LONG Mini-Future on GBP/USD Exchange Rate

LONG Mini-Future
on GBP/USD Exchange Rate
Swiss Security Code 32 902 873
1. Product Description
Product Category/Name
Yield Enhancement/Capped Outperformance Certificate (1240, according to the "Swiss
Derivative Map" provided by the Swiss Structured Products Association)
CISA Notification
This is a Structured Product. It does not constitute a collective investment scheme
within the meaning of the Swiss Federal Act on Collective Investment Schemes
(CISA) and it is not subject to authorisation or supervision by FINMA. The issuer
risk is borne by investors.
Key Elements of the Product
Mini-Futures ermöglichen eine dem Leverage entsprechende überproportionale
Partizipation an der Kursentwicklung des Basiswertes. LONG Mini-Futures profitieren von
steigenden Kursen des Basiswertes. Mini-Futures haben keine feste Laufzeit, verfügen aber
über ein Stop-Loss Level, welches täglich oder periodisch angepasst wird. Bei Erreichen des
Stop-Loss Levels verfällt der Mini-Future unmittelbar und ein allfällig realisierbarer Restwert
wird dem Investor zurückbezahlt. Auf das von der Emittentin zur Verfügung gestellte,
fremdfinanzierte Kapital in der Höhe des Finanzierungslevels, dividiert durch das Ratio, wird
täglich ein Zins, bestehend aus einem Overnight-Zinssatz und einem Finanzierungsspread,
verrechnet.
Issuer
Zürcher Kantonalbank, Zürich
Rating of the Issuer
For issues by Zürcher Kantonalbank: Standard&Poor’s AAA, Moody’s Aaa, Fitch AAA
Lead Manager, Paying Agent,
Excercise Agent and Calculation
Agent
Zürcher Kantonalbank, Zurich
Symbol/Swiss Security Code/ISIN
IGUAGZ/32 902 873/CH0329028739
Underlying
GBP/USD Exchange Rate / GB0031973075 / other Underlying at Initial Fixing
Reference Price of the Underlying USD 1.313
per 1 GBP
Ratio
1:10 resp. 0.10; 1 Mini-Future bezieht sich auf GBP 10
Currency
CHF
Issue Price
CHF 0.86 (USD/CHF 0.9575) (Issue surcharge of CHF 0.03 resp. 3.49%)
Notional Amount
Up to 25 000 000 Mini-Future, with the right to increase
Initial Financing Level
USD 1.22549
Stop-Loss Level at Initial Fixing
USD 1.25000
First Trading Date
22 August 2016
Payment Date
26 August 2016
Duration
Open End
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Initial Financing Spread
2.50%
Maximum Financing Spread
5.00%
Initial Stop-Loss Buffer
Maximum Stop-Loss Buffer
2.00%
15.00%
Rounding of Financing Level
0.00001
Rounding of Stop-Loss Level
0.00001
Observation Period
Kontinuierliche Beobachtung ab Anfangsfixierung.
Jeder Handelstag an der Terminbörse des Basiswertes zwischen der Anfangsfixierung
(inklusive) und dem Bewertungstag (inklusive).
Initial Leverage
14.62 (Reference Price of the Underlying, multiplied with FX rate, divided by Ratio, divided
by Issue Price)
Current Financing Level
Am Ende jedes Anpassungstages findet eine Anpassung des Finanzierungslevels statt. Das
aktuelle Finanzierungslevel wird von der Berechnungsstelle anhand der folgenden Formel
ermittelt:
where:
FLA:
Financing level before adjustment
FLE:
Financing level after adjustment
FS:
r:
n:
Current Financing Spread
Money Market Interest Rate
Anzahl Kalendertage zwischen dem aktuellen Finanzierungstag (exklusive) und
dem nächsten Finanzierungstag (inklusive)
Das Ergebnis der Berechnung wird zum nächsten Vielfachen der Rundung des
Finanzierungslevels aufgerundet.
