UBS Project Presentation

UBS Evergreen Investment PlanQiping Zhang, Peiyi Li, Ziyi Zhu

General Terms

Issuer United Bank of Switzerland

Denomination AUD 250,000

Notional Amount AUD 100,000,000

Number of Notes 400 Notes

Issue Date 20 April 2016

Maturity Date 19 April 2021

Issue Price 100%

Interest Reset Period Annually

Interest Payment Dates 20 April in each year

Reference Rate Swap Rate of Australia

Principal 100%

Coupon (3+1)*Reference Rate - 3*2.31%

Australian Dollar Floating Rate Notes

Summary of indicative terms and conditions as of 8 April

2016

Prospects : AUD –Linked Leveraged FRN

Australia Economy Forecast

Historical Australia Interest Rate

FRN will gain!

Stable growth

Interest rate expected to

increase

Inflation expected to

increase

Interest Rate FRN 6.000% 17.061%

5.500% 15.061%

5.000% 13.061%

4.500% 11.061%

4.000% 9.061%

Forecast 3.500% 7.061%

⍟ Breakeven 2.269% 2.137%

Current 2.000% 1.061%

Floor 1.730% 0.000%

1.500% 0.000%

1.000% 0.000%

0.500% 0.000%

Risk-Return Analysis: AUD –Linked Leveraged FRN

0

17.06%

1.73%

FRN

Zero Rate

2.14%

⍟When the interest rate > 2.269%, the annualized return is 2.137%, which is equal to Australian 5-year swap rate.

General Terms


Denomination ZAR 250,000

Notional Amount ZAR 100,000,000




Issue Price 100%

Interest Reset Period Annually

Interest Payment Dates 20 April in each year

Reference Rate Swap Rate of South Africa

Principal 100%

Coupon (2+1)*7.99%-2*Reference Rate

South Africa Rand Leveraged Inverse

Floating Rate Notes


2016

Weak economy outlook• Expected to recover gradually

Inflation pressure

• Expected to drop

Prospects : ZAR –Linked Inverse FRN

2017 Inflation ForecastGrowth Forecast

Inverse FRN mitigate interest rate risk

　 Swap Rate Inverse FRN

　 12.489% 0.000%

Cap 11.989% 0.000%

　 10.042% 3.893%

　 9.542% 4.893%

　 9.042% 5.893%

　 8.542% 6.893%

　 8.042% 7.893%⍟ Breakeven　 7.864% 8.250%

Current 7.542% 8.893%

　 7.042% 9.893%

Forecast　 6.542% 10.893%

　 6.042% 11.893%

　 5.542% 12.893%

Risk-Return Analysis: ZAR –Linked Inverse FRN

0

23.53%

11.989%

Inverse FRN

Zero Rate

8.25%

⍟When the swap rate = 7.864%, the annualized return is 8.25%, which is equal to South Africa 5-year swap rate.

CNY 100% Capital Protected

SSE Composite Index -Linked Note

General Terms


Denomination CNY 250,000 per Note

Notional Amount CNY 100,000,000


Issue Price 100% of the Notional Amount



Underlying Index ShangHai Stock Exchange Composite Index

Index Initial Level 3,023.65

Index Final Level Closing Level of the Index on Maturity Date

Option Type Digital Call Option

Strike Level 2,675.64

Final Redemption 100%+30%, if SCIT ≥2675.64 on Maturity Date

Min Redemption 100%


2016

* SCIT = Closing Level of SSE Composite Index on Maturity Date

Exports Expansion

Moderate GDP

Growth

Economy Transition

BONUS GET!!!

Prospects :SSE Index -Linked Note

Index Chg% Principal Return

3600.00 19.06% 130% 30%

3500.00 15.75% 130% 30%

3400.00 12.447% 130% 30%

3300.00 9.140% 130% 30%

3200.00 5.832% 130% 30%

3100.00 2.525% 130% 30%

Current 3023.65 0.000% 130% 30%

2900.00 -4.089% 130% 30%

2800.00 -7.397% 130% 30%

⍟Win 2675.64 -11.51% 130% 30%

2600.00 -14.01% 100% 0%

2500.00 -17.32% 100% 0%

2400.00 -20.63% 100% 0%

Risk-Return Analysis: SSE Index -Linked Note

100%

130%

2675.6

Principal

Index3023.7

⍟As long as the SSE index >2675.64, our product offers 30% bonus. If the index decreases, we provide 100% protection.

