Mini-Future Certificate on Long/Short Strategy on 2 US Shares Baskets

Transcription

1 Termsheet as of 29/03/2016 Publc Offerng: CH Leverage Products SSPA Product Type: 2299 Mn-Future Certfcate on Long/Short Strategy on 2 US Shares Baskets Fnal Fxng Date 16/12/2016; ssued n USD; lsted on SIX Swss Exchange AG ISIN CH Swss Securty Number SIX Symbol LTQKBN Investors should read the secton Sgnfcant Rsks below as well as the secton Rsk Factors of the relevant Programme. Ths Product s a dervatve nstrument. It does not qualfy as unt of a collectve nvestment scheme pursuant to art. 7 et seqq. of the Swss Federal Act on Collectve Investment Schemes (CISA) and s therefore nether regstered nor supervsed by the Swss Fnancal Market Supervsory Authorty FINMA. Investors do not beneft from the specfc nvestor protecton provded under the CISA. In addton, nvestors are subject to the credt rsk of the Issuer and Guarantor, f any. Ths document s not a prospectus wthn the meanng of artcle 1156 of the Swss Code of Oblgatons (CO). I. PRODUCT DESCRIPTION Market expectaton of the Investor Long Underlyng wll outperform Short Underlyng. Product descrpton The Mn-Future Certfcate on Long/Short Strategy offers the Investor the possblty to partcpate n the upsde performance of the Long Underlyng versus the Short Underlyng. At the Redempton Date the Investor wll receve a Cash Settlement n the Settlement Currency. If the Stop Loss Event, as defned below, has occurred, the Product expres mmedately and s redeemed n accordance wth "Redempton" below. The Terms and Condtons of ths Product have been adjusted due to Corporate Actons. UNDERLYING Long/Short Strategy % + Performance Long Underlyng Performance Short Underlyng Intal Strategy Level % Strke Level 67.00% Stop Loss Level 77.00% LONG UNDERLYING Underlyng Component(s) Related Exchange Bloomberg Tcker Intal Fxng Level Intal Weght (w ) 1 2 CIGNA CORP HUMANA INC CI UN HUM UN USD USD SHORT UNDERLYING Underlyng Component(s) Related Exchange Bloomberg Tcker Intal Fxng Level Intal Weght (w ) 3 4 AETNA INC ANTHEM INCL A AET UN ANTM UN USD USD PRODUCT DETAILS Swss Securty Number ISIN CH SIX Symbol LTQKBN Issue Prce USD Issue Sze 200'000 Certfcate(s) (can be ncreased at any tme) Settlement Currency USD Intal Value of the Certfcate USD Intal Leverage 3.01 DATES Intal Fxng Date Issue Date 23/12/ /01/2016 * levels are expressed n percentage of the Intal Fxng Level Intal Fxng Date 23/12/2015 OVER Frst Exchange Tradng Date 04/01/2016 TRADING Fnal Fxng Date 16/12/2016 Redempton Date 23/12/2016 UK88: 0c89f44d-71f e6e-e5317e66714d

2 Frst Exchange Tradng Date 04/01/2016 Last Tradng Day/Tme 16/12/2016 / Exchange market close Fnal Fxng Date 16/12/2016 (subject to Market Dsrupton Event provsons) Redempton Date 23/12/2016 (subject to Settlement Dsrupton Event provsons) REDEMPTION Unless a Stop Loss Event, as defned below, has occurred, the Investor s enttled to receve from the Issuer on the Redempton Date per Product a Cash Settlement n the Settlement Currency, accordng to the followng formula, as reasonably determned by the Calculaton Agent: Intal Value of the Certfcate x (Fnal Strategy Level Strke Level (n %)) Intal Fxng Level Fnal Fxng Level Fnal Strategy Level An observed prce of the respectve Underlyng Component on the Intal Fxng Date on the Related Exchange, as determned by the Calculaton Agent. Offcal close of the respectve Underlyng Component on the Fnal Fxng Date on the Related Exchange, as determned by the Calculaton Agent. Intal Strategy Level + Performance Long Underlyng - Performance Short Underlyng Performance Long Underlyng Sum of the products of the Fnal Fxng Level of Underlyng dvded by the respectve Intal Fxng Level of Underlyng Component and the respectve Intal Weght (w ) reduced by 100%. 2 1 Fnal Fxng Level w x 100% Intal Fxng Level Where: w : Intal Weght of Underlyng Component Performance Short Underlyng Stop Loss Event Issuer's Termnaton Rght Unwnd Lqudaton Prce Observaton Perod Dvdends Sum of the products of the Fnal Fxng Level dvded by the respectve Intal Fxng Level of Underlyng Component and the respectve Intal Weght (w ) reduced by 100%. 