Barrier Reverse Convertibles - Swiss Equity Leader Index

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Barrier Reverse Convertibles - Swiss Equity Leader Index

Product description
Barrier Reverse Convertible (1230)

Description
The Barrier Reverse Convertible offers a conditional capital protection. This is achieved by establishing a kick-in level which at issue date is fixed at a specific percentage below the share price. As long as the share price never touches the kick-in level during the investment period, you will be paid back 100% of your invested capital. If the kick-in level is touched once prior to maturity, the Barrier Reverse Convertible is converted to a Standard Reverse Convertible. The coupon is always paid out.

Market Expectation
Flat, slightly rising or slightly falling market trend.

Profit
Maximum return (coupon amount) if underlying does not touch or fall below kick-in level at any time prior to expiry or if underlying closes above strike on expiry.

Risk
Delivery of underlying or cash settlement on expiry (underlying may be worth less than invested capital); loss of capital protection if kick-in level touched.

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Barrier Reverse Convertibles - Swiss Equity Leader Index

  1. 1. 06.09.2011 BARRIER REVERSE CONVERTIBLE - TERMINAL OBSERVATION % Coupon Per Annum with 2% Margin - LIBOR CHF Flat Funding 1 ABB LTD-REG ABBN VX Equity Spot price: 16.09 Ex-Div Date: 03.05.2012 Div Yield: 3.43% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.68% 3.63% 6.64% 10.21% 14.01% 6 Months 0.49% 1.61% 3.01% 4.73% 6.65% 8.57% 10.60% 12.51% 9 Months 1.04% 2.02% 3.13% 4.49% 6.09% 7.82% 9.52% 11.25% 12.79%MATURITY 12 Months 0.79% 1.53% 2.36% 3.38% 4.58% 5.88% 7.15% 8.45% 11.00% 15 Months 0.89% 2.12% 3.52% 5.02% 6.51% 7.90% 9.12% 10.13% 18 Months 0.93% 1.98% 3.13% 4.34% 5.56% 6.71% 7.76% 8.67% 9.42% 21 Months 2.29% 3.35% 4.43% 5.46% 6.44% 7.36% 8.17% 8.86% 9.42% 24 Months 3.11% 4.08% 4.99% 5.82% 6.61% 7.32% 7.95% 8.48% 8.91% 27 Months 3.59% 4.47% 5.26% 5.96% 6.61% 7.19% 7.70% 8.14% 8.48% 30 Months 3.93% 4.72% 5.41% 6.00% 6.55% 7.04% 7.46% 7.82% 8.11% 2 ACTELION LTD-REG ATLN VX Equity Spot price: 32.15 Ex-Div Date: 07.05.2012 Div Yield: 1.99% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 2.69% 7.17% 12.27% 17.39% 6 Months 0.19% 1.84% 4.15% 6.95% 9.65% 12.38% 14.84% 9 Months 0.58% 2.19% 4.10% 6.24% 8.44% 10.53% 12.44% 14.01%MATURITY 12 Months 0.92% 2.30% 3.85% 5.54% 7.29% 8.97% 10.49% 11.81% 12.87% 15 Months 2.33% 3.64% 4.99% 6.40% 7.82% 9.16% 10.29% 11.27% 12.04% 18 Months 3.29% 4.48% 5.61% 6.80% 7.99% 9.07% 9.96% 10.72% 11.31% 21 Months 4.33% 5.38% 6.34% 7.36% 8.39% 9.32% 10.04% 10.66% 11.14% 24 Months 4.82% 5.72% 6.50% 7.37% 8.27% 9.06% 9.65% 10.17% 10.56% 27 Months 5.16% 5.93% 6.58% 7.32% 8.12% 8.81% 9.30% 9.74% 10.07% 30 Months 5.39% 6.04% 6.59% 7.24% 7.95% 8.56% 8.97% 9.36% 9.65% 3 ADECCO SA-REG ADEN VX Equity Spot price: 34.03 Ex-Div Date: 21.05.2012 Div Yield: 2.59% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.29% 2.94% 6.13% 9.41% 13.23% 17.12% 6 Months 0.62% 1.75% 3.01% 4.58% 6.47% 8.54% 10.59% 12.66% 14.56% 9 Months 1.71% 2.76% 3.99% 6.32% 8.88% 10.60% 12.38% 13.94% 15.29%MATURITY 12 Months 2.38% 3.93% 5.53% 7.06% 8.57% 9.95% 11.21% 12.31% 13.24% 15 Months 3.33% 4.72% 6.08% 7.31% 8.49% 9.56% 10.53% 11.36% 12.05% 18 Months 3.95% 5.18% 6.32% 7.34% 8.30% 9.17% 9.94% 10.60% 11.13% 21 Months 4.87% 6.03% 7.06% 7.99% 8.85% 9.62% 10.29% 10.85% 11.29% 24 Months 5.08% 6.10% 6.99% 7.80% 8.54% 9.20% 9.77% 10.24% 10.61% 27 Months 5.34% 6.23% 6.99% 7.69% 8.34% 8.92% 9.40% 9.79% 10.09% 30 Months 5.52% 6.30% 6.95% 7.57% 8.15% 8.66% 9.06% 9.40% 9.64% 4 BALOISE HOLDING AG - REG BALN VX Equity Spot price: 67 Ex-Div Date: 25.04.2012 Div Yield: 5.37% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 2.20% 4.77% 7.14% 9.75% 12.25% 15.15% 6 Months 1.55% 3.38% 4.80% 6.20% 7.50% 9.01% 10.47% 12.02% 9 Months 1.32% 2.87% 4.53% 5.84% 7.14% 8.49% 10.26% 11.69% 13.03%MATURITY 12 Months 1.51% 2.89% 4.35% 5.62% 6.88% 8.06% 9.23% 10.28% 11.21% 15 Months 2.20% 3.49% 4.80% 5.88% 6.91% 7.83% 8.68% 9.43% 10.10% 18 Months 2.70% 3.90% 5.07% 5.99% 6.84% 7.57% 8.21% 8.76% 9.26% 21 Months 4.46% 5.72% 6.87% 7.70% 8.44% 9.07% 9.61% 10.08% 10.52% 24 Months 4.86% 5.97% 6.93% 7.57% 8.15% 8.62% 9.03% 9.38% 9.73% 27 Months 5.20% 6.11% 6.89% 7.40% 7.88% 8.26% 8.58% 8.84% 9.12% 30 Months 5.41% 6.17% 6.79% 7.22% 7.62% 7.94% 8.19% 8.38% 8.61% 5 CIE FINANCIERE RICHEMON- CFR VX Equity Spot price: 44.3 Ex-Div Date: 10.09.2012 Div Yield: 0.81% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 1.41% 4.34% 7.65% 11.23% 15.31% 19.43% 6 Months 1.59% 2.67% 3.92% 5.62% 7.68% 9.83% 11.96% 14.12% 16.05% 9 Months 2.78% 3.98% 5.23% 6.68% 8.28% 9.88% 11.37% 12.75% 13.93%MATURITY 12 Months 3.47% 4.77% 6.03% 7.26% 8.51% 9.69% 10.74% 11.68% 12.47% 15 Months 4.27% 5.55% 6.74% 7.76% 8.74% 9.63% 10.41% 11.09% 11.65% 18 Months 4.74% 5.96% 7.03% 7.87% 8.64% 9.31% 9.90% 10.40% 10.82% 21 Months 5.23% 6.30% 7.22% 7.88% 8.49% 9.02% 9.47% 9.86% 10.17% 24 Months 5.57% 6.52% 