LEONTEQ SECURITIES AG COMMODITY MAP

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LEONTEQ SECURITIES AG

COMMODITY MAP

02.11.2015

This information is issued to qualified investors only and is not research. The information contained in this paper is based on or derived from information generally available to the public from sources believed to be reliable. No representation or warranty is made or implied that it is accurate or complete. Any opinions expressed in this paper are subject to change without notice This paper has been prepared solely for information purposes and does not constitute any solicitation to buy or sell any instrument, or to engage in any trading strategy. Products mentioned in this document qualify as structured products and are derivative financial instruments. The products do not qualify as units of a collective investment scheme pursuant to art. 7 et seqq. of the Swiss Federal Act on Collective Investment Schemes (CISA) and are therefore neither registered nor supervised by the Swiss Financial Market Supervisory Authority FINMA.

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2

CONTENT

COMMODITY HISTORICAL CORRELATION MAP

3

PRODUCT OFFERING MATRIX

4

RETURN/VOLATILTY OVERVIEW

5

FORWARD CURVE OVERVIEW

6

ENERGY

7

PRECIOUS METALS

11

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COMMODITY HISTORICAL CORRELATION MAP

3

Correlation W T I C R U D E O IL B R E N T C R U D E O IL N A T U R A L G A S G O LD S IL V E R P LA T IN U M P A LL A D IU M A LU M IN U M C O P P E R LE A D N IC K E L Z IN C W H E A T C O R N S O Y B E A N C O F F E E " C " S U G A R N O . 1 1 C O C O A C O T T O N N O . 2

WTI CRUDE OIL 100%

BRENT CRUDE OIL 94% 100%

NATURAL GAS 15% 13% 100% GOLD 14% 12% 2% 100% SILVER 29% 26% 9% 81% 100% PLATINUM 32% 32% 6% 73% 71% 100% PALLADIUM 33% 38% 0% 40% 46% 59% 100% ALUMINUM 34% 35% 13% 20% 31% 38% 31% 100% COPPER 37% 35% 3% 24% 41% 42% 37% 65% 100% LEAD 24% 23% 6% 27% 35% 42% 38% 60% 66% 100% NICKEL 30% 32% 2% 13% 29% 36% 39% 56% 63% 60% 100% ZINC 27% 28% 6% 26% 36% 43% 44% 69% 70% 77% 60% 100% WHEAT -3% -1% 0% 4% 2% -2% -7% -10% 4% -15% -8% -9% 100% CORN 14% 16% 2% 3% 8% 4% 4% 4% 12% 1% 7% 1% 66% 100% SOYBEAN 25% 23% 9% 3% 16% 9% 6% 9% 22% 4% 20% 10% 44% 66% 100% COFFEE "C" 16% 13% 13% 15% 24% 23% 16% 12% 11% 8% 18% 10% 9% 7% 22% 100% SUGAR NO. 11 14% 9% -1% 6% 14% 14% 11% 18% 25% 23% 21% 25% 7% 14% 18% 23% 100% COCOA -3% -6% 6% 8% 6% -7% -18% -6% -5% -6% -12% -10% 8% 7% 16% 5% 4% 100% COTTON NO. 2 25% 28% 3% 12% 21% 33% 37% 30% 33% 26% 31% 32% -2% 3% 13% 15% 10% -19% 100%

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PRODUCT OFFERING MATRIX

4

Category Product C a p it a l P ro te ct io n + P a rt ic ip a ti o n C o n v e rt ib le C e rt if ic a te B a rr ie r C a p it a l P ro te ct io n C e rt if ic a te C a p it a l P ro te ct io n C e rt if ic a te w it h C o u p o n D is co u n t C e rt if ic a te B a rr ie r D is co u n t C e rt if ic a te R e v e rs e C o n v e rt ib le B a rr ie r R e v e rs e C o n v e rt ib le E x p re ss C e rt if ic a te T ra ck e r C e rt if ic a te O u tp e rf o rm a n ce C e rt if ic a te B o n u s C e rt if ic a te B o n u s O u tp e rf o rm a n ce C e rt if ic a te T w in -W in C e rt if ic a te W a ra n t S p re a d W a rr a n t W a rr a n t w it h K n o ck -O u t M in i F u tu re

WTI CRUDE OIL BRENT CRUDE OIL

NATURAL GAS GOLD SILVER PLATINUM PALLADIUM ALUMINUM COPPER LEAD NICKEL ZINC WHEAT CORN SOYBEAN COFFEE "C" SUGAR NO. 11

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RETURN/VOLATILTY OVERVIEW

5

Return calculation based on historical returns of the front-month contracts (no roll adjustment). Source: Bloomberg, Past performance is no indication of future performance.

