5 Year Volcap Call Certificate on GAM and PIMCO Funds

Transcription

1 Indicaive Terms and Condiions Issuer: Commerzbank AG Raings: Aa3 (Moody s) / A (S&P) Type of Securiy: Type of Offer: Subscripion Period: Cerificae issued under he Scandinavian Noes and Cerificaes programme Public offering in Finland 07 January January 2011 Trade Dae: 9 February 2011 Sar Dae: 9 February 2011 Paymen and 23 February 2011 Issue Dae: Valuaion Dae: 9 February 2016 Redempion The laer of: (1) he Scheduled Redempion Dae, and (2) he Posponed Redempion Dae Dae: Scheduled Redempion Dae: Posponemen of redempion: 23 February 2016 If during he period ha sars on he Valuaion Dae and is coninuing [2] Paymen Business Days prior o he Scheduled Redempion Dae a Disrupion Even occurs or coninues o occur, hen he redempion of he Cerificaes may be posponed o he earlier of (i) [8] Paymen Business Day afer he disconinuance of such Disrupion Even; or (ii) he Cu-off Dae (such earlier dae being he "Posponed Redempion Dae"). Cu-off Dae: Currency: Issue Size: In he case of a posponemen of he redempion of he Cerificaes o he Posponed Redempion Dae, he Cerificaeholders shall no longer be eniled o receive he Redempion Amoun or o any paymen or ineres claim in connecion wih he posponemen of he Redempion Dae. In lieu of he Final Redempion Amoun, he Cerificaeholders shall receive per Cerificae eiher (a) an amoun in he Issue Currency which shall be equal o he Redempion Amoun minus any coss he Issuer has incurred beween he Scheduled Redempion Dae and he Posponed Redempion Dae if he Disrupion Even no longer prevails [8] Paymen Business Day prior o he Cu-off Dae; or (b) an amoun in he Issue Currency which shall be equal o he Redempion Amoun calculaed using he proceeds which he Issuer could realise in connecion wih he Hedging Transacions unil [8] Paymen Business Day prior o he Cuoff Dae minus any coss he Issuer migh have incurred in realising such proceeds if he Disrupion Even sill prevails [8] Paymen Business Day prior o he Cu-off Dae. [8] Paymen Business Day afer he Scheduled Redempion Dae EUR EUR TBD Price per EUR 140 1

2 Cerificae: Minimun Subscripion: Exposure Amoun (EA): Reference Underlying: 1 Cerificae EUR An index (he Index ) comprised of shares/unis (he Shares ) in he Underlying Fund wih weighing calculaed in accordance wih he descripion in he erm shee. The value of he Index (he Index Value ) will be calculaed by he Calculaion Agen Underlying : Fund (i) Fund Name ISIN Bloomberg Ticker 1 GAM Sar plc - China Equiy IE00B1W3WR42 GAMCOAU ID 2 PIMCO Emerging Markes IE PIMEMBI Bond Fund ID Weighing Srike of Fund i (WF) USD TBD 75% USD TBD 25% Calculaion Daes: Averaging Daes: Any day which coincides wih a Fund Business Day for all of he Underlying. If, wih respec o a Calculaion Dae, a Disrupion Even occurs hen he nex Calculaion Dae which does no coincide wih a Disrupion Even shall be deemed o be he respecive Calculaion Dae. Averaging In Daes: (5 Weekly Daes) 9 February February February March March 2011 Averaging Ou Daes: (5 Annual Daes) 9 February February February February February 2016 If any Averaging Dae is no a Calculaion Dae hen he nex following Calculaion Dae shall be he respecive Averaging Dae. Paricipaion (P): 102% 2