Adjustment Dates
Every trading day of the Mini-Future
Trading and Exercise Untis
1 Mini-Future/s or a multiple thereof
Money Market Interest Rate
Der von der Berechnungsstelle bestimmte aktuelle Geldmarktzinssatz für Overnight
Deposits in USD (LIBOR) abzüglich des von der Berechnungsstelle bestimmten aktuellen
Geldmarktzinssatzes für Overnight Deposits in GBP (LIBOR).
r = Geldmarktzinssatz Overnight (USD) - Geldmarktzinssatz Overnight (GBP)
Financing Spread
By the Calculation Agent determined Value on each Adjustment Day which is at least zero
and at most equals to the Maximum Financing Spread.
Stop-Loss Event
A Stop-Loss Event occurs, if the price of the Underlying reaches or falls below the current
Stop-Loss Level during the trading hours of the Underlying. In such case the Mini-Futures are
deemed as exercised and expired.
Current Stop-Loss Level
The current Stop-Loss Level will be calculated by the Calculation Agent on each Stop-Loss
Level Fixing Date after adjustment of Financing Level was made, according to the following
formula:
FL * (100% + Stop-Loss Buffer)
where:
FL:
Current Financing Level
The calculation result will be rounded off to the next multiple derived from the rounding off
of the Stop-Loss Level.
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Stop-Loss Level Fixing Dates
Each of the first banking day of the month, each ex-date of the Underlying, as well as in the
Issuer's own discretion, each banking day on which a modification of the Stop-Loss Level is
considered necessary.
Stop-Loss Buffer
The Calculation Agent determines the current Stop-Loss Buffer on each Stop-Loss Level
Fixing Date for the Stop-Loss level between zero and the Maximum Stop-Loss Buffer.
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Stop-Loss Liquidation Price
A determined price by the Paying Agent / Calculation Agent, which results from a value for
the relevant Underlying within a period of one hour during the trading hours of the
Underlying after a Stop-Loss Event. If a Stop-Loss Event occurs less than one hour before the
end of a trading hour, the period is extended to the next trading day. The Stop-Loss
Liquidation Price can differ substantially from the Stop-Loss Level.
Investor Put Option
The investor has the right to request redemption of his Mini-Futures on the first trading day
and each of the following trading days of the Mini-Futures. The exercise notices must be
received by the Exercise Agent not later than 11:00 am CET.
Issuer Call Option
The Issuer has the right to redeem Mini-Futures, which have not been exercised by an
Investor Put Option, at any time, without having to indicate any reason, first time three
months after provisory trade approval at SIX Swiss Exchange.
Early Redemption Date
The trading day, on which a Stop-Loss Event has occurred, the Issuer has exercised the Issuer
Call Option or the Investor has exercised its Investor Put Option. The occurrence of a
Stop-Loss Event prevails over the exercise of the Issuer Call Option and of the Investor Put
Option.
Redemption Amount upon
Pro Mini-Future wird bei Eintritt eines Stop Loss Ereignisses, bei Ausübung durch den
Exercise of the Issuer Call Option, Anleger oder bei Kündigung durch die Emittentin ein gemäss folgender Formel ermittelter
Investor Put Option or Stop-Loss
Betrag in der Referenzwährung ausbezahlt:
Event
MAX (0 ; (Basiswertt - FLt ) / Ratio) * FX t
wobei:
FLt :
FX t :
beträgt
Basiswertt :
Finanzierungslevel am Schlussfixierungstagt
Interbanken-Wechselkurs der Handelswährung des Basiswertes in die
Referenzwährung des Zertifikates am Schlussfixierungstagt . Entspricht die
Handelswährung des Basiswertes der Referenzwährung des Zertifikates,
der Wert 1
Kurs des Basiswertes am Schlussfixierungstagt , welcher sich im Falle einer
Ausübung oder einer Kündigung gemäss dem Bloomberg Fixing (BFIX) um
16:00 Uhr Zürich Time bzw. der aus dem Fixing berechneten Cross-Rate
ermittelt. Falls das Bloomberg Fixing aus irgendwelchen Gründen nicht
verfügbar ist, findet ein von der Berechnungsstelle ermittelter Kurs
Anwendung, welcher sich an den Interbank Spot Rates um 16:00 Uhr Zürich
Time orientiert.
Im Falle eines Stop-Loss Ereignisses entspricht der Kurs des Basiswertes dem
von der Zahl- und Berechnungsstelle bestimmten Stop-Loss Liquidationskurs.
Der Rückzahlungsbetrag wird 5 Handelstage nach dem Schlussfixierungstag ausbezahlt.