-20% -10% 0% 10% 20% 30% 40%

Monthly Commodity Returns

1-month Return 3-month Return

0% 10% 20% 30% 40% 50% 60% 70% W T I C R U D E O IL B R E N T C R U D E O IL N A T U R A L G A S G O LD S IL V E R P LA T IN U M P A LL A D IU M A LU M IN U M C O P P E R LE A D N IC K E L Z IN C W H E A T C O R N S O Y B E A N C O FF E E " C " S U G A R N O . 1 1 C O C O A C O T T O N N O . 2

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FORWARD CURVE OVERVIEW

6

96% 101% 106% 111% 116% 121% 126% 131% 136% 0m 6m 12m 18m 24m 30m 36m

Energy

WTI CRUDE OIL BRENT CRUDE OIL NATURAL GAS

94% 96% 98% 100% 102% 104% 106% 108% 0m 6m 12m 18m 24m 30m

Precious Metals

SILVER GOLD PLATINUM PALLADIUM

108% 113% 118%

Base Metals

LEAD COPPER NICKEL ALUMINUM ZINC

115% 120% 125%

Agriculture I

COFFEE "C" CORN SOYBEAN WHEAT

99% 101% 103% 105%

Agriculture II

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7

LEONTEQ SECURITIES AG

ENERGY

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WTI CRUDE OIL

8

Source: Bloomberg, Past performance is no indication of future performance.

Ticker CLA Comdty

Exchange New York Mercantile Exchange

Contract Size 1,000 Barrels

Futures Price (USD/bbl) 46.07

Roll Monthly

Product Offering Matrix (Swiss Derivative Map)

Category Barrier na na na na na EU na EU na na na EU EU EU na na EU na n + l n h ate t e te te te t ock -Leverage Crude oil is the world's most actively traded commodity, and the

NYMEX Division light, sweet crude oil futures contract is the world's most liquid forum for crude oil trading, as well as the world's largest-volume futures contract trading on a physical commodity. Because of its excellent liquidity and price transparency, the contract is used as a principal international pricing benchmark. The contract trades in units of 1,000 barrels, and the delivery point is Cushing, Oklahoma, which is also accessible to the international spot markets via pipelines. The contract provides for delivery of several grades of domestic and internationally traded foreign crudes, and serves the diverse needs of the physical market. Light, sweet crudes are preferred by refiners because of their low sulfur content and relatively high yields of high-value products such as gasoline, diesel fuel, heating oil, and jet fuel.

Capital Protection Yield Enhancement Participation

20 25 30 35 40 45 50 55 60 65 70

12 Month ATM Volatility

Price Chart:The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years.

Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above. Implied Volatility:The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation.

,30 ,40 ,50 ,60 ,70 ,80 ,90 ,100 ,110 ,120

Nov/12 Mai/13 Dez/13 Jun/14 Jan/15 Jul/15

Price Chart (USD/bbl)

94% 99% 104% 109% 114% 119% 124% 129% 0m 6m 12m 18m 24m 30m 36m 42m 48m

Normalised Forward Curves

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BRENT CRUDE OIL

9

Ticker COA Comdty

Exchange ICE Futures Europe

Contract Size 1,000 Barrels

Futures Price (USD/bbl) 48.75

Roll Monthly

Category Barrier na na na na na EU na EU na na na EU EU EU na na EU na Tenure C a p it a l P ro te ct io n + P a rt ic ip a ti o n C o n v e rt ib le C e rt if ic a te B a rr ie r C a p it a l P ro te ct io n C e rt if ic a te C a p it a l P ro te ct io n C e rt if ic a te w it h C o u p o n D is co u n t C e rt if ic a te B a rr ie r D is co u n t C e rt if ic a te R e v e rs e C o n v e rt ib le B a rr ie r R e v e rs e C o n v e rt ib le E xp re ss C e rt if ic a te T ra ck e r C e rt if ic a te O u tp e rf o rm a n ce C e rt if ic a te B o n u s C e rt if ic a te B o n u s O u tp e rf o rm a n ce C e rt if ic a te T w in -W in C e rt if ic a te W a ra n t S p re a d W a rr a n t W a rr a n t w it h K n o ck -O u t M in i F u tu re 3m 6m 1Y 2Y 3Y Leverage Brent Crude Oil is a combination of crude oils from 15 different oil

fields in the Brent and Ninian systems located in the North Sea. Brent Crude Oil is ideal for making gasoline and middle distillates, both of which are consumed in large quantities in Northwest Europe, where Brent blend crude oil is typically refined. The ICE Brent Crude futures contract is a deliverable contract based on EFP delivery with an option to cash settle. The name 'Brent' comes from the naming policy of Shell Oil, which originally named all of its fields after birds (in this case the Brent Goose). Oil production from Europe, Africa and the Middle East flowing West tends to be priced relative to this oil, i.e. it forms a benchmark.