USD 100% Capital Protected

USDCHF–Linked Note

General Terms


Denomination USD 200,000 per Note

Notional Amount USD 100,000,000





Underlying Currency Exchange Rate of Swiss Franc against US Dollar

Initial Rate 1.049, USDCHF Spot Rate

Final RateSpot Rate Observed through Trades at 10 a.m., New York City Time at Maturity Date

Option Type Up–and–Out Call Spread

Barrier Level 1.300

Final Redemption100% + {Max(XT-0.921 , 0)/0.921 - Max(XT-1.2 , 0)/0.921}

Min Redemption 100%


2016

Prospects :USDCHF –Linked Note

Inflation Rate Comparison

US Increasing Interest Rate

Demand of a Safe Haven

　 USD/CHF Chg% Principal Return

　 1.300 23.97% 130.25% 5.43%

　 1.289 22.89% 130.25% 5.43%

　 1.249 19.07% 130.25% 5.43%

　 1.209 15.26% 130.25% 5.43%

　 1.169 11.44% 126.84% 4.87%

　 1.129 7.63% 122.50% 4.14%

　 1.089 3.81% 118.16% 3.39%

Current 1.049 0.00% 113.81% 2.62%

　 1.009 -3.81% 109.47% 1.83%

⍟Breakeven 0.976 -6.97% 105.88% 1.15%

　 0.969 -7.63% 105.13% 1.01%

　 0.929 -11.44% 100.79% 0.16%

　 0.921 -12.17% 100.00% 0.00%

Risk-Return Analysis: USDCHF –Linked Note

100%

130%

0.921

Principal

FX Rate

106%

1.200 1.300

⍟When the USD/CHF > 0.976, the annualized return is 1.15%, which is equal to US 5-year swap rate.

RUB 100% Capital Protected

DAX-Linked Note

General Terms


Denomination RUB 250,000 per Note

Notional Amount RUB 100,000,000





Underlying Index Deutsche Boerse AG German Stock Index

Index Initial Level 9,761.47

Index Final Level Closing Level of the Index on Maturity Date

Option Type Quanto Call Option

Strike Level 6166.6

Final Redemption 100%+ Max(0,DAX-6166.6)/6166.6

Min Redemption 100%


2016

Prospects :DAX –Linked Note

Russian swap rate is high

DAX has a moderate performance

Risk-Return Analysis: DAX –Linked Note

100%

211%

6166.6

Principal

Index

162%

　 DAX Chg% Principal Return

　 13278.84 36.03% 215.34% 16.58%

12992.52 33.10% 210.69% 16.07%

　 12071.67 23.67% 195.76% 14.38%

　 11811.38 21.00% 191.54% 13.88%

　 10974.25 12.42% 177.96% 12.22%

　 10737.62 10.00% 174.13% 11.73%

⍟Breakeven 9976.59 2.20% 161.78% 10.10%

Current 9761.47 0.00% 158.30% 9.62%

　 8785.32 -10.00% 142.47% 7.34%

　 7906.79 -19.00% 128.22% 5.10%

　 7116.11 -27.10% 115.40% 2.91%

　 6404.50 -34.39% 103.86% 0.76%

　 6166.60 -36.83% 100.00% 0.00%

5764.05 -40.95% 100% 0.00%

⍟When the DAX increases by 2.20% to 9976.59, the annualized return is 10.10%, which is equal to Russian 5-year swap rate.

BRL 80% Capital Protected

PFE -Linked Note (Quanto Adjusted)

General Terms


Denomination BRL 250,000 per Note

Notional Amount BRL 100,000,000


Issue Price 100%



Underlying Stock Pfizer Inc. (PFE)

Initial Price 32.00

Final Price Closing Price of the Stock on Maturity Date

Option Type Fixed Lookback Call

Strike Level 30.62

Final Redemption 80%+ 3*Max(PFEmax-30.62,0)/30.62

Min Redemption 80%


2016

Prospects : PFE –Linked Note

High dividend yield and low volatility

Structure Renovation

Deep pipeline andcost-cutting initiatives

Risk-Return Analysis: PFE –Linked Note

80%

130%

32.8

Principal

Smax

100%

103%

　 Max Price Chg% Principal Bonus

　 47.131 47.29% 241.70% 141.70%

　 45.319 41.62% 223.94% 123.94%

　 43.575 36.17% 206.87% 106.87%

　 41.900 30.94% 190.45% 90.45%

　 40.288 25.90% 174.66% 74.66%

　 38.206 19.39% 154.26% 54.26%

　 37.368 16.78% 146.06% 46.06%

　 34.611 8.16% 119.05% 19.05%

⍟Win 32.978 3.06% 103.06% 3.06%

Current 32.000 0.00% 93.47% -6.53%

30.720 -4.00% 80.93% -19.07%

　 29.491 -7.84% 80.00% -20.00%

28.312 -11.53% 80.00% -20.00%

⍟During the investment period, as long as Pfizer price is higher that 32.978, our product will outperform the stock.