4 3 Fnal Fxng Level w x 100% Intal Fxng Level Where: w : Intal Weght of Underlyng Component If durng the lfetme of the Product the value of the Long/Short Strategy has decreased to at or below the Stop Loss Level, as reasonably determned by the Calculaton Agent, a Stop Loss Event has occurred, and the Product wll be automatcally redeemed for value 5 Busness Days. The Investor wll receve on the relevant Redempton Date a Cash Settlement whch equals the Unwnd Lqudaton Prce. No further payments wll be made. The Issuer may call all Certfcates for Early Redempton wth a 10 Busness Days notce ( the Termnaton Notce ) at any tme by announcement of the exercse of ts Termnaton Rght (the Termnaton Announcement ) on the Payng Agent s webste, notfyng the Fnal Fxng Date and the respectve Redempton Date. The Issuer may exercse the Issuer s Termnaton Rght n case of (but not lmted to) a Dsrupton Event or an Extraordnary Event. A value of the Underlyng wthn three hours durng the Underlyng components Prce tradng hours on the Related Exchange after the Stop Loss Event has occurred, as reasonably determned by the Calculaton Agent. If a Stop Loss Event occurs less than three hours before the end of an Exchange Busness Day, the perod s then extended to the frst two tradng hours of next Exchange Busness Day. 23/12/ /12/2016 Any dvdend payments (net on the Long, gross on the Short Underlyng) n relaton to one of the Underlyngs whch have been receved/pad by the Issuer between the Intal Fxng Date (excludng) and the Fnal Fxng Date (ncludng) wll be reflected by a change of the Intal Strategy. GENERAL INFORMATION Issuer Lead Manager Calculaton Agent Payng Agent Dstrbuton Fees Lstng/Exchange Secondary Market Quotaton Type Settlement Type Mnmum Investment Mnmum Tradng Lot Sellng Restrctons Leonteq Securtes AG, Zurch, Swtzerland (Ratng: n/a, Supervsory Authorty: FINMA) Leonteq Securtes AG, Zurch, Swtzerland Leonteq Securtes AG, Zurch, Swtzerland Leonteq Securtes AG, Zurch, Swtzerland No Dstrbuton Fees SIX Swss Exchange AG; traded on SIX Structured Products Exchange AG Lstng wll be appled for. Daly prce ndcatons wll be avalable from 09:15-17:15 CET on Thomson Reuters [SIX Symbol]=LEOZ or [ISIN]=LEOZ and Bloomberg [ISIN] Corp or on LEOZ. Secondary market prces are quoted n the Settlement Currency, per Product. Cash Settlement 1 Certfcate(s) 1 Certfcate(s) No acton has been or wll be taken to permt a publc offerng of the Products or possesson or dstrbuton of any offerng materal n relaton to the Products n any jursdcton, where such acton for that purpose s requred. Consequently, any offer, sale or delvery of the Products, or dstrbuton or publcaton of any offerng materal relatng to the Products, may only be made n or from any jursdcton n complance wth applcable laws and regulatons not Brandschenkestrasse 90 P.O. Box 1686 CH-8027 Zurch Phone Fax nfo@leonteq.com 2 / 7

3 Clearng Depostory Publc Offerng Form mposng any oblgatons on the Issung Partes or the Lead Manager. Possble lmtatons resultng from legal restrctons wth regard to cross-border communcaton and cross-border busness concernng the Products and related nformaton reman reserved. Most mportant jursdctons where the Products may not be publcly dstrbuted are EEA, UK, Hong Kong and Sngapore. The Products may not be offered or sold wthn the Unted States or to, or for the account or beneft of US persons (as defned n Regulaton S). Detaled nformaton on Sellng Restrctons s publshed n the Programme whch s avalable on SIX SIS Ltd, Euroclear, Clearstream SIX SIS Ltd Swtzerland Governng Law / Jursdcton Swss / Zurch Uncertfcated Securty / Book-entry The defnton Issung Party/Partes as used heren, means the Issuer, as ndcated n secton General Informaton. TAXATION SWITZERLAND Swss Federal Stamp Duty Secondary market transactons are not subject to Swss stamp duty. Swss Federal Income Tax For prvate nvestors wth tax domcle n Swtzerland holdng the Product as part of ther prvate property, gans realsed (for prvate nvestors wth durng the term of the Product and on the Redempton Date qualfy as captal gans and are therefore not subject to tax domcle n Swtzerland) The tax treatment regardng the cantonal and communal ncome taxes can dffer from the tax treatment regardng the the Federal Drect Tax. Federal Drect Tax. But n general the ncome tax treatments are correspondng. Swss Wthholdng Tax EU Savngs Tax The Product s not subject to the Swss wthholdng tax. For Swss payng agents, the Product s not subject to the EU Savngs tax. For Investors resdent n a state wth whom Swtzerland has concluded a blateral agreement on a fnal wthholdng tax (currently n place wth Austra and the Unted