20 30 40 50 60 70 80

12 Month ATM Volatility

Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above. Implied Volatility:The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation.

,40 ,50 ,60 ,70 ,80 ,90 ,100 ,110 ,120 ,130

Price Chart (USD/bbl)

95% 100% 105% 110% 115% 120% 125% 130% 0m 6m 12m 18m 24m 30m 36m 42m 48m

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NATURAL GAS

10

Ticker NGA Comdty

Contract Size 10,000 MMBtu

Futures Price (USD/MMBtu) 2.26

Roll Monthly

Category Barrier na na na na na EU na EU na na na EU EU EU na na EU na n + l n h ate t e te te te t ock -Leverage Natural gas accounts for almost a quarter of United States energy

consumption, and the NYMEX Division natural gas futures contract is widely used as a national benchmark price. The futures contract trades in units of 10,000 million British thermal units (mmBtu). The price is based on delivery at the Henry Hub in Louisiana, the nexus of 16 intra- and interstate natural gas pipeline systems that draw supplies from the region's prolific gas deposits. The pipelines serve markets throughout the U.S. East Coast, the Gulf Coast, the Midwest, and up to the Canadian border

30 40 50 60 70 80 90

12 Month ATM Volatility

Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above.

Implied Volatility:The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation.

,0 ,1 ,2 ,3 ,4 ,5 ,6 ,7 ,8 ,9 ,10

Price Chart (USD/MMBtu)

89% 99% 109% 119% 129% 139% 0m 6m 12m 18m 24m 30m 36m 42m 48m

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11

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GOLD

12

Ticker GCA Comdty

Exchange CMX Commodity Exchange Inc.

Contract Size 100 troy oz

Futures Price (USD/oz) 1'134.00

Roll Feb, Apr, Jun, Aug, Oct, Dec

Product Offering Matrix (Swiss Derivative Map)

Category

Barrier na na na na na EU, AM na EU, AM na na na EU, AM EU, AM EU, AM na na EU, AM na

n

+

l n h ate t e te te te t ock

-Leverage COMEX Division gold futures provide an important alternative to

traditional means of investing in gold such as bullion, coins, and mining stocks. Gold futures contracts are also valuable trading tools for commercial producers and users of the metal. Commercial concentrations of gold are found in widely distributed areas: in association with ores of copper and lead, in quartz veins, in the gravel of stream beds, and with pyrites (iron sulfide). Seawater contains astonishing quantities of gold, but its recovery is not economical.

0 5 10 15 20 25 30

12 Month ATM Volatility

1,030 1,130 1,230 1,330 1,430 1,530 1,630 1,730 1,830

Price Chart (USD/oz)

95% 97% 99% 101% 103% 105% 107% 109% 0m 6m 12m 18m 24m 30m 36m 42m

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SILVER

13

Ticker SIA Comdty

Exchange CMX Commodity Exchange Inc.

Contract Size 5,000 troy oz

Futures Price (USD/oz) 15.42

Roll Jan, Mar, May, Jul, Sept, Dec

Category

Tenure C a p it a l P ro te ct io n + P a rt ic ip a ti o n C o n v e rt ib le C e rt if ic a te B a rr ie r C a p it a l P ro te ct io n C e rt if ic a te C a p it a l P ro te ct io n C e rt if ic a te w it h C o u p o n D is co u n t C e rt if ic a te B a rr ie r D is co u n t C e rt if ic a te R e v e rs e C o n v e rt ib le B a rr ie r R e v e rs e C o n v e rt ib le E xp re ss C e rt if ic a te T ra ck e r C e rt if ic a te O u tp e rf o rm a n ce C e rt if ic a te B o n u s C e rt if ic a te B o n u s O u tp e rf o rm a n ce C e rt if ic a te T w in -W in C e rt if ic a te W a ra n t S p re a d W a rr a n t W a rr a n t w it h K n o ck -O u t M in i F u tu re 3m 6m 1Y 2Y 3Y Leverage Silver is sought as a valuable and practical industrial commodity, and

as an appealing investment. The largest industrial users of silver are the photographic, jewelry, and electronic industries. Newly mined metal provides most of the needed supply, and Mexico, the United States, and Peru are the primary producers. Secondary silver sources include coin melt, scrap recovery, and dishoarding from countries where export is restricted.