Listing
Application to list on the SIX Swiss Exchange will be filed, the provisory first trading day is
22 August 2016
Clearing House
SIX SIS AG
Sales: 044 293 66 65
SIX Telekurs: 85,ZKB
Internet:
www.zkb.ch/strukturierteprodukte
Taxes
xxxxx
Reuters:
Bloomberg:
ZKBSTRUCT
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The information above is a summary only of the Issuer’s understanding of current law and
practice in Switzerland relating to the taxation of Structured Products. The relevant tax law
and practice may change. The Issuer does not assume any liability in connection with the
above information. The tax information only provides a general overview and can not
substitute the personal tax advice to the investor.
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Documentation
This document constitutes the Final Terms in accordance to article 21 of the Additional
Rules for the Listing of Derivatives of the SIX Swiss Exchange. These Final Terms supplement
the Issuance Programme of the Issuer dated 15 April 2015 and published in German in the
currently valid version. These Final Terms and the Issuance Programme constitute the
complete Issuance and Listing Prospectus for this issuance (the 'Listing Prospectus'). Except
as otherwise defined in these Final Terms, capitalised terms used in these Final Terms have
the meaning as defined in the Glossary in the Issuance Programme. In case of discrepancies
between information or the provisions in these Final Terms and those in the Issuance
Programme, the information and provisions in these Final Terms shall prevail. Mini Futures
will be issued as uncertified rights (Wertrechte) and registered as book entry securities
(Bucheffekten) with SIX SIS AG. Investors have no right to require the issuance of any
certificates or proves of evidence for the Structured Products. These Final Terms and the
Issuance Programme can be ordered free of charge at Zürcher Kantonalbank,
Bahnhofstrasse 9, 8001 Zurich, dept. IFSDS or by e-mail at [email protected].
This document is not a prospectus in accordance with articles 652a or 1156 of the Swiss
Code of Obligations.
Information on the Underlying
Information on the performance of the Underlying is publicly available on
www.bloomberg.com.
Notices
Any notice by the Issuer in connection with this series of Derivatives, in particular any notice
in connection with modifications of the terms and conditions will be
validly published on the website
https://zkb-finance.mdgms.com/products/warrants/index.html?LANG=en under the relevant
series of Derivatives. The notices will be published in accordance with the rules issued by the
SIX Swiss Exchange for IBL (Internet Based Listing) on the website
https://www.six-exchange-regulation.com/en/home/publications/official-notices.html
Governing Law/Jurisdiction
Swiss Law/Zurich 1
2. Profit and Loss Expectations at Maturity
Profit and Loss Expectations at
Maturity
LONG Mini-Futures bieten die Möglichkeit, überproportional von einer positiven
Wertentwicklung des Basiswertes zu profitieren. Die Gewinnaussichten sind für LONG
Mini-Futures grundsätzlich unbegrenzt. Das Verlustpotenzial von LONG Mini-Futures ist auf
das eingesetzte Kapital beschränkt.
Mini-Futures sind Derivate, deren Risiko durch die Hebelwirkung entsprechend grösser ist
als das Risiko des zugrunde liegenden Basiswertes.
Bei Eintreten eines Stop-Loss Ereignisses kann der tatsächliche Ausführungskurs der
Glattstellung des Mini-Futures besonders in volatilen Märkten stark vom aktuellen Stop-Loss
Level abweichen, welches nur als Auslöser eines Stop-Loss Ereignisses, nicht aber als
tatsächliche Indikation für den effektiv erzielbaren Rückzahlungsbetrag des Zertifikates zu
betrachten ist.
Sollte bei LONG Mini-Future die Summe aus Geldmarktzinssatz und Finanzierungsspread
hingegen negativ werden, erfolgt selbst bei unverändertem Basiswert eine Wertzunahme
der Mini-Future.
3. Material Risks for Investors
Credit Risk Relating to Issuer
Obligations under these Derivatives constitute direct, unconditional and unsecured
obligations of the Issuer and rank pari passu with other direct, unconditional and unsecured
obligations of the Issuer. The value of the Derivatives does not only depend on the
performance of the Underlying and other developments in the financial markets, but also on
the solvency of the Issuer, which may change during the term of this series of Derivatives.