3 Redempion Amoun: Index Value: On he Redempion Dae, he Opion Buyer will receive an amoun in EUR in accordance wih he following formula: Index Final EA P Max 0, IndexIniial Index Final : The arihmeic average of he Index Value on he Averaging Ou Daes Index Iniial : The arihmeic average of he Index Value on he Averaging In Daes On he Sar Dae he Index Value is equal o 1.00 and will be calculaed on each subsequen Calculaion Dae in accordance wih he following formula: Index = Index 1+ W Baske Baske Ac, Div 360 Baske Weighing: Index : The Index Value on he hen curren Calculaion Dae () Index : The Index Value wih respec o he 1 immediaely preceding Calculaion Dae W 1 : The Baske Weighing wih respec o he hen immediaely preceding (-1) Calculaion Dae (-1) Baske : The Baske Value wih respec o he hen curren Calculaion Dae () Baske : The Baske Value wih respec o he immediaely preceding Calculaion Dae Ac, 1 : The number of calendar days from, bu excluding, he immediaely preceding (-1) Calculaion Dae (-1) o, and including, he relevan Calculaion Dae (). Div : A synheic dividend yield of [4.00] % The Baske Weighing will be calculaed on he Calculaion Dae immediaely preceding he Sar Dae and each subsequen Calculaion Dae in accordance wih he following formula: p.a. 3

4 W T argevol = Min MaxW, RealisedVol Realised Baske Volailiy: W : The Baske Weighing wih respec o he immediaely preceding Calculaion Dae (-1) MaxW : 130% T arg evol : 16% Re alisedvol 1 : The Realised Baske Volailiy wih respec o he immediaely preceding Calculaion Dae (-1) The Realised Baske Volailiy will be calculaed on he Calculaion Dae immediaely preceding he Sar Dae, and each subsequen Calculaion Dae in accordance wih he following formula: Re alisedvol = 252 n n ( LR k ALR ) k = 1 2 n : 20 Daily Logarihmic Reurn of he Baske: Baske Sar Dae: LR k : The Daily Logarihmic Reurn of he Baske on each Calculaion Dae during he n-day rolling period ALR : The arihmeic average of he daily logarihmic reurns of he Baske during he n-day rolling period wih respec o he immediaely preceding Calculaion Dae (-1) The Daily Logarihmic Reurn of he Baske will be calculaed on each Calculaion Dae following he Baske Sar Dae in accordance wih he following formula: Baske LR = ln Baske n + 2 Calculaion Daes prior o he Sar Dae 4

5 Baske Value: On he Baske Sar Dae he Baske Value is equal o 1.00 and will be calculaed on each Calculaion Dae in accordance wih he following formula: Baske = Baske x 2 i, WFi i= 1 NAV i, NAV WF i : The Weighing of Fund i wihin he Baske NAV i, : The ne asse value per Share ( NAV ) of Fund i wih respec o he relevan Calculaion Dae () NAV i, : The NAV of Fund i wih respec o he immediaely preceding Calculaion Dae (-1) Addiional Terms Disrupion Even: Marke Disrupion Even: Hedging Disrupion Even: Hedge Posiions: Subsiuion Even: Fund Business Days: Marke Disrupion Even or Hedging Disrupion Even A Marke Disrupion Even shall occur if, in he opinion of he Calculaion Agen, he NAV of any Fund is no deermined and published for any reason, which is no oherwise considered o be a Subsiuion Even. A Hedging Disrupion Even shall occur if Commerzbank or any designaed hedging eniy of Commerzbank is (i) unable o unwind or dispose of any ransacions or asses i may have enered ino or purchased in order o hedge he price risk of enering ino or performing is obligaions wih respec o he ransacion, or (ii) unable o realise, recover or remi he proceeds of any such ransacion or asses. Any ransacions or asses Commerzbank or any designaed hedging eniy of Commerzbank may have enered ino or purchased in order o enable Commerzbank o hedge he equiy price risk from enering ino or performing is obligaions wih respec o he ransacion. A Subsiuion Even shall occur if, in he opinion of he Calculaion Agen, any of he evens lised on Annex 1 aached hereo occurs wih respec o a Fund or he Shares of a Fund. Upon he occurrence of a Subsiuion Even he relevan Fund shall be replaced and he calculaion of he Redempion Amoun shall be adjused accordingly, as described in Annex 1. In respec of each Fund, a day on which he NAV of such Fund is deermined and published according o he respecive Offering Documen and subscripion and redempion orders can be received by he Fund. 5

