SSP-X Indices
The world of structured investment products is characterized by three strategies: participation, capital protection, and yield enhancement. There are currently around 12,000 such strategy products in Switzerland tradable at SIX Swiss Exchange. This exceptional degree of product diversity makes it difficult to gain a proper overview of the market, and an investor's decision on a suitable product is no less challenging. The SIX Structured Products Strategy Indices offer investors unique opportunities for comparison: Each of the three strategy indices enable a performancecomparison of an individual product with the indexed average in the respective investment category.

Participation Index SSPP®

Participation products enable diversified investments to be made with small amounts at a low cost. The SSPP® Index maps this investment strategy precisely.

Index composition

The Participation Index SSPP® replicates the segment of participation products. Typical products of the following types qualify for the Participation Index SSPP®:
– Tracker Certificates
– Outperformance Certificates
– Bonus Certificates
– Bonus Outperformance Certificates
– Twin-win Certificates
The products selected according to the abovementioned criteria are all given equal weighting within the index. The SSPP® first opened on February 27, 2009, at the level of 1,000 points.

Rebalancing

The index composition is reviewed each month and the index is updated if necessary.

Benchmark

The Participation Index also needs a benchmark index against which its performance can be measured. As participation products directly reflect the performance of their underlyings, the performance of the SSPP® can be ideally compared with the SMI®.

Yield Enhancement Index SSPY®

Yield enhancement products offer attractive value through coupons or discounts in the case of sideways-trending or slightly rising or falling markets. The SSPY® Index reflects this investment strategy precisely.

Index composition

Typical products of the following types from the category of yield enhancement products qualify for the
Yield Enhancement Index SSPY®:
– Discount Certificates
– Barrier Discount Certificates
– Reverse Convertibles
– Barrier Reverse Convertibles
– Express Certificates
Of the typical products, only those with "clean" pricing (including accrued interest) are taken into account.
Here, accrued interest is factored in separately when calculating the index. Three quarters of the yield enhancement products listed in Switzerland are "cleanly" priced. The products selected according to the above-mentioned criteria are all given equal weighting within the index. The SSPY® first opened on February 27, 2009, at the level of 1,000 points.

Rebalancing

Due to its investment character, the index composition is reviewed only every two months and updated if necessary, in contrast to SSPP®, whose composition is reviewed monthly.

Benchmark

In order to compare the yield enhancement index with an appropriate benchmark, a new synthetic index has been created. This reference index is made up of an equity component comprising 60% of the SMI® and a bond component comprising 40% of the Total Return Index of all Swiss bonds published by Bloomberg (Bloomberg code: SZGATR). This make-up gives an approximation of the structure and the risk of yield enhancement products.

Capital Protection Index SSPC®

Capital protection products minimize the market risk while offering conditional capital preservation. The SSPC® Index maps this investment strategy precisely.

Index composition

The following product types are selected from the capital protection products category to form the Capital
Protection Index SSPC®:
– Capital Protection Certificate with Participation
– Convertible Certificate
– Barrier Capital Protection Certificate
– Capital Protection Certificate with Coupon
The optimal products selected according to the abovementioned criteria are all given equal weighting within
the index. The SSPC® first opened on February 27, 2009, at the level of 1,000 points.

Rebalancing

Due to its investment character, the index composition is reviewed every two months, as at SSPY®, and updated if necessary.

Benchmark

Structured products of this category are characterized by the protection they afford to the invested capital. They are similar to bonds in their risk profile. The SSPC® can therefore be ideally compared with the Total Return Index of all Swiss bonds published by Bloomberg (Bloomberg code: SZGATR).