structured products - chameleon asset · basiswert/bonus-zertifikat participation products maximum...

STRUCTURED PRODUCTS

CONTENTS

2

I. Company info

Basic data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

Your contact . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

Organisational diagram . . . . . . . . . . . . . . . . . . 4

Principles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5

II. Structured products

Structured products

Investment selection process . . . . . . . . . . . . 6

Features . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7

Comparison of structured products –

shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8

Purchase and sale criteria . . . . . . . . . . . . . . . . 9

Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .10

Costs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .11

References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .12

Address . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .13

Legal form

Joint-stock corporation

CH-270 .3 .013 .851-8

HR Basel-Stadt

Corporate identification

number (UID): CHE-113 .405 .105

Total paid-up share capital

CHF 400’000 .–:

n 3’000 registered shares

with a nominal value of CHF 100 .00

n 100 bearer stock

with a nominal value of CHF 1’000 .00

Supervisory body/SRO

VQF, Zug member No . 12496

President of the Administrative Board

Alessandro Leo, Abtwil, CEO Sunstone

Vermögen & Treuhand AG, Zug

BASIC DATA YOUR CONTACT

CEO (managing director), portfolio

manager & market analyst with focus on

convertibles and high yield bonds .

Over 15 years of experience in portfolio

management with independent asset

managers before founding Chameleon

Asset Management .

Carlos Zanotelli

BSc Economics

and Business

Administration

COO, portfolio manager & market analyst .

Several years experience in the creation

of investment strategies for institutional

clients at a global asset manager and in

the field “Products & Trade” at a renow-

ned Swiss private bank .

Mauro Bärtsch

Master of Arts HSG

in Banking & Finance

3

I . COMPANY INFO

I . COMPANY INfO

Risk control & compliance (GwG)CEO Carlos Zanotelli

External auditingPwC AG (PricewaterhouseCoopers), Basel

CRM

Advisor

COO Mauro Bärtsch

(Carlos Zanotelli)

Portfolio Management Carlos Zanotelli (Mauro Bärtsch)

Board of directorsAlessandro Leo

ORGANISATIONAL DIAGRAM

CEO: Chief Executive Officer CRM: Client Relationship Manager COO: Chief Operating Officer

Customer-specific mandatesn Individual & mixed asset categories

Special mandates n Convertiblesn High Yield Bonds

4

I . COMPANY INFO

5

PRINCIPLES

n Transparency & ethics

n Investments from a corporate,

strategic perspective

n Information is the basis

of our performance

n Asset performance target:

return on investment above average

and sustainable

n Mandate target:

20 HNWIs at CHF 10 million max

per staff member

n Efficient management of other assets

INFORMATION IS THE BASIS

OF OUR PERFORMANCE

I . COMPANY INFO

II. STRUCTURED PRODUCTS

6

STRUCTURED PRODUCTS INvESTMENT SELECTION PROCESS

Top-Down-Approach

Assessment of macro and microecono-

mic factors, the political environment

and currency and interest trends .

Bottom-Up-Approach

Systematic evaluation of the individual

structured products with a strategic

focus on those with interesting features

with balanced opportunity-risk potential .

Based on fundamental analyses we

focus on share based securities, which

present an upright management or

outstanding products/processes or

which could find themselves in a special

situation such as turnaround or possible

takeover . Furthermore, indices, raw ma-

terials, interest could also form the basis

of a structured product .

We place great emphasis on

n Promising underlying shares

n Possible special situation M&A

n Tax situation of the product

n High sideways yield

n Technical equipment

II . STRUCTURED PRODUCTS

7

fEATURES Bonus certificates

Market expectation

n Sideways moving or slightly increa-

sing underlying value

n Underlying value will not touch

knock-in during the duration

Features

n Unrestricted participation in the

growth of the underlying value

n Fixed bonus payment with sideways

movement up to strike

n Bonus payment protected until

knock-in (partial protection)

n After touching the knock-in, the bo-

nus converts to a tracker certificate

n Renouncing current income in favour

of the strategy

n Low risk than a direct investment due

to the partial protection until knock-in

Discount certificates

Market expectation

n Sideways moving to slightly increa-


n Sinking volatility

Features

n At the time of maturity, if the under-

lying value is under the strike price,

the customer receives the underlying

value with a lower costs price (pos-

sible cash settlement)

n Profit potential is restricted, cap is

maximum reimbursement

n Discount certificates always demons-

trate a discount off the underlying

value (adjusted by the subscription

ratio)

n In line with a writer strategy (option

writer business)

n Lower risk than a direct investment

n Missed profits with a sharply increa-


Reverse Convertible

Market expectation

n Sideways moving to slightly increa-


n Sinking volatility

Features

n If the underlying value is over the stri-

ke price at maturity, the last coupon

is paid back with the capital

n Otherwise, the last coupon is paid

with the underlying value (possible

cash settlement)