Specific Product Risks
Mini-Futures beinhalten das Risiko, das anfänglich bezahlte Kapital (Ausgabepreis) gänzlich
zu verlieren. Sie sind nur für erfahrene Anleger gedacht, welche die damit verbundenen
Risiken verstehen und zu tragen fähig sind.
Mini-Futures bringen keine laufenden Erträge; sie verlieren in der Regel an Wert, wenn es bei
LONG Mini-Futures nicht zu einem Kursanstieg des Basiswertes kommt oder der Kurs des
Basiswertes konstant bleibt.
Mini-Futures sind Anlageprodukte, deren Risiko durch die Hebelwirkung entsprechend
grösser ist als bei einer Direktanlage in den Basiswert.
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4. Additonal Terms
Modifications
If an Extraordinary Event as described in Section IV of the Issuance Programme occurs in
relation to the Underlying / a component of the Underlying or if any other extraordinary
event (force majeure) occurs, which makes it impossible or particularly cumbersome for the
Issuer, to fulfil its obligations under the Derivatives or to calculate the value of the
Derivatives, the Issuer shall at its free discretion take all the necessary actions and, if
necessary may modify the terms and conditions of these Derivatives at its free discretion in
such way, that the economic value of the Derivatives after occurrence of the extraordinary
event corresponds, to the extent possible, to the economic value of the Derivatives prior to
the occurrence of the extraordinary event. Specific modification rules for certain types of
Underlying stated in Section IV of the Issuance Programme shall prevail. If the Issuer
determines, for whatever reason, that a adequate modification is not possible, the Issuer has
the right to redeem the Derivatives early.
Market Disruptions
If, due to the occurrence of a Market Disruption in relation to the Underlying / a component
of the Underlying no market price can be determined, the Issuer or the Calculation Agent
shall determine the market price of the Underlying / the component of the Underlying at its
free discretion, considering the general market conditions and the last market price of
relevant Underlying / component of the Underlying affected by the Market Disruption and
has the right, if the Market Disruption persists on the Redemption Date, to postpone the
Redemption Date to the first Banking Day on which the Market Disruption has terminated.
The specific provisions in Section IV.A.c) of the Issuance Programme shall prevail.
This provision shall apply accordingly for the determination of the value of the Derivative, if
its Underlying / a component of the Underlying is affected by a Market Disruption.
Selling Restrictions
The selling restrictions contained in the Issuance Programme are applicable (EEA, U.S.A./U.S.
persons, United Kingdom, Guernsey). In particular must this publication and the
information contained within not be distributed and / or redistributed, used or relied upon,
by any person (whether individual or entity) who may be a US person under Regulation S
under the US Securities Act of 1933. US persons include any US resident; any corporation,
company, partnership or other entity organized under any law of the United States; and
other categories set out in Regulation S.
The Issuer has not undertaken any actions to permit the public offering of the Derivatives or
the possession or the distribution of any document produced in connection with the
issuance of the Derivatives in any jurisdiction other than Switzerland. The distribution of
these Final Terms or other documents produced in connection with the issuance of the
Derivatives and the offering, sale and delivery of the Derivatives in certain jurisdictions may
be restricted by law. Persons, which have received these Final Terms or any other documents
produced in connection with the issuance of the Derivatives, such as the Issuance
Programme, Term Sheets, marketing or other selling material, are required by the Issuer to
inform themselves about and to observe any such restrictions.
Prudential Supervision
Zürcher Kantonalbank is a bank according to the Swiss Federal Act on Banks and Saving
Institutions (BankG; SR 952.0) and a securities dealer according to the Swiss Federal Act on
Securities Exchanges and Securities Trading (BEHG; SR 954.1) and subject to the prudential
supervision of the FINMA, Laupenstrasse 27, CH-3003 Bern, http://www.finma.ch. Zürcher
Kantonalbank Finance (Guernsey) Limited is not subject to any direct prudential supervision
neither in Guernsey nor in Switzerland, but is a fully owned and fully consolidated subsidiary
of Zürcher Kantonalbank.
Recording of Telephone
Conversations
Investors are reminded, that telephone conversations with trading or sales units of the
Zürcher Kantonalbank are recorded. Investors, who have telephone conversations with
these units consent tacitly to the recording.
Zürich, 19. August 2016
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