Profit

0

Loss

Rebate

Underlyi

ng

Barrier

Strike

Profit

0

LossUnder

lying

Barrier

Strike

RebateRebate

0

Profit

0

LossUnder

lying

Strike

Profit

0

Loss

Coupon

Underlyi

ng

Profit

0

Loss Underlyi

ng

Cap

Strike

Profit

0

Loss

Barrier Cap

Underlyi

ng

Strike

Profit

0

Loss Underlyi

ng

Cap

Strike

Profit

0

Loss

last Observationn. Observation2. Observation1. ObservationBarrier

Underl

ying

Autocall

Profit

0

Loss

last Observationn. Observation2. Observation1. Observation

Underlyi

ng

Autocall

Profit

0

Loss

Barrier Cap

Underlyi

ng

Strike

Profit

0

Loss Underl

ying

Profit

0

Loss Underl

ying

Strike

Profit

0

Barrier

Strike

Underl

ying

Loss

Profit

0

Loss

Barrier

Underl

ying

Strike

Profit

0

Underl

ying

Strike

Barrier

Loss

Profit

0

LossUnd

erlyin

g

CallPut

Strike

Profit

0

LossUnd

erlyin

g

BullBear

Strike

Profit

0

Loss Underl

ying

Knock

-Out

CallKnock-Out Put

Knock-Out

Profit

0

Loss Underl

ying

LongShort

Profit

0

Loss

FinancingLevel

FinancingLevel

Underl

ying

Stop-Loss

Long

Short

Coupon

Rebate

Profit

0

LossUnder

lying

Underlyi

ng

Strike

last Observationn. Observation2. Observation2. Observation1. Observation

CapCapCapCap

Profit

0

Loss

BarrierBarrier CapCap

Underl

ying

Underl

ying

Strike

Profit

0

Loss Underl

ying

Underl

ying

The Swiss Derivative Map does not serve as a decision basis for an investment decision in a fi nancial instrument and does not constitute a recommendation for a fi nancial instrument. The Swiss Structured Products Association SSPA, SIX and Derivative Partners are not liable for any direct or indirect loss or damage arising out of or in connection with the use of the Swiss Derivative Map and the information and statements contained therein. The Swiss Structured Products Association SSPA, SIX and Derivative Partners make no representation that the Swiss Derivative Map and the information and statements contained therein are accurate, complete or understandable. The Swiss Derivative Map and the information and statements contained therein are subject to change without notice.

© Swiss Structured Products Association SSPA, Zurich. Source: www.sspa-association.ch, Version 1.0, January 2020 This publication was prepared in collaboration with SIX and Derivative Partners. The rights to the layout are reserved by the parties mentioned above. The SSPA Swiss DerivativeMap© may not be reprinted or distributed in its present form, either in whole or in part, without the express written permission of the author. Further copies of this publication can be ordered free of charge from www.sspa-association.ch/map .

I NVESTM E NT PRODUCTS

LEVE RAG E PRODUCTS

SSPA SWISS DERIVATIVE MAP 2020 Discover the potential.

Asian Option Uses the average underlying price over a number of predefi ned periods (monthly, quarterly, annually) rather the price at a specifi c time.

Auto-Callable If, on an observation day, the price of the underlying is either on or above (bull), or, on or below (bear) a previously defi ned barrier («autocall trigger»), the product is redeemed prior to maturity.

Bearish The product benefi ts from falling prices.

Callable The issuer has the right to cancel early, however, there is no obligation to do so.

Capped Participation The product has a maximum yield.

Conditional Coupon A scenario exists where the coupon is not repaid (also: coupon at risk).

COSI The issuer of Collateral Secured Instruments provides SIX Swiss Exchange with collateral covering their current value. For the investor this means protection in case of issuer default.

European Barrier Only the last-day closing price is relevant for monitoring the barrier.

Floor Represents the minimum amount which is redeemed at a product’s expiry, independent of the performance of the underlying.

Invers The product performs in inverse proportion to the underlying.

Lock-In If the lock-in level is reached, repayment is at least in a preassigned amount regardless of future development of the underlying price.

Look-back Barrier and/or strike are set with a time delay (Look-back phase).

Partial Capital Protection Capital protection is between 90% and 100% of the nominal value.

