
Value FIX 2.47%
Floor 1.73%
Cost Floor 0.7669%
Profit 1.00%
Appendix: Leveraged FRN on Australian Dollar
Vanilla Bond
Maturity 5
Settlement 04/12/16
Maturity 04/11/21
Frequency 1
Swap 8.250%
Subsidy 0.15%
Subsidy 0.59%
Leverage 2
FIX 7.99%
Value FIX 3.07%
Cap 11.99%
Cost Cap 1.4706%
Profit 1.0000%
Appendix: Leveraged Inverse FRN on South Africa Rand
Appendix: CNY 100% Capital Protected SSE Composite Index-Linked Note
Profit Margin
Bond 88.01%
Option 10.99%
Cost 99.00%
Profit 1.00%
Digital Option
Index 3023.65
Strike 2675.64
Bonus 30.0%
Term 5
Rate 2.87%
Vol 35.83%
Dividend Yield 2.02%
Digital Call 0.366
Cost 10.99%
Vanilla Bond
Maturity 5
Settlement 04/12/16
Maturity 04/11/21
Coupon 0.00%
Principal 100.00%
Freq 1
Swap 2.75%
Subsidy 0.15%
Cost 88.01%
Appendix: USD 100% Capital Protected USDCHF –Linked Note
Vanilla Bond
Maturity 5
Settlement 04/09/16
Maturity 04/08/21
Coupon 0.00%
Principal 100.00%
Freq 1
Swap 1.15%
Subsidy 0.15%
Cost 95.18%
Barrier Option
FX 1.049
Strike 0.921
Barrier 1.300
Term 5
Rate 1.70%
Bid Vol 11.80%
Dividend Yield -0.36%
Knock-out Call 3.904%
Leverage 1
Strike 1.200
Barrier 1.300
Offer Vol 11.80%
Knock-out Call 0.0794%
Cost 3.825%
Profit Margin
Bond 95.18%
Option 3.82%
Cost 99.00%
Profit 1.00%
Vanilla Bond
Maturity 5
Settlement 04/12/16
Maturity 04/11/21
Coupon 0.00%
Principal 100.00%
Frequency 1
Swap 10.10%
Subsidy 0.15%
Cost 62.39%
Quanto Adjustment
RUS DAX
Index 9761.47
Strike 9761.47
Term 5
Volatility 20.42%
FX Volatility 23.56%
Correlation 0.49
Risk-free Rate 9.24% 0.165%
Dividend Yield 9.939% 3.24%
Expt Growth -0.699% -3.075%
Quanto Call
Index 9761.47
Strike 6166.60
Term 5
Rate 9.24%
Dividend Yield 9.94%
Bid Vol 20.42%
Quanto 2257.34
Cost 0.3661
Appendix: RUB 100% Capital Protected DAX Index-Linked Note
Profit Margin
Bond 62.39%
Option 36.61%
Cost 99.00%
Profit 1.00%
Appendix: BRL 80% Capital Protected Pfizer Stock Price-Linked Note
Vanilla Bond
Maturity 3
Settlement 04/12/16
Maturity 04/11/19
Coupon 0.00%
Principal 80.00%
Freq 1
Swap 13.46%
Subsidy 0.15%
Cost 55.13%
Floating Lookback Option
Price 32.00
Strike 30.62
Term 3
Rate 1.70%
Bid Vol 17.44%
Div Yld 15.545%
Lookback Call 4.48
Leverage 3
Cost 43.869%
Profit Margin
Bond 55.13%
Option 44.869%
Cost 99.00%
Profit 1.00%
Quanto Adjustment
BRZ PFE
Index 32
Strike 32
Term 3
FX Volatility 23.073%
Correlation 0.05
Volatility 17.44%
Risk-Free Rate 13.68% 1.700%
Dividend Yield 15.545% 3.75%
Expt Growth -1.865% -2.050%