7.30% 7.84% 8.33% 8.75% 9.10% 9.41% 9.66% 27 Months 5.88% 6.73% 7.40% 7.84% 8.25% 8.59% 8.88% 9.12% 9.32% 30 Months 6.04% 6.79% 7.38% 7.74% 8.08% 8.35% 8.58% 8.78% 8.95% 6 CLARIANT AG-REG CLN VX Equity Spot price: 7.38 Ex-Div Date: 28.06.2012 Div Yield: 2.69% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 3.18% 5.79% 8.58% 11.44% 14.80% 18.73% 23.24% 27.50% 31.26% 6 Months 6.57% 8.69% 10.74% 12.72% 14.85% 17.13% 19.50% 21.58% 23.28% 9 Months 4.92% 8.27% 10.49% 12.42% 14.24% 15.89% 17.35% 18.59% 19.61%MATURITY 12 Months 7.33% 9.35% 11.19% 12.71% 14.10% 15.31% 16.35% 17.23% 17.94% 15 Months 7.46% 9.12% 10.57% 11.73% 12.78% 13.68% 14.46% 15.10% 15.62% 18 Months 7.69% 9.10% 10.30% 11.23% 12.07% 12.78% 13.38% 13.88% 14.28% 21 Months 7.93% 9.17% 10.19% 10.95% 11.63% 12.19% 12.67% 13.07% 13.39% 24 Months 8.25% 9.36% 10.25% 10.88% 11.45% 11.91% 12.30% 12.62% 12.88% 27 Months 8.28% 9.23% 9.98% 10.49% 10.96% 11.34% 11.66% 11.92% 12.13% 30 Months 8.49% 9.33% 9.97% 10.40% 10.79% 11.11% 11.38% 11.60% 11.78% 7 CREDIT SUISSE GROUP AG- CSGN VX Equity Spot price: 20.67 Ex-Div Date: 03.05.2012 Div Yield: 6.19% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 2.03% 4.35% 6.92% 9.81% 13.06% 16.61% 19.92% 23.33% 26.66% 6 Months 4.68% 6.52% 8.37% 10.22% 12.08% 13.93% 15.80% 17.57% 19.19% 9 Months 6.17% 7.95% 9.70% 11.42% 13.11% 14.76% 16.39% 17.88% 19.20%MATURITY 12 Months 4.64% 5.97% 7.28% 8.58% 9.84% 11.08% 12.30% 13.42% 14.41% 15 Months 2.67% 4.30% 6.00% 7.68% 9.28% 10.75% 12.03% 13.09% 13.93% 18 Months 4.00% 5.45% 6.84% 8.14% 9.34% 10.41% 11.33% 12.10% 12.71% 21 Months 5.27% 6.54% 7.70% 8.72% 9.65% 10.48% 11.18% 11.77% 12.24% 24 Months 5.77% 6.84% 7.77% 8.57% 9.29% 9.93% 10.48% 10.94% 11.30% 27 Months 5.88% 6.83% 7.62% 8.31% 8.93% 9.48% 9.94% 10.33% 10.64% 30 Months 5.92% 6.76% 7.45% 8.06% 8.61% 9.08% 9.49% 9.83% 10.09% 1
  2. 2. 06.09.2011 BARRIER REVERSE CONVERTIBLE - TERMINAL OBSERVATION % Coupon Per Annum with 2% Margin - LIBOR CHF Flat Funding 8 GIVAUDAN-REG GIVN VX Equity Spot price: 761 Ex-Div Date: 29.03.2012 Div Yield: 2.38% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.87% 3.73% 6 Months 0.82% 2.12% 3.70% 5.43% 9 Months 1.33% 2.70% 4.03% 5.49% 6.99%MATURITY 12 Months 1.03% 2.04% 3.10% 4.26% 5.43% 6.54% 15 Months 0.60% 1.51% 2.37% 3.28% 4.28% 5.23% 6.09% 18 Months 0.19% 0.99% 1.80% 2.56% 3.37% 4.23% 5.04% 5.72% 21 Months 0.14% 0.83% 1.66% 2.48% 3.24% 4.05% 4.86% 5.60% 6.18% 24 Months 0.41% 1.06% 1.80% 2.53% 3.22% 3.93% 4.64% 5.28% 5.74% 27 Months 0.66% 1.27% 1.92% 2.57% 3.20% 3.85% 4.46% 5.02% 5.40% 30 Months 0.88% 1.43% 2.02% 2.61% 3.19% 3.77% 4.31% 4.80% 5.12% 9 HOLCIM LTD-REG HOLN VX Equity Spot price: 47.65 Ex-Div Date: 10.05.2012 Div Yield: 3.44% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.86% 3.85% 6.75% 10.12% 13.67% 6 Months 1.29% 2.81% 4.48% 6.22% 8.02% 9.94% 11.79% 9 Months 0.24% 1.38% 2.68% 4.11% 5.61% 7.15% 8.72% 10.35% 11.86%MATURITY 12 Months 0.19% 1.05% 2.03% 3.09% 4.22% 5.37% 7.95% 9.39% 10.62% 15 Months 0.83% 1.95% 3.19% 4.47% 5.77% 7.01% 8.15% 9.16% 9.99% 18 Months 1.94% 3.03% 4.13% 5.22% 6.26% 7.22% 8.08% 8.82% 9.41% 21 Months 2.75% 3.76% 4.74% 5.70% 6.62% 7.44% 8.15% 8.76% 9.22% 24 Months 3.17% 4.06% 4.89% 5.73% 6.53% 7.23% 7.83% 8.33% 8.68% 27 Months 3.73% 4.43% 5.08% 5.78% 6.47% 7.08% 7.56% 7.98% 8.26% 30 Months 4.13% 4.68% 5.18% 5.76% 6.38% 6.92% 7.32% 7.67% 7.89%10 JULIUS BAER GROUP LTD BAER VX Equity Spot price: 30.18 Ex-Div Date: 09.04.2012 Div Yield: 1.86% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 1.84% 4.73% 8.10% 11.35% 15.00% 18.69% 6 Months 1.12% 2.37% 3.74% 5.35% 7.20% 9.23% 11.20% 13.17% 15.02% 9 Months 2.43% 3.90% 5.40% 6.85% 8.34% 9.81% 11.30% 12.66% 13.87%MATURITY 12 Months 2.88% 4.28% 5.67% 6.89% 8.09% 9.20% 10.26% 11.20% 12.00% 15 Months 3.03% 4.29% 5.51% 6.55% 7.53% 8.42% 9.22% 9.93% 10.52% 18 Months 3.13% 4.28% 5.38% 6.27% 7.10% 7.82% 8.46% 9.01% 9.46% 21 Months 3.34% 4.38% 5.34% 6.11% 6.82% 7.43% 7.97% 8.43% 8.81% 24 Months 3.40% 4.33% 5.17% 5.82% 6.43% 6.96% 7.41% 7.80% 8.13% 27 Months 3.74% 4.51% 5.19% 5.74% 6.28% 6.76% 7.15% 7.49% 7.76% 30 Months 4.00% 4.64% 5.19% 5.67% 6.16% 6.60% 6.93% 7.23% 7.46%11 LOGITECH INTERNATIONAL- LOGN VX Equity Spot price: 8.35 Ex-Div Date: #N/A N/A Div Yield: 0.00% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 2.39% 7.18% 12.45% 17.66% 6 Months 1.83% 4.35% 7.11% 9.97% 12.80% 15.42% 17.70% 9 Months 1.58% 3.37% 5.32% 7.47% 9.54% 11.50% 13.31% 14.89% 16.21%MATURITY 12 Months 3.91% 5.67% 7.42% 9.21% 10.82% 12.27% 13.54% 14.63% 15.50% 15 Months 5.43% 7.03% 8.53% 10.01% 11.27% 12.38% 13.33% 14.12% 14.75% 18 Months 6.37% 7.78% 9.06% 10.28% 11.30% 12.17% 12.91% 13.52% 13.99% 21 Months 6.95% 8.20% 9.29% 10.31% 11.15% 11.86% 12.45% 12.93% 13.30% 24 Months 7.31% 8.40% 9.35% 10.22% 10.91% 11.50% 11.99% 12.38% 12.68% 27 Months 7.55% 8.51% 9.33% 10.07% 10.67% 11.16% 11.57% 11.89% 12.15% 30 Months 7.68% 8.54% 9.25% 9.90% 10.41% 10.83% 11.18% 11.45% 11.67%12 LONZA GROUP AG-REG LONN VX Equity Spot price: 50 Ex-Div Date: 09.04.2012 Div Yield: 3.20% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 