6 Paymen Business Days: Business Day Convenion: Selemen: Calculaion Agen: Secondary Marke: Lising: ISIN: WKN/Series: Common Code: Valoren : TARGET Following Business Day Euroclear Finland Commerzbank AG whose calculaions will be deermined in a commercially reasonable manner and in accordance wih normal marke pracice. Under normal marke condiions, and in he absence of a Disrupion Even or a Subsiuion Even a he ime, Commerzbank shall make a marke on reques. No DE000CZ32ZV4 CZ32ZV / SC252 TBD TBD Bloomberg/Reuers: TBD Conac: FIM Scandi, fimscandi@commerzbank.com, Disclaimer This erm shee has been prepared by Commerzbank Corporaes & Markes, which is he rading and invesmen banking division of Commerzbank Akiengesellschaf ( Commerzbank ). This erm shee is for discussion purposes only, and all maers arising from i will be governed by English law unless expressly agreed oherwise. I should no be consrued as a soliciaion, offer or commimen by Commerzbank or any of is affiliaes o ener ino a ransacion, nor does i aemp o describe all he relevan erms of he ransacion referred o in i. Insead, i is inended o ouline cerain basic poins of business undersanding around which a ransacion could be srucured. Since any erms quoed are indicaive hey are subjec o change a any ime wihou noice. Numerous assumpions have been made in he preparaion of his erm shee and no assurance can be given as o is accuracy and/or compleeness. Any subsequen offer by Commerzbank or any of is affiliaes o ener ino a ransacion will be made on he erms, and will be subjec o he condiions, specified by i. If a ransacion is enered ino, is erms will be found enirely in he final documenaion; his erm shee may no be used o consrue such erms and will be superseded in is enirey by he final documenaion o he exclusion of all prior wrien and oral communicaions. This erm shee should no, herefore, be regarded as conaining any represenaions concerning he conen of such erms or any oher maer. Accordingly neiher Commerzbank nor any of is affiliaes assumes any responsibiliy for he conens of his erm shee, or for any wrien or oral communicaions in connecion wih i (or any prospecive ransacion), regardless of any negligence on heir par. This does no, however, exclude any liabiliy ha may arise under he Financial Services and Markes Ac Recipiens of his erm shee should underake an independen review of he legal, ax, regulaory and accouning implicaions of he ransacion referred o in i in order o deermine he suiabiliy of he ransacion described in his erm shee in he ligh of heir paricular objecives. Commerzbank may have arranged o pay an inroducing fee or oher remuneraion o a hird pary in relaion o his ransacion or service provided o you. Deails of hird pary and amoun paid will be made available on reques by Professional cliens of Commerzbank (Mifid classificaion). Commerzbank (or any affiliae which offers o ener o a ransacion) is solely an arm s lengh conracual counerpary. I is no acing as an adviser or fiduciary, and neiher his erm shee nor any communicaions from i should be reaed as consiuing financial, invesmen or oher advice of any kind, or as a recommendaion o ener ino any ransacion. No employee or agen of Commerzbank or any of is affiliaes has auhoriy o give any advice or (excep as expressly se ou in he final documenaion for any ransacion) make any represenaions on is behalf in connecion wih his erm shee or any prospecive ransacion. Commerzbank and is affiliaes may have maerial ineress ha conflic wih he ineress of he recipien of his erm shee. For example, hey may be dealing as a principal in any invesmens which are he subjec of he ransacion referred o in i and may have a long or shor posiion in connecion wih such dealing. They may also be providing services o oher persons in connecion wih hese invesmens, may be acing as an underwrier in respec of hem and/or may be acing as financial adviser or lending banker o he issuer of hem. In connecion wih hese aciviies, hey may hold maerial informaion bu will be under no obligaion o ake i ino accoun or make i available o any person. 6