Participation Gibt an zu welchem Anteil der Anleger von der Kursentwicklung des Basis-wertes profi tiert. Dies kann 1:1, über- oder unterproportional sein.

Puttable The investor has the right to return the product to the issuer on certain days during the term.

Variable Coupon The coupon amount can vary, depending on a predefi ned scenario.

Additional features

Categorization can be more closely defined as follows:

11 C

AP

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L P

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12 Y

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EN

HA

NC

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T 13

PA

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14 I

NV

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PR

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20

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Capital Protection Certificate with Participation (1100)

Discount Certificate (1200)

Tracker Certificate (1300)

Warrant (2100)

Barrier Capital Protection Certificate (1130)

Barrier Discount Certificate (1210)

Outperformance Certificate (1310)

Spread Warrant (2110)

Capital Protection Certifi cate with Twin Win (1135)

Reverse Convertible (1220)

Bonus Certificate(1320)

Warrant with Knock-Out (2200)

Capital Protection Certificate with Coupon (1140)

Reference Entity Certificate with Yield Enhancement (1420)

Reference Entity Certificate withConditional Capital Protection (1410)

Reference Entity Certificate with Participation (1430)

Barrier ReverseConvertible (1230)

Bonus Outperformance Certificate (1330)

Mini-Future (2210)

Express Certifi cate without Barrier (1255)

Twin Win Certificate(1340)

Constant Leverage Certifi cate (2300)

Express-Barrier-Certifi cate (1260)

Market expectation

n Rising underlyingn Sharply falling underlying possiblen No credit event of the reference entity

Market expectation

n Underlying moving sideways or slightly rising n Falling volatility of the underlyingn No credit event of the reference entity

Market expectation

n Rising underlyingn No credit event of the reference entity

Characteristics

n There are one or more reference entities underlying the product

n In addition to the credit risk of the issuer, redemption is subject to the solvency (non-occurrence of a credit event) of the reference entity

n Redemption is made at least in the amount of conditional capital protection at maturity, provided that no credit event of the reference entity has occurred

n If a credit event occurs at its reference entity during the life time, the product will be redeemed at an amount corresponding to the credit event

Characteristics

n There are one or more reference entities underlying the product

n In addition to credit risk, redemption of the product is subject to the solvency (non-occurrence of a credit event) of the reference entity

n If a credit event occurs at the referen-ce entity during its lifetime, the pro-duct will be redeemed at an amount corresponding to the credit event

n The product value can fall during its lifetime,among other things due to a negative assessment of reference entity creditworthiness

n If the underlying is lower than the exercise price upon maturity, the underlying is delivered and/or a cash settlement is made, provided that no credit event of the reference entity has occurred

Characteristics

n There are one or more reference entities underlying the product

n In addition to credit risk, redemption of the product is subject to the solvency (non-occurrence of a credit event) of the reference entity

n If a credit event occurs at the referen-ce entity during its lifetime, the pro-duct will be redeemed at an amount corresponding to the credit event

n The product value can fall during its lifetime, among other things due to

n The product value can fall below conditional capital protection during its lifetime, among other things due to a negative assessment of reference issuer creditworthiness

n Conditional capital protection only applies to the nominal and not the purchase price

n Participation in performance of the underlying, provided a reference entity credit event has not occurred

n The product allows higher yield at greater risk

n If the underlying is higher than the exercise price upon maturity, the nominal is repaid, provided that no credit event of the reference entity has occurred

n Depending on the characteristics of the product, either a coupon or a discount to the underlying can apply

n A coupon is paid out regardless of the per-formance of the underlying, provided that no credit event of the reference entity has occurred

n In addition, the product can feature a barrier

n With greater risk, multiple underlyings (Worst-of) allow for higher coupons, larger discounts, or lower barriers

n Limited Profi t Potential (cap)n The product allows higher yield at

greater risk

a negative as-sessment of reference entity creditworthiness

n Participation in performance of the underlying, provided a reference entity credit event has not occurred

n In addition, the product can feature a barrier

n The product allows higher yield at greater risk

Market expectation

n Rising underlyingn Rising volatilityn Sharply falling underlying possible

Market expectation

n Rising underlyingn Sharply falling underlying possiblen Underlying is not going to touch or

breach the barrier during product lifetime

Market expectation

n Slightly rising or slightly falling underlyingn Sharp movements of the underlying