20 25 30 35 40 45 50

12 Month ATM Volatility

,10 ,15 ,20 ,25 ,30 ,35 ,40

Price Chart (USD/oz)

95% 97% 99% 101% 103% 105% 107% 109% 111% 0m 6m 12m 18m 24m 30m 36m 42m

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PLATINUM

14

Ticker PLA Comdty

Roll Jan, Apr, Jul, Oct

Category

n

+

l n h ate t e te te te t ock

-Leverage Platinum possess unique chemical and physical qualities that make it

a vital industrial material. Jewelry creates the largest demand for platinum, accounting for 51%. Automotive catalysts take 29% and chemical and petroleum refining catalysts, 13%. Platinum is used in the computer industry and in other high-tech electronic applications since it is an excellent conductor of electricity, does not corrode, and has a low reactivity with other metals. This sector accounts for about 7% of consumption.

10 15 20 25 30 35 40 45 50

12 Month ATM Volatility

,850 ,950 1,050 1,150 1,250 1,350 1,450 1,550 1,650 1,750

Price Chart (USD/oz)

94% 96% 98% 100% 102% 104% 106% 0m 6m 12m

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PALLADIUM

15

Ticker PAA Comdty

Roll Quarterly

Category

Tenure C a p it a l P ro te ct io n + P a rt ic ip a ti o n C o n v e rt ib le C e rt if ic a te B a rr ie r C a p it a l P ro te ct io n C e rt if ic a te C a p it a l P ro te ct io n C e rt if ic a te w it h C o u p o n D is co u n t C e rt if ic a te B a rr ie r D is co u n t C e rt if ic a te R e v e rs e C o n v e rt ib le B a rr ie r R e v e rs e C o n v e rt ib le E xp re ss C e rt if ic a te T ra ck e r C e rt if ic a te O u tp e rf o rm a n ce C e rt if ic a te B o n u s C e rt if ic a te B o n u s O u tp e rf o rm a n ce C e rt if ic a te T w in -W in C e rt if ic a te W a ra n t S p re a d W a rr a n t W a rr a n t w it h K n o ck -O u t M in i F u tu re 3m 6m 1Y 2Y 3Y Leverage Palladium is the other major metal of the platinum group. It is mined

with platinum, and resembles it in many respects, yet there are important differences between the two metals. Palladium is also produced as a by-product of nickel mining. Russia supplies about 67% of production, South Africa, 23%; and North America, 8%. Annual production runs approximately 8.1 million ounces. Automotive catalysts are the largest consuming sector, accounting for 63% of demand. Electronic equipment accounts for 21%; dental alloys, 12%; and jewelry, 4%.

10 15 20 25 30 35 40

12 Month ATM Volatility

,500 ,550 ,600 ,650 ,700 ,750 ,800 ,850 ,900 ,950

Price Chart (USD/oz)

94% 96% 98% 100% 102% 104% 106% 0m 6m 12m

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16

BASE METALS

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ALUMINUM

17

Ticker LAA Comdty

Exchange London Metal Exchange

Contract Size 25 Mt

Futures Price (USD/Mt) 1'452.75

Roll Monthly

Category Barrier na na na na na EU na EU na na na EU EU EU na na EU na Tenure C a p it a l P ro te ct io n + P a rt ic ip a ti o n C o n v e rt ib le C e rt if ic a te B a rr ie r C a p it a l P ro te ct io n C e rt if ic a te C a p it a l P ro te ct io n C e rt if ic a te w it h C o u p o n D is co u n t C e rt if ic a te B a rr ie r D is co u n t C e rt if ic a te R e v e rs e C o n v e rt ib le B a rr ie r R e v e rs e C o n v e rt ib le E xp re ss C e rt if ic a te T ra ck e r C e rt if ic a te O u tp e rf o rm a n ce C e rt if ic a te B o n u s C e rt if ic a te B o n u s O u tp e rf o rm a n ce C e rt if ic a te T w in -W in C e rt if ic a te W a ra n t S p re a d W a rr a n t W a rr a n t w it h K n o ck -O u t M in i F u tu re 3m 6m 1Y 2Y 3Y Leverage Aluminium is the third most abundant element, and the most

abundant metal, in the Earth's crust. It makes up about 8% by weight of the Earth's solid surface. Aluminium is remarkable for the metal's low density and for its ability to resist corrosion due to the phenomenon of passivation. Structural components made from aluminium and its alloys are vital to the aerospace industry and are important in other areas of transportation and structural materials. Due in part to its presence in several other markets, aluminium prices are subject to various external forces as well as other markets' conditions. Changes in the industries that use aluminium in their products can have a significant impact on the aluminium industry itself.