7 This documen is no for disribuion o privae cusomers and has been issued or approved for issue in he Unied Kingdom by Commerzbank AG, London Branch, which is auhorised by he Bundesansal für Finanzdiensleisungsaufsich (BaFin) and subjec o limied regulaion by he Financial Services Auhoriy. Deails on he exen of our regulaion by he Financial Services Auhoriy are available from us on reques. The requiremens for a public offer in any member sae of he European Economic Area ("EEA") (he "EEA Member Saes") are no fulfilled. Consequenly, he securiies may no be publicly offered in any of he EEA Member Sae (excep as explicily provided under he prospecus exempion of he EU Direcive 2003/71 (he "EU Direcive") wih respec o iner alia (i) an offer of securiies addressed o solely qualified invesors as defined in he EU Direcive, and/or (ii) an offer of securiies addressed o fewer han 100 naural or legal persons, and/or (iii) an offer of securiies addressed o invesors who acquire securiies for a oal consideraion of EUR 50,000, and/or (iv) an offer of securiies whose denominaion per uni amouns o a leas EUR 50,000 In a counry ouside of he EEA, he Securiies may only be publicly offered, sold or delivered wihin or from he jurisdicion of such counry, provided ha his is in accordance wih he applicable laws and oher legal provisions, and provided furher ha he Issuer does no incur any obligaions. The Issuer has no underaken any seps, nor will he Issuer underake any seps, aimed a making he public offering of he Securiies or heir possession or he markeing of offering documens relaed o he securiies legal in such jurisdicion if his requires special measures o be aken. Unied Saes: This securiy described herein will no be regisered under he U.S. Securiies Ac of 1933 and may no be offered or sold in he Unied Saes absen regisraion or an applicable exempion from regisraion requiremens. Any ransacion by U.S. persons mus be effeced wih Commerzbank Capial Markes Corp. ( CCMC ), a U.S. regisered broker-dealer and a member of NASD and SIPC. The U.S. Federal income ax consequences of cerain invesmens are uncerain as here is no legal auhoriy as o heir proper characerizaion for U.S. Federal income ax purposes. Prospecive invesors should consul heir ax advisors as o he Federal, sae, local and oher ax consequences o he purchase, ownership and disposiion of invesmen producs. 7

8 ANNEX 1 Subsiuion Evens: Definiions The following may each consiue a Subsiuion Even wih respec o his ransacion: 1. The implemenaion of any change o he erms and condiions of any Fund, as deailed in he relevan Offering Documen and as noified in advance by he relevan Adminisraor o holders of Shares, which, in he sole opinion of he Calculaion Agen, is of a maerial naure including bu no limied o such changes as (i) a change in he risk profile of he Fund; (ii) a change in he voing righs associaed wih he Shares; (iii) an aleraion o he invesmen objecives of he Fund; or (iv) a change in he currency in which he Shares are denominaed so ha he NAV is quoed in a differen currency from ha in which i was quoed on he Trade Dae; 2. The breach of he invesmen objecives of any Fund (as defined in he Offering Documen) if such breach is, in he sole opinion of he Calculaion Agen, of a maerial naure; 3. Subscripion and/or redempion fees, or axes or oher similar fees, payable in respec of a purchase or redempion of any Shares are imposed [or increased] afer he Trade Dae, i being acknowledged by he paries ha Commerzbank (or any designaed hedging eniy of Commerzbank) mus be able, a all imes during he erm of his ransacion, o buy and sell Shares a he hen applicable NAV; 4. Any Adminisraor fails for reasons oher han of a echnical or operaional naure, o calculae he relevan NAV for 5 Fund Business Days; 5. The aciviies of any Fund, Invesmen Manager, Cusodian, Adminisraor and/or Execuive Commiee are placed under review by heir regulaors for reasons of wrongdoing, breach of any rule or regulaion or oher similar reason; 6. The compulsory redempion of any Shares by any Fund for any reason a any ime during he erm of he ransacion; 7. The suspension of he issue of addiional Shares or he redempion of exising Shares by any Fund and any such suspension coninues for 5 Fund Business Days; 8. Any Fund is wound up or erminaed for any reason a any ime during he erm of he ransacion; 9. Any Fund is superceded by a successor fund (he Successor ) following a merger or similar even unless, in he sole opinion of he Calculaion Agen, such Successor has similar invesmen objecives o hose of he Fund, is incorporaed in he same jurisdicion as he Fund and is managed and adminisered by one or more individuals who, or corporae eniies which, are repuable and experienced in heir field and saisfy he compliance, due diligence and oher conrol procedures of Commerzbank; 10. The cancellaion of he regisraion, or of he approval, of any Fund, Invesmen Manager, Adminisraor, Cusodian and/or Execuive Commiee by any relevan auhoriy or body; 11. Any Invesmen Manager, Adminisraor, Cusodian and/or Execuive Commiee is replaced by a Fund unless, in he sole opinion of he Calculaion Agen, he relevan replacemen is or more individuals who, or a corporae eniies which, are repuable and experienced in heir field and saisfy he compliance, due diligence and oher conrol procedures of Commerzbank; 12. Commerzbank s holding in any Fund becomes greaer ha 10% of he respecive Fund s Asses Under Managemen. 13. Any oher even which, in he opinion of he Calculaion Agen, has an analogous effec o any of he evens specified in his annex. Subsiuion Even: Procedures If, in he sole opinion of he Commerzbank, a Subsiuion Even has occurred in respec of a Fund, he Calculaion Agen may, bu is no required o, deermine a value for he Shares of he relevan Fund on he basis of Commerzbank s, or any designaed hedging eniy of Commerzbank s, receip of he (final) cash redempion proceeds per Share (he Removal Value ). Commerzbank will use reasonable effors o idenify an alernaive fund in subsiuion for he Fund (a Successor Fund ). The Successor Fund will be a fund wih similar characerisics, invesmen objecives and policies o hose of he Fund immediaely prior o he occurrence of he Subsiuion Even. Wih effec from he Removal Dae, any reference made o he Fund shall be deemed reference o he Successor Fund and all relaed erms shall be amended accordingly. If Commerzbank is unable o idenify a Successor Fund, hen he Shares shall be replaced wih he Removal Value and he Removal Value shall be deemed o be he NAV wih effec from he Removal Dae. In such case, he NAV pos Subsiuion on each Fund Observaion Dae shall be calculaed in accordance wih he following formula: 8