possiblen Underlying will not touch or breach

upper or lower barrier during product lifetime

Market expectation

n Rising underlyingn Sharply falling underlying possible

Characteristics

n Minimum redemption at expiry equi-valent to the capital protection

n Capital protection is defined as a per-centage of the nominal (e.g. 100%)

n Capital protection refers to the nominal only, and not to the purchase price

n Value of the product may fall below the capital protection during its lifetime

n Participation in underlying price increase above the strike

n Coupon payment possible

Characteristics

n Minimum redemption at expiry equi-valent to the capital protection

n Capital protection is defined as a per-centage of the nominal (e.g. 100%)

n Capital protection refers to the nominal only, and not to the purchase price

n Value of the product may fall below the capital protection during its lifetime

n Participation in underlying price increase above the strike

n Redemption at expiry equivalent to capital protection if upper barrier is breached

n Possibility of rebate payment once barrier is breached

n Limited profi t opportunity

Characteristics

n Minimum redemption at expiry equi-valent to the capital protection

n Capital protection is defined as a per-centage of the nominal (e.g. 100%)

n Capital protection refers to the nominal only, and not to the purchase price

n Value of the product may fall below the capital protection during its lifetime

n Participation in underlying price increase above the strike

n Redemption at expiry equivalent to capital protection if upper barrier is breached

n Possibility of rebate payment once barrier is breached

n Limited profi t opportunity

Characteristics

n Minimum redemption at expiry equi-valent to the capital protection

n Capital protection is defined as a per-centage of the nominal (e.g. 100%)

n Capital protection refers to the nominal only, and not to the purchase price

n Value of the product may fall below the capital protection during its lifetime

n The coupon amount is dependent on the performance of the underlying

n Periodic coupon payment is expectedn Limited profi t opportunity

Market expectation

n Underlying moving sideways or slightly rising

n Falling volatility

Characteristics

n Participation in performance of the underlying

n Refl ects underlying price moves 1:1 (adjusted by conversion ratio and any related fees)

Characteristics

n Small investment generating a leveraged performance relative to the underlying

n Increased risk of total loss (limited to initial investment)

n Suitable for speculation or hedgingn Daily loss of time value (increases as

product expiry approaches)n Continuous monitoring required

Characteristics

n Small investment generating a leveraged performance relative to the underlying

n Increased risk of total loss (limited to initial investment)

n Daily loss of time value (increases as product expiry approaches)

n Continuous monitoring requiredn Limited profi t potential (cap)

Characteristics

n Small investment generating a leveraged performance relative to the underlying

n Increased risk of total loss (limited to initial investment)

n Suitable for speculation or hedgingn Continuous monitoring requiredn Immediately expires worthless if the

barrier is breached during product lifetime

n Minor infl uence of volatility and marginal loss of time value

Characteristics

n Small investment generating a leveraged performance relative to the underlying

n Increased risk of total loss (limited to initial investment)

n Suitable for speculation or hedgingn Continuous monitoring requiredn A residual value is redeemed following

a Stop-Loss Eventn No infl uence of volatility

Characteristics

n Small investment generating a leveraged performance relative to the underlying

n Increased risk of total loss (limited to initial investment)

n A potential stop loss and/or adjustment mechanism prevents the value of the product from becoming negative

n Frequent shifts in direction of the price of the underlying have a negative effect on the product performance

n Resetting on a regular basis ensures a constant leverage

n Continuous monitoring required

Characteristics

n Participation in performance of the underlying

n Disproportionate participation (out-performance) in positive performance above the strike

n Refl ects underlying price moves 1:1 when below the strike

Characteristics

n Participation in performance of the underlying

n Minimum redemption is equal to the nominal provided the barrier has not been breached

n If the barrier is breached, the product changes into a Tracker Certifi cate

n With greater risk, multiple underlyings (worst-of) allow for a higher bonus level or lower barrier

Characteristics

n Participation in performance of the underlying

n Disproportionate participation (out-performance) in positive performance above the strike

n Minimum redemption is equal to the nominal provided the barrier has not been breached

n If the barrier is breached, the product changes into a Outperformance Certifi cate

n With greater risk, multiple underlyings (worst-of) allow for a higher bonus level or lower barrier

