Market Report Structured Products Quarterly Report

Market Report Structured Products Quarterly Report December 2010 Swiss Structured Products Association SSPA Market report SSPA December 2010 Swiss Structured Products Association SSPA www.sspa-association.ch 1

Contents 1. Main points at a glance 1.1 Key figures. 3 1.2 Information of the SSPA. 3 2. Product categorization 2.1 SSPA product categorization.4 3. Securities held in banks client deposits 3.1 Structured products since 2005.. 5 3.2 All categories 6 3.3 All categories in percent. 7 3.4 By client (deposit holders).. 8 4. Structured products at the Scoach exchange 4.1 Turnover 1995 2010. 9 4.2 Turnover in the last 12 months...10 4.3 Number of listed products 1995 2010.. 11 4.4 Number of listed products in the last 12 months.. 12 4.5 New issues 2002 2010 13 4.6 New issues in the last 12 months 14 4.7 Market shares of the five largest issuers.15 5. Appendix 5.1 Abbreviations. 16 5.2 Issued by..16 5.3 Data sources..16 5.4 Disclaimer. 16 Market report SSPA December 2010 Swiss Structured Products Association SSPA www.sspa-association.ch 2

1. Main points at a glance 1.1 Key figures CHF 211.45 bn were invested in structured products in Swiss bank deposits (assets under management) as of the end of October 2010 (most recent data from the Swiss National Bank). Compared with other types of securities this represents 4.77% of all Swiss deposits. Private investors account for a 37.26% share in deposits, institutional investors for 56.13% and commercial clients for 6.60%. The Scoach exchange turnover of structured products in December 2010 was CHF 3.23 bn, which is an decrease of 23.46% compared to the previous month. The category of leverage products holds a share of 56.97% of the total turnover. The share for investment products rose to 43.03%. 30 351 products were listed at the end of December of which 11 420 (37.63%) were issued in the fourth quarter. In December, the five biggest issuers of stock-exchange-listed structured products are Bank Vontobel (market share total: 25.97%), ZKB (20.86%), UBS (10.90%), Bank Julius Bär (9.98%) and Deutsche Bank (9.85%). The share of all other issuers decreased to 22.45%. 1.2 Information of the SSPA A new version of the Swiss Derivative Map is available since October 2010. For more information about product types, footnotes and the Swiss Derivative Map, visit the association website: www.sspaassociation.ch. On this website one can also find information about issuer creditworthiness and the newly launched SVSP Risk Figure (SVSP Risk Rating) which estimates a structured product's market risk on basis of the Value at Risk (VaR) approach. Market report SSPA December 2010 Swiss Structured Products Association SSPA www.sspa-association.ch 3

2. Product categorization 2.1 SSPA product categorization as on 31.12.2010 INVESTMENT PRODUCTS 11 Capital Protection 12 Yield Enhancement 13 Participation 1100 Uncapped Capital Protection 1110 Exchangeable Certificates 1120 Capped Capital Protection 1130 Capital Protection with Knock-Out 1135 Capital Protection with Double Knock-Out 1140 Capital Protection with Coupon 1199 Various Capital Protection 1200 Discount Certificates 1210 Barrier Discount Certificates 1220 Reverse Convertibles 1230 Barrier Reverse Convertibles 1240 Capped Outperformance Certificates 1250 Capped Bonus Certificates 1260 Express Certificates 1299 Various Yield Enhancement 1300 Tracker Certificates 1310 Outperformance Certificates 1320 Bonus Certificates 1330 Outperformance Bonus Certificates 1340 Twin-Win Certificates 1399 Various Participation LEVERAGE PRODUCTS 21 Leverage without Knock-Out 22 Leverage with Knock-Out 2100 Warrants 2200 Knock-Out Warrants 2110 Spread Warrants 2210 Mini-Futures 2199 Various Leverage without Knock-Out 2299 Various Leverage with Knock-Out The Association s product classification comprises five main groups and 22 product types. Use the interactive product finder on the Association website: www.sspa-association.ch (product finder). Classifications are checked monthly and updated if needed. We create new product types when no less than three issuers each issue at least three products of a similar type. Market report SSPA December 2010 Swiss Structured Products Association SSPA www.sspa-association.ch 4