Kngdom) and provded the product s held n a custody account wth a qualfyng Swss payng agent (depost bank), any nvestment ncome or realsed captal gans mght be subject to the fnal wthholdng tax as lad out n the respectve blateral agreement. The applcable tax rate depends on the home country of the nvestor and the category of captal ncome or captal gan. The tax nformaton s a non-bndng summary and only provdes a general overvew of the potental tax consequences lnked to ths Product at the tme of ssue. Tax laws and tax nterpretaton may change at any tme, possbly wth retroactve effect. Investors and prospectve Investors are advsed to consult wth ther tax advsers wth respect to the Swss tax consequences of the purchase, ownershp, dsposton, lapse or exercse or redempton of a Product n lght of ther partcular crcumstances. The Issung Partes and the Lead Manager hereby expressly exclude any lablty n respect of any possble tax mplcatons. Updated bondfloor nformaton, f a bondfloor s applcable to the Product (accordng to Product Detals and Taxaton Swtzerland heren), can be found on the followng web page of the Swss Federal Tax Admnstraton (FTA): The Investor must be aware that for tax purposes the value of the bond floor s converted nto Swss Francs (CHF) at ncepton/purchase as well as at sale/redempton of the Product, n case the Product s denomnated n another currency than CHF. Thus, the Investor s exposed to the foregn exchange rsk wth regard to the taxable ncome calculaton. PRODUCT DOCUMENTATION The Indcatve Termsheet ncludes the nformaton requred for a prelmnary smplfed prospectus pursuant to Artcle 5 of the Swss Federal Act on Collectve Investment Schemes ("CISA"). The Termsheet, whch wll be avalable no later than on the Issue Date, as well as the Fnal Termsheet nclude the nformaton requred for a defntve smplfed prospectus pursuant to Artcle 5 CISA. The Termsheet contans a summary of nformaton of the Product and s for nformaton purposes only. Only the Fnal Termsheet together wth the Dervatve Programme of the relevant Issuer vald as per the Intal Fxng Date contanng all further relevant terms and condtons, as such s amended from tme to tme (the "Programme"), shall form the entre and legally bndng documentaton for ths Product ("Product Documentaton"), and accordngly the Fnal Termsheet should always be read together wth the Programme. Defntons used n the Fnal Termsheet, but not defned theren, shall have the meanng gven to them n the Programme. Even though translaton nto other languages mght be avalable, t s only the Fnal Termsheet and Dervatve Programme n Englsh whch are legally bndng. Notces to Investors n connecton wth ths Product shall be valdly gven n accordance wth the terms and condtons of the Programme. In addton, any changes wth regard to the terms and condtons of ths Product wll be publshed on the relevant Termsheet on under the secton Products or, for lsted products, n any other form as permtted by the rules and regulatons of the SIX Swss Exchange Ltd. Notces to Investors relatng to the Issung Partes wll be publshed under the secton About us on and/or on the web page of the respectve Issung Party. Durng the whole term of ths Product, the Product Documentaton can be ordered free of charge from the Lead Manager at Brandschenkestrasse 90, P.O. Box 1686, CH-8027 Zurch (Swtzerland), va telephone (+41-(0) *), fax (+41-(0) ) or va e-mal (termsheet@leonteq.com). Please note that all calls made to numbers marked wth an astersk (*) are recorded. By callng such number, your consent to the recordng s deemed gven. Brandschenkestrasse 90 P.O. Box 1686 CH-8027 Zurch Phone Fax nfo@leonteq.com 3 / 7

4 II. PROSPECTS FOR PROFIT AND LOSS Ths product falls wthn the category Leverage Products. The proft whch an Investor could realze at redempton s unlmted (except for bearsh products) and leveraged whch means that the Investor could receve an amount consderably hgher than orgnally nvested (excludng any transacton or other costs). On the downsde, especally f the product has forfeted any contngent captal protecton (lke e.g. a barrer, strke), the Investor could be exposed to the negatve development of the Underlyng(s) wth a leverage. Ths leverage leads to a consderably hgher loss compared to a drect nvestment and mght lead (even f a stop loss event has occurred) to a partal or even a total loss of the nvestment. It s also possble that the product