9 NAV - 1 Days 1 + Ineres Rae 360 Ineres Rae means he ineres rae (expressed as a rae per annum on he basis relevan o he paricular currency s ineres rae marke) a which deposis are bid in he currency of he Unis for a enor approximaely equal o he period from and including he immediaely preceding Calculaion Dae (-1) o bu excluding he relevan Calculaion Dae (), excep in he case of he Calculaion Dae immediaely following he Removal Dae when i is equal o he period from and including he Removal Dae o bu excluding he immediaely following Calculaion Dae. If such deposi rae is no available, Commerzbank shall deermine an appropriae rae in good faih and in a commercially reasonable manner. Days means he number of calendar days from and including he immediaely preceding Calculaion Dae (-1) o bu excluding he relevan Calculaion Dae (), excep in he case of he Calculaion Dae immediaely following he Removal Dae when i is equal o he period from and including he Removal Dae o bu excluding he immediaely following Calculaion Dae. Removal Dae means he laes of (1) he day immediaely following he day on which he Removal Value is deermined, (2) wo Fund Business Days following he dae he Successor Fund has been deermined and (3) he Business Day following Commerzbank deciding ha hey are unable o idenify a Successor Fund. For he avoidance of doub he NAV on he Removal Dae is he Removal Value. For he purposes of his Annex 1, he following definiions shall apply: Adminisraor means wih respec o each Fund he eniy specified in he relevan Offering Documen which is responsible for he adminisraion of he Fund and he deerminaion and publicaion of he NAV. Cusodian means wih respec o each Fund he eniy specified in he relevan Offering Documen which is responsible for he cusody of he asses of he Fund. Execuive Commiee means wih respec o each Fund he group of individuals specified in he Offering Documen which is responsible for overseeing he aciviies of he Fund. Invesmen Manager means wih respec o each Fund he eniy specified in he Offering Documen which is responsible for providing invesmen managemen advice o he Fund and/or he Adminisraor and/or he Execuive Commiee. Offering Documen means wih respec o each Fund: Fund Offering Documen 9