1.68% 4.78% 8.56% 12.64% 6 Months 0.87% 2.40% 4.19% 6.19% 8.28% 10.45% 12.50% 9 Months 0.00% 1.34% 2.91% 4.74% 6.72% 8.69% 10.51% 12.26% 13.79%MATURITY 12 Months 0.87% 2.13% 3.54% 5.04% 6.59% 8.08% 9.44% 10.69% 11.76% 15 Months 1.21% 2.34% 3.55% 4.78% 6.02% 7.20% 8.32% 9.32% 10.14% 18 Months 1.45% 2.46% 3.52% 4.56% 5.58% 6.56% 7.52% 8.36% 9.00% 21 Months 2.05% 3.15% 4.28% 5.37% 6.41% 7.37% 8.27% 9.02% 9.59% 24 Months 1.88% 2.88% 3.90% 4.90% 5.85% 6.71% 7.47% 8.11% 8.59% 27 Months 2.02% 2.93% 3.85% 4.73% 5.56% 6.31% 6.96% 7.50% 7.91% 30 Months 2.17% 3.00% 3.83% 4.61% 5.34% 5.99% 6.55% 7.02% 7.38%13 NESTLE SA-REG NESN VX Equity Spot price: 49.55 Ex-Div Date: 18.04.2012 Div Yield: 3.23% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 1.50% 6 Months 0.08% 1.15% 2.38% 3.83% 9 Months 0.09% 1.05% 2.18% 3.39% 4.76% 6.29%MATURITY 12 Months 0.08% 0.80% 1.65% 2.55% 3.58% 4.73% 15 Months 0.64% 1.79% 3.09% 4.41% 5.64% 18 Months 0.08% 0.87% 1.80% 2.81% 3.82% 4.78% 5.63% 21 Months 0.45% 1.24% 2.07% 2.95% 3.79% 4.59% 5.30% 5.92% 24 Months 0.49% 1.20% 2.00% 2.75% 3.48% 4.14% 4.74% 5.26% 5.71% 27 Months 1.00% 1.63% 2.30% 2.94% 3.58% 4.17% 4.68% 5.14% 5.51% 30 Months 1.40% 1.93% 2.48% 3.04% 3.62% 4.14% 4.60% 5.00% 5.31%14 NOBEL BIOCARE HOLDING NOBN VX Equity Spot price: 9.42 Ex-Div Date: 29.03.2012 Div Yield: 3.40% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 2.06% 5.00% 8.56% 12.56% 16.67% 6 Months 0.58% 1.39% 2.40% 4.25% 6.50% 8.71% 11.07% 13.32% 15.39% 9 Months 1.88% 3.97% 5.80% 8.29% 10.29% 12.35% 14.24% 15.94% 17.36%MATURITY 12 Months 3.20% 4.86% 6.55% 8.20% 9.80% 11.30% 12.67% 13.86% 14.83% 15 Months 3.91% 5.38% 6.80% 8.17% 9.46% 10.66% 11.72% 12.63% 13.35% 18 Months 4.37% 5.66% 6.87% 8.03% 9.11% 10.09% 10.96% 11.67% 12.24% 21 Months 5.06% 6.26% 7.35% 8.39% 9.34% 10.18% 10.91% 11.50% 11.96% 24 Months 5.26% 6.32% 7.27% 8.18% 9.00% 9.72% 10.34% 10.82% 11.20% 27 Months 5.59% 6.55% 7.39% 8.20% 8.92% 9.53% 10.05% 10.45% 10.77% 30 Months 5.83% 6.71% 7.45% 8.18% 8.81% 9.34% 9.78% 10.12% 10.38% 2
  3. 3. 06.09.2011 BARRIER REVERSE CONVERTIBLE - TERMINAL OBSERVATION % Coupon Per Annum with 2% Margin - LIBOR CHF Flat Funding15 ROCHE HOLDING AG- ROG VX Equity Spot price: 140.2 Ex-Div Date: 05.03.2012 Div Yield: 4.05% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 1.91% 4.63% 6 Months 0.24% 2.43% 4.16% 6.16% 8.51% 10.98% 9 Months 0.17% 1.72% 2.96% 4.26% 5.84% 7.51%MATURITY 12 Months 1.03% 2.34% 3.77% 5.27% 6.82% 8.15% 15 Months 0.62% 1.52% 2.54% 3.67% 4.80% 5.91% 6.99% 7.85% 18 Months 0.93% 1.72% 2.56% 3.45% 4.37% 5.25% 6.08% 6.87% 7.46% 21 Months 1.52% 2.28% 3.07% 3.88% 4.69% 5.47% 6.20% 6.85% 7.32% 24 Months 1.83% 2.53% 3.23% 3.94% 4.64% 5.31% 5.95% 6.48% 6.86% 27 Months 2.07% 2.67% 3.26% 3.90% 4.55% 5.15% 5.70% 6.15% 6.48% 30 Months 2.25% 2.76% 3.26% 3.84% 4.46% 4.99% 5.48% 5.87% 6.16%16 SGS SA-REG SGSN VX Equity Spot price: 1457 Ex-Div Date: 26.03.2012 Div Yield: 1.98% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 2.01% 4.61% 7.87% 6 Months 1.34% 2.80% 4.37% 6.13% 7.99% 9 Months 1.29% 2.59% 3.79% 5.06% 6.51% 7.94% 9.30%MATURITY 12 Months 0.78% 1.96% 3.09% 4.10% 5.16% 6.33% 7.43% 8.40% 15 Months 0.54% 1.48% 2.51% 3.49% 4.37% 5.28% 6.23% 7.10% 7.82% 18 Months 1.09% 1.95% 2.86% 3.71% 4.49% 5.29% 6.08% 6.79% 7.34% 21 Months 1.86% 2.63% 3.40% 4.16% 4.90% 5.63% 6.29% 6.89% 7.33% 24 Months 2.31% 2.96% 3.59% 4.25% 4.94% 5.59% 6.13% 6.64% 6.99% 27 Months 2.67% 3.20% 3.71% 4.30% 4.94% 5.53% 5.99% 6.42% 6.70% 30 Months 2.94% 3.37% 3.79% 4.32% 4.92% 5.46% 5.84% 6.22% 6.45%17 SONOVA HOLDING AG-REG SOON VX Equity Spot price: 64.65 Ex-Div Date: 18.06.2012 Div Yield: 1.98% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 2.40% 6 Months 1.88% 4.45% 7.10% 9 Months 0.62% 2.27% 4.13% 6.02% 7.73%MATURITY 12 Months 0.16% 1.33% 2.71% 4.22% 5.74% 7.18% 8.43% 15 Months 0.33% 1.28% 2.42% 3.63% 4.88% 6.08% 7.17% 8.09% 18 Months 0.30% 1.11% 2.05% 3.10% 4.15% 5.18% 6.15% 7.01% 7.74% 21 Months 0.85% 1.67% 2.57% 3.53% 4.46% 5.34% 6.15% 6.85% 7.44% 24 Months 1.45% 2.30% 3.18% 4.10% 4.94% 5.73% 6.43% 7.03% 7.52% 27 Months 1.83% 2.64% 3.46% 4.28% 5.03% 5.71% 6.31% 6.82% 7.23% 30 Months 2.13% 2.90% 3.66% 4.41% 5.07% 5.67% 6.19% 6.62% 6.97%18 SWATCH GROUP AG/THE-BR UHR VX Equity Spot price: 350.7 Ex-Div Date: 17.05.2012 Div Yield: 1.23% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 1.04% 3.89% 6.83% 10.35% 14.06% 6 Months 0.66% 1.86% 3.35% 5.12% 7.05% 9.03% 11.06% 12.98% 9 Months 1.05% 2.51% 4.09% 5.61% 7.02% 8.48% 10.03% 11.45% 12.72%MATURITY 12 Months 1.94% 3.25% 4.60% 5.85% 7.00% 8.16% 9.33% 10.37% 11.24% 15 Months 2.48% 3.62% 4.76% 5.82% 6.81% 7.78% 8.71% 9.53% 10.17% 18 Months 2.84% 3.85% 4.81% 5.74% 6.61% 7.44% 8.20% 8.87% 9.36% 21 Months 3.10% 4.00% 4.84% 5.65% 6.43% 7.15% 7.78% 8.33% 8.72% 24 Months 3.35% 4.18% 4.93% 5.66% 6.35% 6.99% 7.53% 7.99% 8.33% 27 Months 3.68% 4.41% 5.05% 5.69% 6.31% 6.86% 7.31% 7.70% 7.98% 30 Months 3.94% 4.58% 5.14% 5.70% 6.25% 6.73% 7.12% 7.45% 7.68%19 SWISS LIFE HOLDING AG- SLHN VX Equity Spot price: 98.4 Ex-Div Date: 27.07.2012 Div Yield: 