0 5 10 15 20 25 30

12 Month ATM Volatility

1,370 1,570 1,770 1,970 2,170 2,370 2,570

Price Chart (USD/Mt)

93% 98% 103% 108% 113% 118% 0m 6m 12m 18m 24m 30m 36m 42m 48m

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COPPER

18

Ticker LPA Comdty

Roll Monthly

Category Barrier na na na na na EU na EU na na na EU EU EU na na EU na n + l n h ate t e te te te t ock -Leverage Copper is the world's third most widely used metal, after iron and

aluminium, and is primarily used in highly cyclical industries such as construction and industrial machinery manufacturing. Copper is a metal used extensively as a heat and electrical conductor, as well as a component in metal alloys, most notably brass and bronze. Profitable extraction of the metal depends on cost-efficient high-volume mining techniques, and supply is sensitive to the political situation particularly in those countries where copper mining is a government-controlled enterprise. Copper market participants across the board use COMEX Division high-grade copper futures and options to mitigate price risk, and the copper contracts are used as investment vehicles, as well.

Improving living conditions and expansion of infrastructure require electrification of houses, manufacturing facilities, and offices. Further copper is required in electrical powerplants, transformation and transport of the energy and for the extension of public transport.

0 5 10 15 20 25 30 35 40 45 50

12 Month ATM Volatility

4,710 5,210 5,710 6,210 6,710 7,210 7,710 8,210

Price Chart (USD/Mt)

91% 93% 95% 97% 99% 101% 103% 105% 0m 6m 12m 18m 24m 30m 36m 42m 48m

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LEAD

19

Ticker LLA Comdty

Roll Monthly

Category Barrier na na na na na EU na EU na na na EU EU EU na na EU na Tenure C a p it a l P ro te ct io n + P a rt ic ip a ti o n C o n v e rt ib le C e rt if ic a te B a rr ie r C a p it a l P ro te ct io n C e rt if ic a te C a p it a l P ro te ct io n C e rt if ic a te w it h C o u p o n D is co u n t C e rt if ic a te B a rr ie r D is co u n t C e rt if ic a te R e v e rs e C o n v e rt ib le B a rr ie r R e v e rs e C o n v e rt ib le E xp re ss C e rt if ic a te T ra ck e r C e rt if ic a te O u tp e rf o rm a n ce C e rt if ic a te B o n u s C e rt if ic a te B o n u s O u tp e rf o rm a n ce C e rt if ic a te T w in -W in C e rt if ic a te W a ra n t S p re a d W a rr a n t W a rr a n t w it h K n o ck -O u t M in i F u tu re 3m 6m 1Y 2Y 3Y Leverage Lead is a metal which is mainly used in lead-acid batteries. The usage

of lead is related to the number of deployed vehicles. Lead-acid batteries have a limited lifecycle and need frequent replacement. However, most of the lead can be recovered from the old batteries and reused. Improving living conditions increase the number of light duty vehicles for private transport and the number of trucks required for the transport of goods. Specific for these economies will be the extensive usage of lead-acid batteries in electrical driven bicycles. Lead-acid batteries do not suit the need for use with hybrid or fuel cell powertrains and will be replaced by other battery technology (NiMH or Lithium).

10 12 14 16 18 20 22 24 26 28 30

12 Month ATM Volatility

1,530 1,730 1,930 2,130 2,330 2,530

Price Chart (USD/Mt)

94% 96% 98% 100% 102% 104% 106% 108% 110% 0m 6m 12m 18m 24m 30m 36m 42m 48m

(20)

NICKEL

20

Ticker LNA Comdty

Roll Monthly

Category Barrier na na na na na EU na EU na na na EU EU EU na na EU na n + l n h ate t e te te te t ock -Leverage Nickel is a metal which is mainly used as an alloying element of

stainless steel, major ingredient of brass, and for electroplating. Nickel is also used together with lanthanum in the nickel metal hybrid (NiMH) battery. Nickel is highly resistant to corrosion and is widely used to create corrosion resistant alloys and is also used heavily in the electroplating process. Nickel is used with Chromium to create Nichrome, which has a high melting point and is used for the efficient conversion of electricity to heat. Nickel deposits are classified as either sulphide or laterite deposits. Economical viable laterite deposits are huge but with lower concentration of the ore in comparison with sulphide deposits. The primary ore associated with sulphide deposits is Millerite Nickel prices are reacting significant to over or undersupply of the markets with the metal.

