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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-
sing underlying value
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-
sing underlying value
Reverse Convertible
Market expectation
n Sideways moving to slightly increa-
sing underlying value
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-
sing underlying value
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
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
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
PARTICIPATION PRODUCTS MAXIMUM YIELD PRODUCTS
II . STRUCTURED 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
II . STRUCTURED PRODUCTS
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 .
II . STRUCTURED PRODUCTS
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
II . STRUCTURED PRODUCTS
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
II . STRUCTURED PRODUCTS
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