3.82% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.90% 3.04% 5.93% 9.49% 13.05% 16.98% 20.90% 6 Months 1.16% 2.27% 3.51% 5.09% 7.05% 9.28% 11.38% 13.50% 15.43% 9 Months 1.69% 2.89% 4.14% 5.56% 7.14% 8.80% 10.33% 11.78% 13.01%MATURITY 12 Months 2.15% 3.31% 4.49% 5.76% 7.13% 8.51% 9.73% 10.84% 11.77% 15 Months 2.51% 3.65% 4.79% 5.98% 7.20% 8.39% 9.43% 10.33% 11.06% 18 Months 2.82% 3.95% 5.05% 6.17% 7.27% 8.30% 9.20% 9.95% 10.54% 21 Months 3.18% 4.30% 5.37% 6.41% 7.39% 8.30% 9.07% 9.71% 10.20% 24 Months 3.34% 4.40% 5.41% 6.36% 7.23% 8.01% 8.69% 9.23% 9.63% 27 Months 3.65% 4.63% 5.53% 6.37% 7.14% 7.81% 8.38% 8.84% 9.17% 30 Months 4.11% 5.04% 5.87% 6.63% 7.31% 7.90% 8.39% 8.79% 9.07%20 SWISS RE AG SREN VX Equity Spot price: 38.99 Ex-Div Date: 19.04.2012 Div Yield: 6.16% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 1.13% 3.71% 6.81% 9.87% 12.83% 16.14% 6 Months 0.39% 1.74% 3.22% 4.82% 6.53% 8.32% 10.10% 11.83% 13.51% 9 Months 4.87% 5.27% 5.90% 6.71% 7.77% 9.08% 10.53% 11.93% 13.21%MATURITY 12 Months 4.01% 4.21% 4.62% 5.19% 5.96% 6.94% 8.04% 9.10% 10.05% 15 Months 3.23% 3.39% 3.72% 4.17% 4.78% 5.57% 6.45% 7.29% 8.06% 18 Months 2.70% 2.83% 3.11% 3.48% 3.99% 4.65% 5.38% 6.08% 6.72% 21 Months 3.07% 3.65% 4.24% 4.95% 5.83% 6.84% 7.67% 8.33% 8.88% 24 Months 4.50% 4.93% 5.37% 5.94% 6.68% 7.55% 8.21% 8.71% 9.11% 27 Months 4.84% 5.14% 5.48% 5.94% 6.57% 7.32% 7.87% 8.28% 8.61% 30 Months 5.00% 5.21% 5.46% 5.84% 6.38% 7.03% 7.50% 7.85% 8.12%21 SWISSCOM AG-REG SCMN VX Equity Spot price: 354.7 Ex-Div Date: 27.04.2012 Div Yield: 4.96% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 6 Months 0.89% 2.09% 9 Months 0.02% 1.24% 2.54% 3.86% 5.34%MATURITY 12 Months 0.03% 0.94% 1.92% 2.90% 4.01% 15 Months 0.35% 1.65% 3.13% 18 Months 0.85% 1.93% 3.05% 21 Months 0.00% 0.81% 1.78% 2.92% 4.11% 5.16% 24 Months 0.54% 1.33% 2.18% 3.12% 4.05% 4.85% 27 Months 0.42% 1.01% 1.73% 2.46% 3.24% 3.97% 4.63% 30 Months 0.03% 0.38% 0.81% 1.36% 2.00% 2.64% 3.29% 3.88% 4.45% 3
  4. 4. 06.09.2011 BARRIER REVERSE CONVERTIBLE - TERMINAL OBSERVATION % Coupon Per Annum with 2% Margin - LIBOR CHF Flat Funding22 SYNGENTA AG-REG SYNN VX Equity Spot price: 250.4 Ex-Div Date: 23.04.2012 Div Yield: 2.36% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.49% 3.54% 7.14% 6 Months 0.12% 1.55% 3.18% 4.93% 6.91% 8.92% 9 Months 0.56% 2.07% 4.31% 5.94% 7.60% 9.31% 10.85%MATURITY 12 Months 0.56% 1.66% 3.00% 4.49% 5.90% 7.19% 8.48% 9.56% 15 Months 0.30% 1.22% 2.27% 3.46% 4.69% 5.86% 6.92% 7.93% 8.75% 18 Months 0.79% 1.69% 2.67% 3.72% 4.77% 5.75% 6.66% 7.48% 8.12% 21 Months 1.24% 2.15% 3.11% 4.08% 5.01% 5.89% 6.69% 7.38% 7.92% 24 Months 1.46% 2.33% 3.23% 4.10% 4.90% 5.67% 6.37% 6.95% 7.40% 27 Months 1.84% 2.63% 3.41% 4.17% 4.89% 5.56% 6.16% 6.66% 7.03% 30 Months 2.15% 2.86% 3.54% 4.21% 4.87% 5.46% 5.97% 6.40% 6.72%23 SYNTHES INC-144A/REGS SYST VX Equity Spot price: 142.1 Ex-Div Date: 29.03.2012 Div Yield: 1.13% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 6 Months 9 Months 0.76%MATURITY 12 Months 0.66% 1.60% 15 Months 0.53% 1.26% 2.02% 18 Months 0.42% 0.98% 1.60% 2.23% 21 Months 0.00% 0.44% 0.92% 1.43% 1.99% 2.55% 24 Months 0.33% 0.75% 1.18% 1.62% 2.10% 2.59% 27 Months 0.28% 0.61% 1.00% 1.38% 1.78% 2.20% 2.61% 30 Months 0.02% 0.25% 0.53% 0.84% 1.19% 1.54% 1.90% 2.27% 2.63%24 TRANSOCEAN LTD RIGN VX Equity Spot price: 43.46 Ex-Div Date: 21.11.2011 Div Yield: 4.94% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 1.96% 3.33% 5.99% 10.74% 15.43% 20.41% 6 Months 0.30% 1.41% 2.70% 4.49% 6.91% 9.84% 12.65% 15.46% 17.93% 9 Months 3.58% 5.09% 6.67% 8.59% 10.85% 13.21% 15.12% 16.93% 18.40%MATURITY 12 Months 5.94% 7.09% 8.24% 9.69% 11.41% 13.16% 14.46% 15.68% 16.65% 15 Months 7.26% 8.17% 9.05% 10.19% 11.55% 12.91% 13.85% 14.72% 15.39% 18 Months 7.96% 8.68% 9.36% 10.28% 11.39% 12.48% 13.20% 13.86% 14.35% 21 Months 8.61% 9.29% 9.90% 10.69% 11.61% 12.50% 13.07% 13.55% 13.91% 24 Months 8.75% 9.37% 9.90% 10.57% 11.33% 12.06% 12.51% 12.87% 13.12% 27 Months 8.81% 9.38% 9.84% 10.40% 11.05% 11.65% 12.01% 12.28% 12.47% 30 Months 8.81% 9.33% 9.73% 10.21% 10.76% 11.27% 11.56% 11.76% 11.90%25 UBS AG-REG UBSN VX Equity Spot price: 10.81 Ex-Div Date: 23.04.2012 Div Yield: 0.00% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 2.84% 5.61% 8.58% 11.76% 15.13% 18.61% 22.07% 25.62% 28.97% 6 Months 5.44% 7.19% 8.95% 10.83% 12.83% 14.86% 16.77% 18.63% 20.27% 9 Months 3.96% 6.94% 8.96% 10.73% 12.32% 13.75% 15.00% 16.09% 17.00%MATURITY 12 Months 5.15% 6.91% 8.54% 9.84% 11.03% 12.06% 12.97% 13.73% 14.37% 15 Months 5.26% 6.72% 8.03% 9.05% 10.00% 10.82% 11.53% 12.14% 12.64% 18 Months 5.31% 6.54% 7.62% 8.46% 9.24% 9.92% 10.51% 11.01% 11.42% 21 Months 5.43% 6.52% 7.45% 8.20% 8.89% 9.49% 10.01% 10.45% 10.81% 24 Months 5.31% 6.26% 7.06% 7.73% 8.33% 8.86% 9.32% 9.71% 10.03% 27 Months 5.42% 6.26% 6.96% 7.54% 8.06% 8.52% 8.91% 9.24% 9.51% 30 Months 5.61% 6.37% 6.99% 7.50% 7.95% 8.36% 8.70% 8.99% 9.22%26 ZURICH FINANCIAL ZURN VX Equity Spot price: 167.5 Ex-Div Date: 04.04.2012 Div Yield: 7.40% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.39% 3.11% 6.14% 8.85% 12.01% 15.32% 6 Months 0.46% 1.63% 2.94% 4.42% 6.08% 7.81% 9.54% 11.34% 13.07% 9 Months 4.26% 5.35% 6.55% 8.06% 9.82% 11.62% 13.23% 14.77% 16.06%MATURITY 12 Months 4.53% 5.43% 6.39% 7.62% 9.05% 10.46% 11.63% 12.73% 13.57% 15 Months 4.49% 5.36% 6.23% 7.29% 8.46% 9.58% 10.49% 11.30% 11.91% 18 Months 4.45% 5.29% 6.09% 7.01% 8.00% 8.92% 9.64% 10.27% 10.73% 21 Months 6.02% 7.02% 7.94% 8.90% 9.86% 10.72% 11.40% 11.95% 12.37% 24 Months 5.82% 6.77% 7.61% 8.44% 9.24% 9.94% 10.50% 10.94% 11.28% 27 Months 5.60% 6.46% 7.21% 7.93% 8.61% 9.22% 9.69% 10.04% 10.35% 30 Months 5.42% 6.20% 6.87% 7.50% 8.09% 8.61% 9.02% 9.32% 9.60% 4