Thank you! ( ' ' )●◡●Q&A

Vanilla Bond

Maturity 5

Settlement 04/09/16

Maturity 04/08/21

Frequency 1

Swap 2.1375%

Subsidy 0.15%

Subsidy 0.704%

Leverage 3

FIX 2.31%

Value FIX 2.47%

Floor 1.73%

Cost Floor 0.7669%

Profit 1.00%

Appendix: Leveraged FRN on Australian Dollar

Vanilla Bond

Maturity 5

Settlement 04/12/16

Maturity 04/11/21

Frequency 1

Swap 8.250%

Subsidy 0.15%

Subsidy 0.59%

Leverage 2

FIX 7.99%

Value FIX 3.07%

Cap 11.99%

Cost Cap 1.4706%

Profit 1.0000%

Appendix: Leveraged Inverse FRN on South Africa Rand

Appendix: CNY 100% Capital Protected SSE Composite Index-Linked Note

Profit Margin

Bond 88.01%

Option 10.99%

Cost 99.00%

Profit 1.00%

Digital Option

Index 3023.65

Strike 2675.64

Bonus 30.0%

Term 5

Rate 2.87%

Vol 35.83%

Dividend Yield 2.02%

Digital Call 0.366

Cost 10.99%

Vanilla Bond

Maturity 5

Settlement 04/12/16

Maturity 04/11/21

Coupon 0.00%

Principal 100.00%

Freq 1

Swap 2.75%

Subsidy 0.15%

Cost 88.01%

Appendix: USD 100% Capital Protected USDCHF –Linked Note

Vanilla Bond

Maturity 5

Settlement 04/09/16

Maturity 04/08/21

Coupon 0.00%

Principal 100.00%

Freq 1

Swap 1.15%

Subsidy 0.15%

Cost 95.18%

Barrier Option

FX 1.049

Strike 0.921

Barrier 1.300

Term 5

Rate 1.70%

Bid Vol 11.80%

Dividend Yield -0.36%

Knock-out Call 3.904%

Leverage 1

Strike 1.200

Barrier 1.300

Offer Vol 11.80%

Knock-out Call 0.0794%

Cost 3.825%

Profit Margin

Bond 95.18%

Option 3.82%

Cost 99.00%

Profit 1.00%

Vanilla Bond

Maturity 5

Settlement 04/12/16

Maturity 04/11/21

Coupon 0.00%

Principal 100.00%

Frequency 1

Swap 10.10%

Subsidy 0.15%

Cost 62.39%

Quanto Adjustment

　 RUS DAX

Index 9761.47

Strike 9761.47

Term 5

Volatility 20.42%

FX Volatility 23.56%

Correlation 0.49

Risk-free Rate 9.24% 0.165%

Dividend Yield 9.939% 3.24%

Expt Growth -0.699% -3.075%

Quanto Call

Index 9761.47

Strike 6166.60

Term 5

Rate 9.24%

Dividend Yield 9.94%

Bid Vol 20.42%

Quanto 2257.34

Cost 0.3661

Appendix: RUB 100% Capital Protected DAX Index-Linked Note

Profit Margin

Bond 62.39%

Option 36.61%

Cost 99.00%

Profit 1.00%

Appendix: BRL 80% Capital Protected Pfizer Stock Price-Linked Note

Vanilla Bond

Maturity 3

Settlement 04/12/16

Maturity 04/11/19

Coupon 0.00%

Principal 80.00%

Freq 1

Swap 13.46%

Subsidy 0.15%

Cost 55.13%

Floating Lookback Option

Price 32.00

Strike 30.62

Term 3

Rate 1.70%

Bid Vol 17.44%

Div Yld 15.545%

Lookback Call 4.48

Leverage 3

Cost 43.869%

Profit Margin

Bond 55.13%

Option 44.869%

Cost 99.00%

Profit 1.00%

Quanto Adjustment

BRZ PFE

Index 32

Strike 32

Term 3

FX Volatility 23.073%

Correlation 0.05

Volatility 17.44%

Risk-Free Rate 13.68% 1.700%

Dividend Yield 15.545% 3.75%

Expt Growth -1.865% -2.050%

Documents

UBS Project Presentation