3. Securities held in bank s client deposits 3.1 Structured products since 2005 Figures in CHF bn Figures in % 400 7.5 350 7.0 300 6.5 250 6.0 200 5.5 150 5.0 100 4.5 50 4.0 0 Ø 2005 Ø 2006 Ø 2007 Ø 2008 Ø 2009 Nov 09 Dec 09 Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10 Oct 10 Various / Uncategorized 6.22 6.24 4.77 5.04 4.86 5.28 5.33 3.79 3.96 3.83 3.73 4.06 Leverage 21.30 14.71 14.39 15.74 16.59 16.99 19.11 17.62 16.10 16.50 15.85 16.62 Participation 81.84 79.90 78.74 76.35 74.28 74.92 71.63 66.28 66.92 61.09 63.20 64.11 Yield Enhancement 37.85 38.52 40.40 39.54 40.68 41.52 39.92 38.59 40.56 40.31 42.59 43.30 Capital Protection 84.43 80.78 82.85 84.28 83.84 84.98 85.00 82.00 83.33 82.73 82.36 83.36 Structured Products 181.87 247.15 337.22 298.81 226.84 231.64 220.15 221.15 220.95 220.25 223.69 221.22 208.79 210.87 204.46 207.73 211.45 In % of total assets 4.63 5.37 6.43 6.50 5.61 5.46 5.05 5.07 5.01 4.91 4.94 4.94 4.89 4.88 4.81 4.82 4.77 3.5 Source: SNB Monthly Statistical Bulletin, lastest available figures Market report SSPA December 2010 Swiss Structured Products Association SSPA www.sspa-association.ch 5

3. Securities held in banks client deposits 3.2 All categories Figures in CHF bn Date Total Money Market Bonds Shares Investment Funds Structured Products Other Securities Ø 2005 3'927 58 1'202 1'467 1'012 182 36 Ø 2006 4'598 67 1'203 1'759 1'307 247 15 Ø 2007 5'246 82 1'232 1'990 1'599 337 6 Ø 2008 4'594 115 1'180 1'533 1'465 299 3 Ø 2009 4'040 131 1'205 1'249 1'227 227 2 Oct 09 4'264 137 1'253 1'380 1'264 229 2 Nov 09 4'243 108 1'253 1'386 1'263 232 2 Dec 09 4'357 114 1'266 1'457 1'298 220 2 Jan 10 4'362 113 1'275 1'442 1'309 221 2 Feb 10 4'412 111 1'296 1'458 1'325 221 2 Mar 10 4'487 105 1'282 1'529 1'348 220 2 Apr 10 4'528 106 1'295 1'518 1'384 224 2 May 10 4'474 107 1'308 1'451 1'386 221 2 Jun 10 4'271 104 1'259 1'378 1'319 209 2 Jul 10 4'325 100 1'264 1'425 1'323 211 2 Aug 10 4'248 120 1'243 1'385 1'295 204 2 Sep 10 4'311 109 1'254 1'418 1'320 208 2 Oct 10 4'429 120 1'265 1'474 1'356 211 2 Since January 2010 total securities held increased from CHF 4 362 bn to CHF 4 429 bn in October 2010 (plus CHF 67 bn), which is a non-price-adjusted plus of 1.54%. In this period, the market for structured products decreased from CHF 221.15 bn to CHF 211.45 bn. This is an decrease of 4.39%. Money market papers (+ 6.55%), investment funds (+3.58%) and shares (+2.22%) could profit from increase in deposits since the beginning of the year, whereas structured products (-4.39%) and bonds (-0.72%) declined. Other securities also accounted for major losses (- 10.51%). Source: SNB Monthly Statistical Bulletin, lastest available figures Market report SSPA December 2010 Swiss Structured Products Association SSPA www.sspa-association.ch 6