  5. 5. 06.09.2011 BARRIER REVERSE CONVERTIBLE - CONTINUOUS OBSERVATION % Coupon Per Annum with 2% Margin - LIBOR CHF Flat Funding 1 ABB LTD-REG ABBN VX Equity Spot price: 16.09 Ex-Div Date: 03.05.2012 Div Yield: 3.43% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 1.45% 4.17% 7.51% 11.33% 15.33% 18.95% 6 Months 1.22% 2.46% 3.98% 5.80% 7.88% 10.08% 12.25% 14.15% 15.59% 9 Months 3.17% 4.62% 6.31% 8.18% 10.15% 12.08% 13.81% 15.19% 15.96%MATURITY 12 Months 4.25% 5.63% 7.12% 8.67% 10.16% 11.49% 12.57% 13.16% 13.52% 15 Months 4.83% 6.10% 7.40% 8.66% 9.80% 10.76% 11.41% 11.77% 11.99% 18 Months 5.28% 6.41% 7.53% 8.56% 9.45% 10.16% 10.57% 10.82% 10.98% 21 Months 5.71% 6.76% 7.75% 8.65% 9.40% 9.98% 10.37% 10.57% 10.69% 24 Months 5.91% 6.84% 7.70% 8.44% 9.03% 9.49% 9.76% 9.91% 10.00% 27 Months 6.05% 6.87% 7.60% 8.22% 8.71% 9.06% 9.28% 9.39% 9.46% 30 Months 6.12% 6.85% 7.48% 7.99% 8.39% 8.68% 8.86% 8.95% 9.00% 2 ACTELION LTD-REG ATLN VX Equity Spot price: 32.15 Ex-Div Date: 07.05.2012 Div Yield: 1.99% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 1.10% 4.74% 8.94% 13.49% 18.11% 22.58% 6 Months 0.81% 2.57% 4.76% 7.31% 10.09% 12.89% 15.46% 17.54% 18.95% 9 Months 3.17% 5.10% 7.29% 9.61% 11.85% 13.84% 15.41% 16.27% 16.77%MATURITY 12 Months 4.79% 6.67% 8.63% 10.49% 12.13% 13.44% 14.27% 14.72% 14.98% 15 Months 5.84% 7.56% 9.22% 10.68% 11.87% 12.76% 13.23% 13.51% 13.67% 18 Months 6.63% 8.14% 9.50% 10.64% 11.52% 12.14% 12.44% 12.63% 12.74% 21 Months 7.31% 8.65% 9.80% 10.73% 11.42% 11.91% 12.15% 12.30% 12.37% 24 Months 7.66% 8.79% 9.73% 10.46% 10.99% 11.34% 11.52% 11.62% 11.67% 27 Months 7.86% 8.82% 9.59% 10.17% 10.58% 10.85% 10.97% 11.05% 11.09% 30 Months 7.94% 8.76% 9.40% 9.87% 10.19% 10.40% 10.50% 10.56% 10.59% 3 ADECCO SA-REG ADEN VX Equity Spot price: 34.03 Ex-Div Date: 21.05.2012 Div Yield: 2.59% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 6 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 9 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%MATURITY 12 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 15 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 18 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 21 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 24 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 27 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 30 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 4 BALOISE HOLDING AG - REG BALN VX Equity Spot price: 67 Ex-Div Date: 25.04.2012 Div Yield: 5.37% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 6 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 9 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%MATURITY 12 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 15 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 18 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 21 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 24 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 27 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 30 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 5 CIE FINANCIERE RICHEMON- CFR VX Equity Spot price: 44.3 Ex-Div Date: 10.09.2012 Div Yield: 0.81% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 1.71% 4.47% 7.89% 11.93% 16.36% 20.74% 24.44% 6 Months 3.88% 5.57% 7.54% 9.72% 12.04% 14.34% 16.43% 18.13% 19.31% 9 Months 5.88% 7.37% 8.94% 10.55% 12.11% 13.51% 14.67% 15.52% 16.07%MATURITY 12 Months 6.96% 8.21% 9.46% 10.66% 11.75% 12.68% 13.40% 13.90% 14.20% 15 Months 7.54% 8.60% 9.61% 10.53% 11.34% 11.99% 12.48% 12.81% 12.98% 18 Months 7.86% 8.73% 9.54% 10.25% 10.85% 11.32% 11.66% 11.88% 12.00% 21 Months 7.99% 8.71% 9.36% 9.92% 10.38% 10.73% 10.98% 11.14% 11.22% 24 Months 7.99% 8.59% 9.13% 9.57% 9.93% 10.20% 10.38% 10.50% 10.56% 27 Months 8.00% 8.51% 8.96% 9.32% 9.61% 9.83% 9.97% 10.07% 10.12% 30 Months 7.93% 8.37% 8.73% 9.03% 9.27% 9.44% 9.55% 9.63% 9.67% 6 CLARIANT AG-REG CLN VX Equity Spot price: 7.38 Ex-Div Date: 28.06.2012 Div Yield: 2.69% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 6 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 9 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%MATURITY 12 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 15 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 18 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 21 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 24 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 27 