Characteristics

n Participation in performance of the underlying

n Profi ts possible with rising and falling underlying

n Falling underlying price converts into profi t up to the barrier

n Minimum redemption is equal to the nominal provided the barrier has not been breached

n If the barrier is breached, the product changes into a Tracker Certifi cate

n With higher risk levels, multiple under-lyings (worst-of) allow for a higher bonus level or lower barrier

Characteristics

n Contains a discount compared to the underlying value

n Limited profi t opportunity (cap)n If the underlying is above the strike at

maturity or if the barrier has not been touched, the investor receives the maximum redemption amount (cap)

n When touching the barrier, the product becomes a Discount Certifi cate (1200)

n Due to the barrier, the probability of a maximum repayment is higher, but the discount is lower than for a discount certifi cate (1200) with otherwise identical product conditions

n Multiple underlyings (worst-of) enable more attractive product conditions, but with higher risk

Characteristics

n The coupon is being paid regardless of the performance of the underlying

n Limited profi t opportunity (cap)n If the underlying is above the strike

at maturity, the coupon is repaid together with the nominal value

n If the underlying is below the strike at maturity: delivery underlying and/or cash settlement plus coupon

n Multiple underlyings (worst-of) enable more attractive product conditions, but with higher risk

Characteristics

n Contains a discount compared to the underlying value

n Limited profi t opportunity (cap)n If the underlying is above the strike

at maturity, the investor receives the maximum redemption amount (cap)

n If the underlying is below the strike at maturity: delivery underlying and/or cash settlement

n Multiple underlyings (worst-of) enable more attractive product conditions, but with higher risk

Characteristics

n The coupon is being paid regardless of the performance of the underlying instrument

n Limited profi t opportunity (cap)n If the underlying is above the strike at

maturity or if the barrier has not been touched, the investor receives the maximum redemption amount (cap)

n When touching the barrier the product becomes a Reverse Convertible (1220)

n Due to the barrier, the probability of a maximum repayment is higher, but the coupon is lower than for a reverse convertible (1220) with otherwise identical product conditions

n Multiple underlyings (worst of) enable more attractive product conditions, but with higher risk

Characteristics

n Coupon payment depends on conditions

n Limited profi t opportunity (cap) n Usually equipped with an autocall trigger:

If the underlying is quoted above the autocall trigger on the observation date, the nominal amount plus any coupon is repaid early

n Multiple underlyings (worst of) enable more attractive product conditions, but with higher risk

Characteristics

n Coupon payment depends on conditions

n Limited profi t opportunity (cap) n Usually equipped with an autocall trigger:

If the underlying is quoted above the autocall trigger on the observation date, the nominal amount plus any coupon is repaid early

n Touching the barrier results in an under-lying delivery and/or cash settlement

n Due to the barrier, the probability of a maximum repayment is higher, but the conditional coupon is lower than for an Express Certifi cate without barrier (1255) with otherwise identical product conditions

n Multiple underlyings (worst of) enable more attractive product conditions, but with higher risk

Market expectation

n Underlying moving sideways or slightly rising

n Falling volatilityn Underlying will not breach barrier

during product lifetime

Market expectation

n Underlying moving sideways or slightly rising

n Falling volatility

Market expectation

n Underlying moving sideways or slightly rising

n Falling volatilityn Underlying will not breach barrier

during product lifetime

Market expectation

n Underlying moving sideways or slightly rising

n Falling volatility

Market expectation

n Underlying moving sideways or slightly rising

n Falling volatilityn Underlying will not breach barrier

during product lifetime

Market expectation

n Rising underlying

Market expectation

n Warrant (Call): Rising underlying, rising volatility

n Warrant (Put): Falling underlying, rising volatility

Market expectation

n Spread Warrant (Bull): Rising underlyingn Spread Warrant (Bear): Falling

underlying

Market expectation

n Knock-Out (Call): Rising underlyingn Knock-Out (Put): Falling underlying

Market expectation

n Mini-Future (Long): Rising underlyingn Mini-Future (Short): Falling underlying

Market expectation

n Long: Rising underlying n Short: Falling underlying

Market expectation

n Rising underlyingn Rising volatility

Market expectation

n Underlying moving sideways or rising n Underlying will not breach barrier

during product lifetime

Market expectation

n Rising underlyingn Underlying will not breach barrier

during product lifetime

Market expectation

n Underlying moving sideways or risingn Underlying will not breach barrier

during product lifetime