3. Securities held in banks client deposits 3.3 All categories in percent Figures in % Date Money Market Bonds Shares Investment Funds Structured Products Other Securities Ø 2005 1.48 30.61 37.36 25.76 4.63 0.92 Ø 2006 1.46 26.16 38.25 28.42 5.37 0.33 Ø 2007 1.57 23.49 37.93 30.48 6.43 0.11 Ø 2008 2.51 25.69 33.37 31.88 6.50 0.06 Ø 2009 3.23 29.84 30.90 30.37 5.61 0.05 Oct 09 3.22 29.38 32.36 29.64 5.36 0.05 Nov 09 2.55 29.53 32.66 29.76 5.46 0.04 Dec 09 2.62 29.04 33.44 29.80 5.05 0.04 Jan 10 2.59 29.22 33.06 30.02 5.07 0.04 Feb 10 2.51 29.37 33.04 30.03 5.01 0.04 Mar 10 2.34 28.58 34.09 30.05 4.91 0.04 Apr 10 2.33 28.61 33.51 30.57 4.94 0.04 May 10 2.38 29.23 32.43 30.97 4.94 0.04 Jun 10 2.44 29.47 32.27 30.89 4.89 0.04 Jul 10 2.32 29.24 32.95 30.58 4.88 0.04 Aug 10 2.81 29.25 32.60 30.49 4.81 0.04 Sep 10 2.53 29.10 32.89 30.62 4.82 0.04 Oct 10 2.71 28.57 33.29 30.62 4.77 0.04 In October 2010 4.77% of all client deposits were invested in Structured Products. Compared to the beginning of the year 2010 (5.07%) this is a decline of 5.92%. In all other asset classes there has for the same period been a shift away from structured products (-5.84%) and bonds (-2.23%) whereas investment funds (+2.01%) and shares (+0.67%) remained relatively stable. Increase was first of all noted with money market papers (+4.93%). Source: SNB Monthly Statistical Bulletin, lastest available figures Market report SSPA December 2010 Swiss Structured Products Association SSPA www.sspa-association.ch 7

3. Securities held in banks client deposits 3.4 By client (deposits holders) Figures in CHF bn 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 84 121 173 16 23 31 82 103 133 175 133 131 121 123 122 121 127 127 118 118 115 117 119 21 15 15 15 14 14 14 15 15 14 14 14 14 14 102 78 80 79 80 80 79 82 80 76 79 76 77 79 Since 2008 there has been a constant shift in client deposits. Particularly remarkable was the declining market share of private clients. However, this value is rising again since January 2009 and accounts for 37.26% in October 2010. Whereas the share for institutional investors rose to 56.13%, commercial clients newly account for 6.60%. SSPA estimates that more than half of all Structured Products are placed by investment managers acting on behalf of private investors. Private clients Commercial clients Institutional investors Source: SNB Monthly Statistical Bulletin, lastest available figures Market report SSPA December 2010 Swiss Structured Products Association SSPA www.sspa-association.ch 8

4. Structured products at the Scoach exchange 4.1 Turnover 1995-2010 Figures in CHF bn 100 90 80 70 60 50 40 30 20 10 0 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Various 0.34 0.17 0.75 2.14 0.79 0.13 0.03 0.03 Capital Protection 0.14 0.14 0.50 0.90 3.01 3.60 2.05 2.31 Yield Enhancement 4.82 5.39 6.03 7.80 11.81 8.10 4.27 5.83 Participation 3.10 4.43 6.61 7.73 11.0613.44 9.47 8.16 Leverage 22.6530.8467.9490.4360.9172.0238.3527.1715.3514.9718.3729.4148.7035.0921.2723.40 With a total turnover of CHF 39.73 bn in 2010 on the Scoach exchange there has been a turnaround. The yearly turnover increased for the first time since 2007. Compared to the previous year 2009 turnover increased by CHF 2.64 bn (+7.12%). Measured against the exceptionally strong year 2007 it equates to about half of the turnover (52.72%). Whereas in 2009 all product categories were affected by the decline in turnover there has been increase in the share of yield enhancement products (+36.48%) and capital protection products (+12.99%) this year. Leverage products also rose by 10.01% whereas participation products (-13.85%) were less in demand. Source: SIX Swiss Exchange, Derivative Partners Research AG Market report SSPA December 2010 Swiss Structured Products Association SSPA www.sspa-association.ch 9