expres worthless f the Investor s market expectatons do not materalze. Please refer to the sectons Product Descrpton and Redempton for more detaled nformaton on the characterstcs of ths Product. III. SIGNIFICANT RISKS RISK FACTORS RELATING TO THE PRODUCT The downsde rsk of ths product s leveraged; the Investor could lose the total captal nvested, f the Stop Loss Event occurs. ADDITIONAL RISK FACTORS Prospectve Investors should ensure that they fully understand the nature of ths Product and the extent of ther exposure to rsks and they should consder the sutablty of ths Product as an nvestment n the lght of ther own crcumstances and fnancal condton. Products nvolve a hgh degree of rsk, ncludng the potental rsk of exprng worthless. Potental Investors should be prepared n certan crcumstances to sustan a total loss of the captal nvested to purchase ths Product. Prospectve Investors shall consder the followng mportant rsk factors and see the secton "Rsk Factors" of the Programme for detals on all other rsk factors to be consdered. Ths s a structured product nvolvng dervatve components. Investors should make sure that ther advsors have verfed that ths Product s sutable for the portfolo of the nvestor takng nto account the nvestor's fnancal stuaton, nvestment experence and nvestment objectves. The terms and condtons of the Product may be subject to adjustments durng the lfetme of the Product as set out n the Programme. Investors whose usual currency s not the currency n whch the Product s redeemed should be aware of ther possble currency rsk. The value of the Product may not correlate wth the value of the Underlyng(s). Market Rsks The general market performance of securtes s dependent, n partcular, on the development of the captal markets whch, for ther part, are nfluenced by the general global economc stuaton as well as by the economc and poltcal framework condtons n the respectve countres (so-called market rsk). Changes to market prces such as nterest rates, commodty prces or correspondng volatltes may have a negatve effect on the valuaton of the Underlyng(s) or the Product. There s also the rsk of market dsruptons (such as tradng or stock market nterruptons or dscontnuaton of tradng) or other unforeseeable occurrences concernng the respectve Underlyngs and/or ther stock exchanges or markets takng place durng the term or upon maturty of the Products. Such occurrences can have an effect on the tme of redempton and/or on the value of the Products. No dvdend payment Ths Product does not confer any clam to receve rghts and/or payments of the underlyng, such as dvdend payments, unless explctly stated heren, and therefore, wthout prejudce to any coupon or dvdend payments provded for n ths Termsheet, does not yeld any current ncome. Ths means that potental losses n value of the Product cannot be compensated by other ncome. Credt Rsk of Issung Partes Investors bear the credt rsk of the Issung Partes of the Product. The Products consttute unsubordnated and unsecured oblgatons of the relevant Issung Party and rank par passu wth each and all other current and future unsubordnated and unsecured oblgatons of the relevant Issung Party. The nsolvency of an Issung Party may lead to a partal or total loss of the nvested captal. Potental Investors should note that the Issuer s not rated by the credt ratng agences,.e. there s no credt ratng for the Issuer. Secondary Market The Issuer and/or the Lead Manager or any thrd party apponted by the Issuer, as applcable, ntends, under normal market condtons, to provde bd and offer prces for the Products on a regular bass (f specfed n the secton General Informaton ). However, the Issuer and/or the Lead Manager, as applcable, make no frm commtment to provde lqudty by means of bd and offer prces for the Products, and assume no legal oblgaton to quote any such prces or wth respect to the level or determnaton of such prces. In specal market stuatons, where the Issuer and/or the Lead Manager s/are unable to enter nto hedgng transactons, or where such transactons are very dffcult to enter nto, the spread between the bd and offer prces may be temporarly expanded, n order to lmt the economc rsks of the Issuer and/or the Lead Manager. Illqudty Rsk One or, f applcable, more of the Underlyngs mght be or become llqud over the lfe tme of the Product. Illqudty of an Underlyng mght lead to larger bd/offer spreads