10 15 20 25 30 35 40

12 Month ATM Volatility

9,010 11,010 13,010 15,010 17,010 19,010 21,010

Price Chart (USD/Mt)

93% 95% 97% 99% 101% 103% 105% 107% 0m 6m 12m 18m 24m 30m 36m 42m 48m

(21)

ZINC

21

Source: Bloomberg, Past performance is no indication of future performance. Ticker LXA Comdty

Exchange London Metal Exchange Contract Size 25 Mt

Roll Monthly

Category Barrier na na na na na EU na EU na na na EU EU EU na na EU na Tenure C a p it a l P ro te ct io n + P a rt ic ip a ti o n C o n v e rt ib le C e rt if ic a te B a rr ie r C a p it a l P ro te ct io n C e rt if ic a te C a p it a l P ro te ct io n C e rt if ic a te w it h C o u p o n D is co u n t C e rt if ic a te B a rr ie r D is co u n t C e rt if ic a te R e v e rs e C o n v e rt ib le B a rr ie r R e v e rs e C o n v e rt ib le E xp re ss C e rt if ic a te T ra ck e r C e rt if ic a te O u tp e rf o rm a n ce C e rt if ic a te B o n u s C e rt if ic a te B o n u s O u tp e rf o rm a n ce C e rt if ic a te T w in -W in C e rt if ic a te W a ra n t S p re a d W a rr a n t W a rr a n t w it h K n o ck -O u t M in i F u tu re 3m 6m 1Y 2Y 3Y Leverage Zinc is used for galvanizing steel to prevent it from rusting as well as

to make copper based alloys like brass. This special galvanized steel finds end use in outdoor construction and transportation related activities. The increased supply of zinc from mine expansions in China, Australia, Bolivia, Kazakhstan, India and Canada has led to a global surplus inventory. The lower prices have reduced the already narrow margin of some of the more cost ineffective mines around world. Intec, Aim Resources and Hudson Bay Minerals have suspended operations and stopped development works at their mines.

10 15 20 25 30 35 40 45 50

12 Month ATM Volatility

Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above. Implied Volatility:The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation.

1,540 1,640 1,740 1,840 1,940 2,040 2,140 2,240 2,340 2,440 2,540

Price Chart (USD/Mt)

93% 95% 97% 99% 101% 103% 105% 107% 109% 111% 0m 6m 12m 18m 24m 30m 36m 42m 48m

(22)

22

(23)

WHEAT

23

Ticker W A Comdty

Exchange Chicago Board of Trade

Contract Size 5,000 Bushels

Futures Price (USd/bu) 508.00

Roll Mar, May, Jul, Sep, Dec

Category Barrier na na na na na EU na EU na na na EU EU EU na na EU na Tenure C a p it a l P ro te ct io n + P a rt ic ip a ti o n C o n v e rt ib le C e rt if ic a te B a rr ie r C a p it a l P ro te ct io n C e rt if ic a te C a p it a l P ro te ct io n C e rt if ic a te w it h C o u p o n D is co u n t C e rt if ic a te B a rr ie r D is co u n t C e rt if ic a te R e v e rs e C o n v e rt ib le B a rr ie r R e v e rs e C o n v e rt ib le E xp re ss C e rt if ic a te T ra ck e r C e rt if ic a te O u tp e rf o rm a n ce C e rt if ic a te B o n u s C e rt if ic a te B o n u s O u tp e rf o rm a n ce C e rt if ic a te T w in -W in C e rt if ic a te W a ra n t S p re a d W a rr a n t W a rr a n t w it h K n o ck -O u t M in i F u tu re 3m 6m 1Y 2Y 3Y Leverage Wheat is a commodity input that goes into many food products,

from pasta to bread to baked sweets. Wheat futures are traded on Chicago's commodities exchange. The primary uses for wheat are flour, brewing, gluten and livestock feed. Kansas is the largest wheat producing state, followed by North Dakota and Oklahoma. There are different varieties of wheat grown in the U.S. Soft Red Winter Wheat is grown from the Southern Midwest down to Texas. These wheat futures trade at the CBOT.

20 25 30 35 40 45 50

12 Month ATM Volatility

,430 ,530 ,630 ,730 ,830 ,930

Price Chart (USd/bu)

95% 100% 105% 110% 115% 120% 125% 0m 6m 12m 18m 24m 30m

(24)

CORN

24

Ticker C A Comdty

Category Barrier na na na na na EU na EU na na na EU EU EU na na EU na n + l n h ate t e te te te t ock -Leverage Corn is the most widely produced feed grain in the United States,

accounting for more than 90 percent of total production. Corn prices are intimately tied to energy prices, because corn is used to make ethanol, an additive in gasoline.

The majority of the crop is used as livestock feed; the remainder is processed into a multitude of food and industrial products including starch, sweeteners such as high fructose corn syrup, corn oil, and ethanol for use as a fuel. The grades of corn that are traded on the Chicago Board of Trade are mainly used for animal feed. The U.S. produces about 10-12 billion bushels of corn a year and is the leading exporter of corn.