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 30 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 7 CREDIT SUISSE GROUP AG- CSGN VX Equity Spot price: 20.67 Ex-Div Date: 03.05.2012 Div Yield: 6.19% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 3.95% 6.49% 9.46% 12.84% 16.56% 20.45% 24.26% 27.65% 30.26% 6 Months 6.82% 8.73% 10.82% 13.01% 15.19% 17.25% 19.03% 20.43% 21.47% 9 Months 8.29% 10.26% 12.31% 14.38% 16.33% 18.07% 19.50% 20.52% 21.02%MATURITY 12 Months 8.60% 10.25% 11.88% 13.41% 14.77% 15.88% 16.73% 17.16% 17.42% 15 Months 8.61% 10.00% 11.32% 12.49% 13.47% 14.25% 14.79% 15.06% 15.22% 18 Months 8.61% 9.79% 10.85% 11.77% 12.51% 13.07% 13.45% 13.63% 13.74% 21 Months 8.73% 9.77% 10.69% 11.45% 12.06% 12.51% 12.80% 12.94% 13.03% 24 Months 8.63% 9.50% 10.25% 10.86% 11.32% 11.63% 11.79% 11.89% 11.95% 27 Months 8.52% 9.26% 9.88% 10.37% 10.74% 10.96% 11.09% 11.17% 11.21% 30 Months 8.38% 9.02% 9.53% 9.94% 10.23% 10.40% 10.50% 10.56% 10.60% 5
  6. 6. 06.09.2011 BARRIER REVERSE CONVERTIBLE - CONTINUOUS OBSERVATION % Coupon Per Annum with 2% Margin - LIBOR CHF Flat Funding 8 GIVAUDAN-REG GIVN VX Equity Spot price: 761 Ex-Div Date: 29.03.2012 Div Yield: 2.38% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 1.23% 4.54% 8.36% 6 Months 0.85% 2.07% 3.61% 5.44% 7.41% 9.22% 9 Months 0.25% 0.83% 1.60% 2.62% 3.87% 5.34% 6.93% 8.48% 9.78%MATURITY 12 Months 1.07% 1.67% 2.43% 3.37% 4.46% 5.66% 6.87% 7.96% 8.82% 15 Months 1.47% 2.07% 2.81% 3.67% 4.62% 5.62% 6.57% 7.38% 8.00% 18 Months 1.85% 2.44% 3.13% 3.91% 4.75% 5.58% 6.35% 6.98% 7.51% 21 Months 2.24% 2.87% 3.59% 4.38% 5.20% 6.00% 6.71% 7.30% 7.80% 24 Months 2.46% 3.07% 3.75% 4.47% 5.19% 5.86% 6.45% 6.91% 7.28% 27 Months 2.66% 3.25% 3.88% 4.53% 5.16% 5.74% 6.21% 6.57% 6.86% 30 Months 2.83% 3.38% 3.97% 4.56% 5.11% 5.60% 6.00% 6.29% 6.51% 9 HOLCIM LTD-REG HOLN VX Equity Spot price: 47.65 Ex-Div Date: 10.05.2012 Div Yield: 3.44% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 6 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 9 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%MATURITY 12 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 15 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 18 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 21 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 24 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 27 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 30 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%10 JULIUS BAER GROUP LTD BAER VX Equity Spot price: 30.18 Ex-Div Date: 09.04.2012 Div Yield: 1.86% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 6 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 9 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%MATURITY 12 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 15 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 18 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 21 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 24 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 27 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 30 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%11 LOGITECH INTERNATIONAL- LOGN VX Equity Spot price: 8.35 Ex-Div Date: #N/A N/A Div Yield: 0.00% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 6 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 9 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%MATURITY 12 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 15 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 18 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 21 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 24 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 27 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 30 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%12 LONZA GROUP AG-REG LONN VX Equity Spot price: 50 Ex-Div Date: 09.04.2012 Div Yield: 3.20% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 6 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 9 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%MATURITY 12 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 15 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 18 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 21 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 24 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 27 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 30 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%13 NESTLE SA-REG NESN VX Equity Spot price: 49.55 Ex-Div Date: 18.04.2012 Div Yield: 3.23% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 1.40% 3.97% 6 Months 0.46% 1.25% 2.28% 3.62% 5.28% 7.11% 9 Months 0.23% 0.74% 1.42% 2.33% 3.53% 5.03% 6.79% 8.66% 10.36%MATURITY 12 Months 0.99% 1.56% 2.31% 3.28% 4.45% 5.81% 7.24% 8.56% 9.53% 15 Months 1.40% 2.02% 2.81% 3.77% 4.87% 6.04% 7.17% 8.14% 8.77% 18 Months 1.79% 2.43% 3.23% 4.14% 5.13% 6.12% 7.02% 7.75% 8.24% 21 Months 2.14% 2.82% 3.62% 4.51% 5.42% 6.31% 7.08% 7.68% 8.07% 24 Months 2.40% 3.07% 3.84% 4.65% 5.46% 6.21% 6.83% 7.30% 7.59% 27 