of the Product and/or to an extended tme perod for buyng and/or sellng the Underlyng respectve to acqure, unwnd or dspose of the hedgng transacton(s) or asset(s) or to realse, recover or remt the proceeds of such hedgng transacton(s) or asset(s) whch mght mplcate a postponed redempton or delvery and/or a modfed redempton amount, as reasonably determned by the Calculaton Agent. ADDITIONAL INFORMATION / DISCLAIMER Prudental Supervson Leonteq Securtes AG, Zurch has a securtes dealers lcence ssued by the FINMA and s under the supervson by the FINMA. Conflct of Interests The Issung Partes and/or the Lead Manager and/or any thrd party apponted by them, as the case may be, may from tme to tme, as prncpal or agent, have postons n, or may buy or sell, or make a market as well as be actve on both sdes of the market at the same tme n any securtes, Brandschenkestrasse 90 P.O. Box 1686 CH-8027 Zurch Phone Fax nfo@leonteq.com 4 / 7

5 currences, fnancal nstruments or other assets underlyng the products to whch ths document relates. The Issuer s and Lead Manager's and/or the apponted thrd party's tradng and/or hedgng actvtes related to ths transacton may have an mpact on the prce of the Underlyng and may affect the lkelhood that any relevant Barrer Level, f any, s reached. Remuneratons to Thrd Partes Dependng on the crcumstances the Issuer and/or Lead Manager may sell ths Product to fnancal nsttutons or ntermedares at a dscount to the Issue Prce or remburse a certan amount to such fnancal nsttutons or ntermedares (reference s made to secton General Informaton heren). In addton, for certan servces rendered by dstrbuton partners and to ncrease qualty and servces relatng to the Products, the Issuer and/or Lead Manager may from tme to tme pay traler fees to such thrd partes. Further nformaton s avalable on request. Payment of a Coupon If the Product stpulates the payment of a Coupon, the Investor s only enttled to receve the respectve coupon payment, f he has purchased/not sold the Product at the latest on the Busness Day precedng the respectve Coupon Ex-Date for the then prevalng prce. No Offer The ndcatve Termsheet s prmarly provded for nformaton purposes and does not consttute a recommendaton, an offer or a solctaton of an offer to buy fnancal products. No Representaton The Issuer, the Lead Manager and any thrd party apponted by them make no representaton or warranty relatng to any nformaton heren whch s derved from ndependent sources. Brandschenkestrasse 90 P.O. Box 1686 CH-8027 Zurch Phone Fax nfo@leonteq.com 5 / 7

6 AMENDMENT 28/12/ Dvdend Renvestment Mn-Future Certfcate on Long/Short Strategy on 2 US Shares Baskets Effectve Date: 28/12/2015 Underlyng: HUMANA INC Dvdend payment of HUMANA INC of USD 0.29 per share. USD of ths amount wll be renvested. The Terms and Condtons have been adjusted as follows: Intal Strategy Level new: % (old: %) 12/01/ Dvdend Renvestment Mn-Future Certfcate on Long/Short Strategy on 2 US Shares Baskets Effectve Date: 12/01/2016 Underlyng: AETNA INC Dvdend payment of AETNA INC of USD per share. USD of ths amount wll be renvested. The Terms and Condtons have been adjusted as follows: Intal Strategy Level new: % (old: %) 08/03/ Dvdend Renvestment Mn-Future Certfcate on Long/Short Strategy on 2 US Shares Baskets Effectve Date: 08/03/2016 Underlyng: ANTHEM INC Dvdend payment of ANTHEM INC of USD per share. USD of ths amount wll be renvested. The Terms and Condtons have been adjusted as follows: Intal Strategy Level new: % (old: %) 09/03/ Dvdend Renvestment Mn-Future Certfcate on Long/Short Strategy on 2 US Shares Baskets Effectve Date: 09/03/2016 Underlyng: CIGNA CORP Dvdend payment of CIGNA CORP of USD per share. USD of ths amount wll be renvested. The Terms and Condtons have been adjusted as follows: Intal Strategy Level new: % (old: %) Brandschenkestrasse 90 P.O. Box 1686 CH-8027 Zurch Phone Fax nfo@leonteq.com 6 / 7

7 FOR DISTRIBUTION IN SWITZERLAND Leonteq Securtes AG Brandschenkestrasse 90, P.O. Box 1686, 8027 Zurch, Swtzerland Phone: , FOR DISTRIBUTION WITHIN THE EUROPEAN ECONOMIC AREA (EEA) Leonteq Securtes (Europe) GmbH Goetheplatz 2, Frankfurt, Germany Phone: BRANCHES Leonteq Securtes (Europe) GmbH Pars Branch 40 Rue la Pérouse Pars, France Phone: +33 (0) Leonteq Securtes (Europe) GmbH London Branch Level 26, The Shard, 32 London Brdge Street, London, SE1 9SG, Unted Kngdom Phone: +44 (0) / 7