10 15 20 25 30 35 40

12 Month ATM Volatility

,300 ,350 ,400 ,450 ,500 ,550 ,600 ,650 ,700 ,750 ,800

Price Chart (USd/bu)

95% 100% 105% 110% 115% 120% 125% 0m 6m 12m 18m 24m 30m 36m

(25)

SOYBEAN

25

Ticker S A Comdty

Roll Jan, Mar, May, Jul, Nov

Category Barrier na na na na na EU na EU na na na EU EU EU na na EU na Tenure C a p it a l P ro te ct io n + P a rt ic ip a ti o n C o n v e rt ib le C e rt if ic a te B a rr ie r C a p it a l P ro te ct io n C e rt if ic a te C a p it a l P ro te ct io n C e rt if ic a te w it h C o u p o n D is co u n t C e rt if ic a te B a rr ie r D is co u n t C e rt if ic a te R e v e rs e C o n v e rt ib le B a rr ie r R e v e rs e C o n v e rt ib le E xp re ss C e rt if ic a te T ra ck e r C e rt if ic a te O u tp e rf o rm a n ce C e rt if ic a te B o n u s C e rt if ic a te B o n u s O u tp e rf o rm a n ce C e rt if ic a te T w in -W in C e rt if ic a te W a ra n t S p re a d W a rr a n t W a rr a n t w it h K n o ck -O u t M in i F u tu re 3m 6m 1Y 2Y 3Y Leverage Soybeans are crushed to produce two main products - soybean oil

and soybean meal. The oil is used in an extensive list of products and the meal is primarily used in animal feed. The U.S. is the largest producer of soybeans and they are mainly grown throughout the Midwest. The United States grows more soybeans than any other country in the world, accounting for 32% of the world's production. Its fields yield 2,585 million bushels of soybeans every year. Unlike other commodities, derivative components of soybeans are also bought and sold by hedgers and speculators on futures markets. These derivative soybean products are soybean meal and soybean oil. Both are the result of pressing and separating soybeans into their oil and meal components.

10 15 20 25 30 35 40

12 Month ATM Volatility

,810 ,910 1,010 1,110 1,210 1,310 1,410 1,510 1,610

Price Chart (USd/bu)

90% 92% 94% 96% 98% 100% 102% 104% 106% 108% 0m 6m 12m 18m 24m 30m 36m

(26)

COFFEE "C"

26

Ticker KCA Comdty

Exchange ICE Futures US Soft

Contract Size 37,500 lbs

Futures Price (USd/lb) 118.80

Category Barrier na na na na na EU na EU na na na EU EU EU na na EU na n + l n h ate t e te te te t ock -Leverage Coffee is traded on major futures and commodity exchanges, most

importantly in London and New York. The movements of coffee prices are largely determined by supply/demand fundamentals. The world's largest producers of coffee are Brazil, Vietnam, Columbia and Indonesia. The biggest consumers of coffee are developed countries such as the United States, Germany, and Italy, which account for the majority of worldwide coffee imports. A coffee tree will yield an amount of coffee beans to fill a one-pound can of ground coffee during each growing season. The world typically consumes about 120 million, 60 kilo bags of coffee per year. Kraft, Nestlé, Procter & Gamble, and Sara Lee are the "Big 4" roaster companies that buy about 50 percent of all the annual production of coffee.

20 25 30 35 40 45 50 55 60

12 Month ATM Volatility

,90 ,110 ,130 ,150 ,170 ,190 ,210 ,230

Price Chart (USd/lb)

95% 100% 105% 110% 115% 120% 125% 0m 6m 12m 18m 24m 30m

(27)

SUGAR NO. 11

27

Ticker SBA Comdty

Roll Mar, May, Jul, Oct

Category Barrier na na na na na EU na EU na na na EU EU EU na na EU na Tenure C a p it a l P ro te ct io n + P a rt ic ip a ti o n C o n v e rt ib le C e rt if ic a te B a rr ie r C a p it a l P ro te ct io n C e rt if ic a te C a p it a l P ro te ct io n C e rt if ic a te w it h C o u p o n D is co u n t C e rt if ic a te B a rr ie r D is co u n t C e rt if ic a te R e v e rs e C o n v e rt ib le B a rr ie r R e v e rs e C o n v e rt ib le E xp re ss C e rt if ic a te T ra ck e r C e rt if ic a te O u tp e rf o rm a n ce C e rt if ic a te B o n u s C e rt if ic a te B o n u s O u tp e rf o rm a n ce C e rt if ic a te T w in -W in C e rt if ic a te W a ra n t S p re a d W a rr a n t W a rr a n t w it h K n o ck -O u t M in i F u tu re 3m 6m 1Y 2Y 3Y Leverage Sugar is produced from sugarcane and sugar beets. Both produce