Months 2.64% 3.30% 4.02% 4.76% 5.47% 6.10% 6.61% 6.98% 7.21% 30 Months 2.84% 3.47% 4.14% 4.81% 5.44% 5.98% 6.40% 6.70% 6.88%14 NOBEL BIOCARE HOLDING NOBN VX Equity Spot price: 9.42 Ex-Div Date: 29.03.2012 Div Yield: 3.40% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 6 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 9 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%MATURITY 12 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 15 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 18 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 21 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 24 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 27 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 30 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 6
  7. 7. 06.09.2011 BARRIER REVERSE CONVERTIBLE - CONTINUOUS OBSERVATION % Coupon Per Annum with 2% Margin - LIBOR CHF Flat Funding15 ROCHE HOLDING AG- ROG VX Equity Spot price: 140.2 Ex-Div Date: 05.03.2012 Div Yield: 4.05% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.06% 2.36% 5.32% 8.73% 6 Months 0.13% 1.00% 2.19% 3.79% 5.90% 8.48% 11.35% 14.18% 9 Months 0.95% 1.73% 2.75% 4.05% 5.62% 7.40% 9.28% 11.02% 12.40%MATURITY 12 Months 1.90% 2.73% 3.74% 4.95% 6.31% 7.73% 9.08% 10.23% 11.05% 15 Months 2.46% 3.29% 4.27% 5.36% 6.51% 7.64% 8.65% 9.44% 9.97% 18 Months 2.95% 3.75% 4.66% 5.63% 6.60% 7.50% 8.27% 8.84% 9.21% 21 Months 3.36% 4.16% 5.02% 5.90% 6.75% 7.51% 8.13% 8.59% 8.88% 24 Months 3.62% 4.37% 5.14% 5.91% 6.63% 7.25% 7.74% 8.09% 8.31% 27 Months 3.84% 4.53% 5.23% 5.90% 6.50% 7.01% 7.40% 7.67% 7.84% 30 Months 4.00% 4.64% 5.26% 5.84% 6.36% 6.78% 7.09% 7.31% 7.44%16 SGS SA-REG SGSN VX Equity Spot price: 1457 Ex-Div Date: 26.03.2012 Div Yield: 1.98% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 6 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 9 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%MATURITY 12 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 15 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 18 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 21 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 24 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 27 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 30 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%17 SONOVA HOLDING AG-REG SOON VX Equity Spot price: 64.65 Ex-Div Date: 18.06.2012 Div Yield: 1.98% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 2.59% 8.10% 6 Months 1.15% 3.55% 6.47% 9.43% 11.85% 9 Months 0.92% 2.40% 4.29% 6.42% 8.49% 10.22% 11.42%MATURITY 12 Months 0.73% 1.72% 3.06% 4.70% 6.48% 8.22% 9.73% 10.87% 11.59% 15 Months 1.78% 2.93% 4.32% 5.82% 7.29% 8.61% 9.66% 10.40% 10.84% 18 Months 2.74% 3.92% 5.22% 6.52% 7.72% 8.72% 9.47% 9.98% 10.27% 21 Months 3.47% 4.62% 5.80% 6.91% 7.88% 8.65% 9.21% 9.58% 9.80% 24 Months 4.18% 5.29% 6.37% 7.35% 8.17% 8.81% 9.26% 9.55% 9.73% 27 Months 4.66% 5.68% 6.63% 7.45% 8.12% 8.62% 8.97% 9.19% 9.33% 30 Months 5.02% 5.93% 6.76% 7.46% 8.01% 8.42% 8.69% 8.87% 8.98%18 SWATCH GROUP AG/THE-BR UHR VX Equity Spot price: 350.7 Ex-Div Date: 17.05.2012 Div Yield: 1.23% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 1.43% 4.27% 7.75% 11.74% 15.84% 19.47% 6 Months 2.15% 3.52% 5.18% 7.10% 9.22% 11.41% 13.50% 15.28% 16.57% 9 Months 4.14% 5.44% 6.93% 8.52% 10.14% 11.70% 13.10% 14.20% 14.98%MATURITY 12 Months 5.17% 6.36% 7.61% 8.88% 10.09% 11.17% 12.06% 12.72% 13.15% 15 Months 5.65% 6.68% 7.72% 8.72% 9.63% 10.41% 11.02% 11.46% 11.73% 18 Months 5.97% 6.86% 7.73% 8.53% 9.24% 9.82% 10.26% 10.57% 10.79% 21 Months 6.14% 6.90% 7.63% 8.28% 8.84% 9.29% 9.62% 9.86% 10.02% 24 Months 6.24% 6.91% 7.54% 8.08% 8.54% 8.90% 9.17% 9.38% 9.50% 27 Months 6.29% 6.88% 7.41% 7.87% 8.25% 8.54% 8.80% 8.97% 9.06% 30 Months 6.30% 6.82% 7.27% 7.66% 7.98% 8.27% 8.48% 8.61% 8.68%19 SWISS LIFE HOLDING AG- SLHN VX Equity Spot price: 98.4 Ex-Div Date: 27.07.2012 Div Yield: 3.82% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.78% 2.84% 5.38% 8.44% 12.01% 15.96% 20.03% 23.81% 26.83% 6 Months 4.26% 5.92% 7.84% 9.97% 12.22% 14.43% 16.44% 18.05% 19.17% 9 Months 4.79% 6.22% 7.79% 9.44% 11.06% 12.55% 13.81% 14.76% 15.38%MATURITY 12 Months 5.25% 6.55% 7.91% 9.28% 10.57% 11.69% 12.60% 13.25% 13.66% 15 Months 5.57% 6.78% 8.00% 9.17% 10.23% 11.11% 11.78% 12.25% 12.50% 18 Months 5.99% 7.13% 8.24% 9.26% 10.14% 10.85% 11.37% 11.70% 11.86% 21 Months 6.27% 7.32% 8.30% 9.17% 9.90% 10.46% 10.84% 11.03% 11.15% 24 Months 6.47% 7.43% 8.31% 9.05% 9.66% 10.11% 10.34% 10.50% 10.59% 27 Months 6.62% 7.51% 8.29% 8.94% 9.45% 9.82% 10.04% 10.16% 10.23% 30 Months 6.62% 7.44% 8.15% 8.72% 9.17% 9.49% 9.70% 9.84% 9.91%20 SWISS RE AG SREN VX Equity Spot price: 38.99 Ex-Div Date: 19.04.2012 Div Yield: 6.16% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 6 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 9 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%MATURITY 12 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 15 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 18 