4. Structured products at the Scoach exchange 4.2 Turnover in the last 12 months Figures in CHF bn 4.5 4 3.5 3 2.5 2 1.5 1 0.5 Since July the turnover rose constantly and reached a new high with CHF 4.22 bn in November. In December 2010 it declined however to CHF 3.23 bn. Increase in turnover compared to the beginning of 2010 were generated in the categories of capital protection products (+33.67%) and participation products (+10.0%). The share of yield enhancement products (-8.26%) and leverage products (-3.32%) declined however. 0 Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10 Oct 10 Nov 10 Dec 10 Various 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Capital Protection 0.16 0.21 0.20 0.19 0.19 0.17 0.18 0.16 0.17 0.21 0.25 0.21 Yield Enhancement 0.47 0.42 0.55 0.46 0.49 0.37 0.43 0.50 0.56 0.53 0.61 0.43 Participation 0.68 0.69 0.82 0.63 0.82 0.75 0.54 0.55 0.53 0.54 0.85 0.75 Leverage 1.90 1.88 1.96 2.40 2.27 1.58 1.54 1.65 1.84 2.04 2.50 1.84 Source: SIX Swiss Exchange, Derivative Partners Research AG Market report SSPA December 2010 Swiss Structured Products Association SSPA www.sspa-association.ch 10

4. Structured products at the Scoach exchange 4.3 Number of listed products 1995 2010* 35'000 30'000 25'000 20'000 15'000 10'000 With an amount of 30 351 products at the end of 2010 the previous year had been exceeded again, following a constant growth. Compared to 2009 the increase totals 6 827 products (+ 29.02%). 2010 growth took place again in all product categories, whereas yield enhancement products could profit the most (+53.18%). 5'000 0 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Various 397 915 984 824 1'160 2'046 22 69 142 16 0 Capital Protection 275 633 943 996 1'111 Yield Enhancement 1'936 3'258 3'615 3'347 5'127 Participation 1'238 1'828 2'400 2'414 2'574 Leverage 527 433 784 1'095 1'087 2'347 4'075 2'918 2'318 3'343 4'403 7'235 13'013 14'608 16'751 21'539 * Number of listed products at the end of each year Source: SIX Swiss Exchange, Derivative Partners Research AG Market report SSPA December 2010 Swiss Structured Products Association SSPA www.sspa-association.ch 11

4. Structured products at the Scoach exchange 4.4 Number of listed products in the last 12 months 40'000 35'000 30'000 25'000 20'000 15'000 10'000 5'000 0 Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10 Oct 10 Nov 10 Dec 10 Various 29 28 29 27 29 26 0 0 0 0 0 0 Capital Protection 984 1'008 1'036 1'095 1'102 1'101 1'085 1'077 1'078 1'075 1'100 1'111 Yield Enhancement 3'433 3'577 3'934 4'172 4'397 4'456 4'514 4'590 4'721 4'837 4'969 5'127 Participation 2'403 2'451 2'493 2'521 2'497 2'396 2'379 2'385 2'443 2'497 2'534 2'574 Leverage 18'542 20'232 18'683 20'121 20'977 18'758 20'618 21'728 21'115 23'210 25'712 21'539 In the fourth quarter there has been a shift away from leverage products (-7.20%) to investment products. Foremost yield enhancement products (+6.00%) could profit. But also capital protection products (+3.35%) and participation products (+3.08) increased their share. Please note that in March as well as in June, September and December 2010 a large amount of products has been delisted due to scheduled expiration (large expiration at the exchanges). This number was especially high in December 2010. Source: SIX Swiss Exchange, Derivative Partners Research AG Market report SSPA December 2010 Swiss Structured Products Association SSPA www.sspa-association.ch 12