the identical refined sugar product. Sugarcane accounts for about 70% of world sugar production. The largest sugarcane producing countries are Brazil, India, China, and Thailand. The largest producing regions of sugar beets are Europe, U.S., China and Japan. Sugar has been facing increasing competition from alternative sweeteners like high fructose corn syrup. Nearly 80 percent of world import demand comes from developing countries. The "Number 11" in the contract refers the way shipping costs are handled between the buyer and the seller of the contract. Sugar #11 is sold "Free on Board (FOB)", which means the seller pays to ship the sugar to a port, and is responsible for loading costs. The buyer, however, is responsible for unloading costs.

10 15 20 25 30 35 40 45 50

12 Month ATM Volatility

,0 ,5 ,10 ,15 ,20 ,25 ,30

Price Chart (USd/lb)

90% 95% 100% 105% 110% 115% 120% 125% 0m 6m 12m 18m 24m 30m

(28)

COCOA

28

Source: Bloomberg, Past performance is no indication of future performance. Ticker CCA Comdty

Exchange ICE Futures US Soft Contract Size 10 Mt

Category Barrier na na na na na EU na EU na na na EU EU EU na na EU na n + l n h ate t e te te te t ock -Leverage The cocoa tree needs a hot and rainy climate (tropical rain forest) in

order to thrive and is generally confined to areas not more than 20 degrees north or south of the equator. The cocoa tree takes about five years after planting to produce cocoa beans and about ten years to achieve maximum production. Cocoa trees produce pods. Each pod produces from 20 to 50 beans (approximately 400 beans are required to make one pound of chocolate). The largest cocoa producing countries are Côte d’Ivoire (40% +), Ghana (15%); Indonesia (14%); Nigeria (5%) and Brazil (4%). Cocoa is mainly consumed in Europe, North America, Japan and Singapore. The U.S. consumes about 13% of the world's cocoa; Germany 9.1%; France 7.2%; UK 6.8%). Political, social and labour issues regularly threaten to decrease or disrupt the supply of cocoa.

10 15 20 25 30 35 40

12 Month ATM Volatility

Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above. Implied Volatility:The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation.

1,940 2,140 2,340 2,540 2,740 2,940 3,140 3,340 3,540

Price Chart (USD/Mt)

91% 93% 95% 97% 99% 101% 103% 105% 0m 6m 12m 18m

(29)

COTTON NO. 2

29

Ticker CTA Comdty

Roll Mar, May, Jul, Oct, Dec

Category Barrier na na na na na EU na EU na na na EU EU EU na na EU na Tenure C a p it a l P ro te ct io n + P a rt ic ip a ti o n C o n ve rt ib le C e rt if ic a te B a rr ie r C a p it a l P ro te ct io n C e rt if ic a te C a p it a l P ro te ct io n C e rt if ic a te w it h C o u p o n D is co u n t C e rt if ic a te B a rr ie r D is co u n t C e rt if ic a te R e ve rs e C o n ve rt ib le B a rr ie r R e ve rs e C o n ve rt ib le E xp re ss C e rt if ic a te T ra ck e r C e rt if ic a te O u tp e rf o rm a n ce C e rt if ic a te B o n u s C e rt if ic a te B o n u s O u tp e rf o rm a n ce C e rt if ic a te T w in -W in C e rt if ic a te W a ra n t Sp re a d W a rr a n t W a rr a n t w it h K n o ck -O u t M in i Fu tu re 3m 6m 1Y 2Y 3Y Leverage Cotton No. 2 futures are traded on the Intercontinental Exchange

Inc. in cents and hundredths of a cent per pound. Cotton is a basic crop that is a major input for the textile, agriculture, and food industries. 64 percent of cotton is used for apparel, 28 percent for home furnishings, and 8 percent for industrial products. In the US, $120 billion of business revenue is stimulated by cotton. The U.S. is a major cotton producer, but its domestic textile industry is relatively small, so it exports much of the cotton it produces. Overall, China is the largest producer and consumer of cotton, accounting for 29 percent of the world's production and 43 percent of the world's use of milled cotton in 2007. China manufactures apparel and other textile products from the milled cotton, often for export. Demand in this and other emerging markets is a leading driver of cotton prices, as are seasonal growing conditions and the prices of competing crops.

10 15 20 25 30 35 40

12 Month ATM Volatility

,50 ,55 ,60 ,65 ,70 ,75 ,80 ,85 ,90 ,95 ,100

Price Chart (USd/lb)

92% 97% 102% 107% 112% 0m 6m 12m 18m 24m 30m