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 21 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 24 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 27 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 30 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%21 SWISSCOM AG-REG SCMN VX Equity Spot price: 354.7 Ex-Div Date: 27.04.2012 Div Yield: 4.96% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.32% 6 Months 0.62% 1.52% 2.80% 9 Months 0.01% 0.57% 1.40% 2.65% 4.40% 6.55%MATURITY 12 Months 0.23% 0.64% 1.28% 2.21% 3.49% 5.05% 6.65% 15 Months 0.04% 0.24% 0.55% 1.03% 1.74% 2.71% 3.91% 5.21% 6.34% 18 Months 0.34% 0.57% 0.93% 1.45% 2.20% 3.14% 4.21% 5.24% 5.84% 21 Months 0.67% 1.02% 1.55% 2.30% 3.27% 4.41% 5.61% 6.70% 7.43% 24 Months 0.92% 1.34% 1.94% 2.73% 3.69% 4.73% 5.72% 6.53% 6.88% 27 Months 1.18% 1.65% 2.28% 3.07% 3.96% 4.88% 5.70% 6.24% 6.50% 30 Months 1.42% 1.91% 2.56% 3.32% 4.14% 4.93% 5.61% 5.98% 6.18% 7
  8. 8. 06.09.2011 BARRIER REVERSE CONVERTIBLE - CONTINUOUS OBSERVATION % Coupon Per Annum with 2% Margin - LIBOR CHF Flat Funding22 SYNGENTA AG-REG SYNN VX Equity Spot price: 250.4 Ex-Div Date: 23.04.2012 Div Yield: 2.36% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 2.32% 5.36% 8.93% 12.63% 6 Months 0.67% 1.75% 3.10% 4.73% 6.62% 8.66% 10.66% 12.34% 9 Months 1.59% 2.61% 3.87% 5.36% 7.06% 8.87% 10.64% 12.20% 13.39%MATURITY 12 Months 2.59% 3.61% 4.80% 6.13% 7.53% 8.90% 10.12% 11.11% 11.78% 15 Months 3.14% 4.13% 5.23% 6.39% 7.54% 8.60% 9.49% 10.15% 10.58% 18 Months 3.62% 4.55% 5.55% 6.55% 7.49% 8.32% 8.98% 9.45% 9.74% 21 Months 4.03% 4.93% 5.85% 6.74% 7.55% 8.24% 8.78% 9.15% 9.38% 24 Months 4.29% 5.11% 5.93% 6.69% 7.36% 7.91% 8.32% 8.60% 8.76% 27 Months 4.50% 5.25% 5.97% 6.63% 7.19% 7.63% 7.96% 8.17% 8.29% 30 Months 4.65% 5.33% 5.97% 6.54% 7.01% 7.37% 7.63% 7.80% 7.89%23 SYNTHES INC-144A/REGS SYST VX Equity Spot price: 142.1 Ex-Div Date: 29.03.2012 Div Yield: 1.13% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 6 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 9 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%MATURITY 12 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 15 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 18 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 21 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 24 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 27 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 30 Months 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%24 TRANSOCEAN LTD RIGN VX Equity Spot price: 43.46 Ex-Div Date: 21.11.2011 Div Yield: 4.94% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 0.09% 2.78% 5.92% 9.58% 13.73% 18.15% 22.44% 26.00% 6 Months 5.28% 7.26% 9.44% 11.78% 14.17% 16.50% 18.55% 20.18% 21.13% 9 Months 8.24% 10.04% 11.91% 13.78% 15.57% 17.17% 18.47% 19.27% 19.69%MATURITY 12 Months 9.59% 11.06% 12.50% 13.85% 15.05% 16.04% 16.80% 17.32% 17.52% 15 Months 10.08% 11.26% 12.36% 13.34% 14.18% 14.85% 15.34% 15.68% 15.83% 18 Months 10.31% 11.24% 12.09% 12.83% 13.43% 13.90% 14.30% 14.54% 14.61% 21 Months 10.44% 11.21% 11.91% 12.49% 12.97% 13.40% 13.68% 13.83% 13.92% 24 Months 10.31% 10.94% 11.48% 11.93% 12.33% 12.63% 12.81% 12.92% 12.98% 27 Months 10.13% 10.64% 11.07% 11.42% 11.75% 11.96% 12.10% 12.18% 12.23% 30 Months 9.91% 10.33% 10.67% 10.99% 11.22% 11.39% 11.49% 11.55% 11.58%25 UBS AG-REG UBSN VX Equity Spot price: 10.81 Ex-Div Date: 23.04.2012 Div Yield: 0.00% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 8.06% 11.50% 14.88% 18.27% 21.64% 24.95% 28.05% 30.76% 32.96% 6 Months 10.43% 12.32% 14.21% 16.08% 17.88% 19.53% 20.94% 22.04% 22.78% 9 Months 9.86% 11.32% 12.77% 14.16% 15.44% 16.55% 17.44% 18.10% 18.52%MATURITY 12 Months 9.35% 10.54% 11.68% 12.74% 13.66% 14.42% 15.01% 15.41% 15.65% 15 Months 8.94% 9.94% 10.86% 11.68% 12.37% 12.92% 13.32% 13.53% 13.66% 18 Months 8.70% 9.55% 10.31% 10.96% 11.49% 11.89% 12.12% 12.26% 12.35% 21 Months 8.61% 9.36% 10.01% 10.56% 10.99% 11.28% 11.45% 11.56% 11.63% 24 Months 8.42% 9.05% 9.59% 10.03% 10.33% 10.51% 10.63% 10.72% 10.77% 27 Months 8.29% 8.84% 9.30% 9.66% 9.88% 10.03% 10.13% 10.20% 10.24% 30 Months 8.18% 8.66% 9.05% 9.35% 9.53% 9.65% 9.73% 9.79% 9.82%26 ZURICH FINANCIAL ZURN VX Equity Spot price: 167.5 Ex-Div Date: 04.04.2012 Div Yield: 7.40% Barrier Level: 50% 55% 60% 65% 70% 75% 80% 85% 90% 3 Months 2.18% 4.57% 6.86% 9.12% 11.46% 13.97% 16.65% 19.24% 6 Months 5.55% 6.79% 8.01% 9.27% 10.59% 12.00% 13.41% 14.72% 15.80% 9 Months 7.30% 8.46% 9.73% 11.12% 12.60% 14.11% 15.53% 16.76% 17.84%MATURITY 12 Months 7.58% 8.57% 9.64% 10.77% 11.89% 12.95% 13.88% 14.61% 15.18% 15 Months 7.55% 8.42% 9.34% 10.25% 11.12% 11.89% 12.52% 12.99% 13.28% 18 Months 7.51% 8.29% 9.07% 9.82% 10.49% 11.07% 11.53% 11.84% 12.03% 21 Months 8.25% 9.14% 10.03% 10.86% 11.61% 12.25% 12.75% 13.14% 13.39% 24 Months 8.19% 8.97% 9.72% 10.41% 11.00% 11.48% 11.84% 12.08% 12.24% 27 Months 8.06% 8.74% 9.38% 9.94% 10.41% 10.77% 11.03% 11.19% 11.27% 30 Months 7.89% 8.49% 9.03% 9.49% 9.86% 10.14% 10.30% 10.39% 10.45% 8

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