4. Structured products at the Scoach exchange 4.5 New issues 2002 2010 45'000 40'000 35'000 30'000 25'000 20'000 15'000 10'000 5'000 0 2002 2003 2004 2005 2006 2007 2008 2009 2010 Various 7 1 2 1 21 128 119 158 84 Capital Protection 5 11 4 40 209 247 491 302 514 Yield Enhancement 527 361 499 1'020 3'329 3'316 3'967 3'673 5'658 Participation 122 146 197 414 920 865 1'189 636 804 Leverage 2'814 2'837 5'208 6'487 15'919 21'038 27'368 24'984 34'127 2010 topped all previous years with 41 187 new issues. Compared to 2009 it is a plus of 38.43%. Leverage products accounted for the biggest part with 82.86%. Primarily yield enhancement products were issued in the category of investment products with a share of 13.74%. Source: SIX Swiss Exchange, Derivative Partners Research AG Market report SSPA December 2010 Swiss Structured Products Association SSPA www.sspa-association.ch 13

4. Structured products at the Scoach exchange 4.6 New issues in the last 12 months 6'000 5'000 4'000 3'000 Whereas 10 708 products were issued in the third quarter of 2010, the fourth quarter saw an increase of 6.65% to 11 420 products. Compared to the first quarter of the year the rise is even bigger with 21.7%. September 2010 was the most successful month in more than two years. 2'000 1'000 0 Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10 Oct 10 Nov 10 Dec 10 Various 0 13 0 3 1 4 1 1 0 3 1 57 Capital Protection 35 51 52 71 36 38 37 36 35 35 48 40 Yield Enhancement 347 408 587 469 439 421 374 453 560 490 609 501 Participation 70 68 90 46 31 41 58 55 70 97 99 79 Leverage 2'550 2'728 2'385 2'478 2'562 3'035 2'746 2'041 4'241 2'775 3'757 2'829 Source: SIX Swiss Exchange, Derivative Partners Research AG Market report SSPA December 2010 Swiss Structured Products Association SSPA www.sspa-association.ch 14

4. Structured products at the Scoach exchange 4.7 Market shares (turnover) of the five largest issuers Figures in % 100% 80% 60% 40% 20% 0% Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10 Oct 10 Nov 10 Dec 10 Others 18.43 21.78 24.17 22.64 22.28 20.10 24.30 26.46 26.48 23.17 23.63 22.45 BAER 10.66 7.94 10.32 9.74 7.39 8.99 7.03 6.90 10.23 9.12 15.27 9.98 UBS 13.45 12.29 12.37 11.81 11.05 14.38 13.07 12.74 11.92 14.43 12.55 10.90 DB 13.12 9.36 9.89 10.19 5.51 9.53 9.49 7.47 7.77 10.69 10.43 9.85 ZKB 18.60 21.59 20.92 23.48 29.18 18.92 21.50 20.19 20.06 18.79 18.54 20.86 VT 25.74 27.03 22.33 22.14 24.59 28.08 24.61 26.25 23.54 23.80 19.59 25.97 In December 2010, the five largest issuers of stockexchange-listed structured products are Bank Vontobel (market share total: 25.97%), ZKB (20.86%), UBS (10.90%), Bank Julius Bär (9.98%) and Deutsche Bank (9.85%). In the fourth quarter ZKB (+11.02%), Bank Julius Bär (+9.43%) and Bank Vontobel (+9.12%) improved their shares. All other lost market shares: the UBS (-24.46%), Deutsche Bank (-7.86%) and all other minor issuers combined (-3.11%). Source: SIX Swiss Exchange, Derivative Partners Research AG Market report SSPA December 2010 Swiss Structured Products Association SSPA www.sspa-association.ch 15

5. Appendix 5.1 Abbreviations Leverage Products..Leverage Capital Protection Products.Capital Protection Participation Products..Participation Yield Enhancement Products. Yield Enhancement Other Products Various Billion. bn 5.2 Issued by Swiss Structured Products Association SSPA Splügenstrasse 10, CH-8002 Zurich, Switzerland www.sspa-association.ch Contact: peter.keller@svsp-verband.ch Published monthly / quarterly in more detail 5.3 Data sources Swiss National Bank: Monthly Statistical Bulletin SIX Swiss Exchange Derivative Partners Research AG In-house surveys Key date is 31st December 2010 5.4 Disclaimer We cannot guarantee the accuracy of this document, see http://www.svsp-verband.ch/home/disclaimer.aspx?lang=en. We hereby authorize reprints of and quotes with attributions from this document. Market report SSPA December 2010 Swiss Structured Products Association SSPA www.sspa-association.ch 16