n Similar construction as discount cer-

tificates, but pay guaranteed interest

in the form of a coupon

n Coupon payment is in line with the

discount on the discount certificate

n Lower risk than a direct investment

n Missed profits with a sharply increa-


Multi Defender VontiBasiswert

Aktienkurs bei Emission 100 EUR

Barriere 70%=70 EUR

Kurs des Basiswertes

Perf

orm

ance

Bonus-Level 140%=140 EUR

BasiswertBonus-Zertifikat

60%

50%

40%

30%

20%

10%

0%

-10%

-20%

-30%

-40%

-50%50 60 70 80 90 100 110 120 130 140 150 160

Zusatzchanceohne Knock-in

optimiertes Risikobei Knock-in A

usüb

ungs

prei

s

Knoc

k-in

-Pre

is

Cap

Cap

Cap

Strike

Underlyin

g

va

lue

Underlyin

g

va

lue

Underlyin

g

va

lue

Profit

Knock-in

Loss

Profit

Loss

Profit

Loss

0

0

0

Strike

Strike

Cap

Gewinn �Verlust �

Basiswert/Bonus-Zertifikat



Barriere 70%=70 EUR


Perf

orm

ance



60%

50%

40%

30%

20%

10%

0%

-10%

-20%

-30%

-40%

-50%50 60 70 80 90 100 110 120 130 140 150 160



usüb

ungs

prei

s

Knoc

k-in

-Pre

is

Cap

Cap

Cap

Strike

Underlyin

g

va

lue

Underlyin

g

va

lue

Underlyin

g

va

lue

Profit

Knock-in

Loss

Profit

Loss

Profit

Loss

0

0

0

Strike

Strike

Cap





Barriere 70%=70 EUR


Perf

orm

ance



60%

50%

40%

30%

20%

10%

0%

-10%

-20%

-30%

-40%

-50%50 60 70 80 90 100 110 120 130 140 150 160



usüb

ungs

prei

s

Knoc

k-in

-Pre

is

Cap

Cap

Cap

Strike

Underlyin

g

va

lue

Underlyin

g

va

lue

Underlyin

g

va

lue

Profit

Knock-in

Loss

Profit

Loss

Profit

Loss

0

0

0

Strike

Strike

Cap



PARTICIPATION PRODUCTS MAXIMUM YIELD PRODUCTS


8

COMPARISON Of STRUCTURED PRODUCTS – SHARES

Structured products as a happy medium and bridge to achieving your investment targets

Structured product Share

Potential Approx . 7–20% or open open

Partial loss protection Yes, 10 –30% (as barrier or discount) No, full risk

Dividends Contained in product Yes, subject to tax

Duration Normally limited unlimited

The advantages of structured products

n Above-average interest coupon or discount

n 100% reimbursement or delivery of all or one of

the underlying securities (depending on whe-

ther certain established parameters/criteria are

met)

n Performance even with sideways moving stock

markets

n Partial safety net in the form of an indirect dis-

count/partial safety area

DISCOUNTS AND PARTIAL PROTECTION AREAS

AS SAFETY NET


9

PURCHASE AND SALE CRITERIA

Purchase criteria

Terms

n As good as possible relation from ma-

ximum achievable yields and lower

knock-in, barriers etc . (level at which

product changes into a share with the

full risk)

n Bonus or discount in sensible relati-

onship to maximum profit

n Short duration 1 –2 years, maximum

5 years

Sale Criteria

Underlying securities

In the event of a significant deterioration

in the parameters of the underlying value

which the product is based on due to chart-

related or fundamental reasons

Issuer

Deterioration in the debtor quality of the

issuer

Substitution

If new opportunities arise which make a

substitution of another product seem ne-

cessary from a profit/risk point of view .

General

In order to have the pleasure of the full ea-

rning potential, these products are usually

held until maturity .

Underlying securities

n High or stable volatility

n Good chart-technical formation

n Interesting underlying security and

company story/situation

Yields

Target yields 7–15% p .a .

Debtor rating

They must have a good credit standing

so that claims arising from the certificate

can be redeemed .


10

EXAMPLE

Maximum profi t

13 .7% p .a .

Return potential

High return potential

even in sideways trend

Rating

Issuer Sal Oppenheim I .O

Currency

Euro ¤

Duration

1¾ years

Market advantages and opportunities

n Russian Agro Oligarch Melnichenko

invested in Kali & Salz with 6 .75%,

fusion with their Russian EUROCHEM

is possible .

n Kali & Salz Joint Venture partners of

Eurochem BASF, largest shareholder

until now with 11%

n Increasing prices for soft commodi-

ties (cereal, corn etc .) lead to a maxi-

mum exploitation of the land through

artifi cial or natural fertilizers .

n Global agro-boom intensifi ed by

demand from ethanol and foodstuffs

from China and India .

EXAMPLE K+S AG:

POTASSIUM AND SALT PRODUCER


COSTS

Portfolio management mandate

Fixed 1%

Performance bonus 10%

Threshold 5%

Extended simple consultancy mandate

Strategy setup, formulation and hando-

ver to the customer, implementation by

the customer themselves .

Includes co-monitoring and recom-

mendations concerning attractive new

opportunities .

Fixed 1%

Simple consultancy mandate

Strategy setup, formulation and han-

dover to the customer as an Excel file,

implementation by the customer them-

selves .

No long-term monitoring .

CHF 250 .00/hr, or flat fee

Custodian account fees

Negotiable depending on the value

of the custodian account .

Mostly custodian account fee

of 0 .1 to 0 .3% plus discounted

transaction costs/lump-sum .

Custodian banks

General banks

Credit Suisse, UBS

Private banks

Bank Julius Baer & Co .

11

I I . STRUCTURED PRODUCTS

12

REfERENCES

Family Office

Specific basic data on demand

Merchant & custodian bank

Chameleon Asset Management AG

ALfRED SCHWEIZER

Deputy Director

Wealth Management Switzerland

Fiduciaries & Lawyers

Baarerstrasse 14a

CH-6300 Zug

Tel +41 41 727 36 79

Bank Julius Bär & Co . Ltd .

Custodian bank

CHRISTOPH SUTTER

Executive Director

Freie Strasse 107

CH-4001 Basel

Tel +41 58 889 8262


July

201

4

Theaterstrasse 4CH-4051 Basel

Phone +41 (0)61 633 77 77Fax +41 (0)61 633 77 79

www .chameleon-asset .chinfo@chameleon-asset .ch

chameleonasset management ag

Member of the VQFFinancial Services Standards Association (VQF)

structured products - chameleon asset · basiswert/bonus-zertifikat participation products maximum...

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