SEK FX hedged Credit-Linked Notes on iTraxx Main S24 ...€¦ · SEK FX hedged Credit-Linked Notes...

#18621082

SEK FX hedged Credit-Linked Notes on iTraxx Main S24 Tranche 0% - 6%

Series N°10437

1

Type Scheduled Maturity Date Issue Price Interest Rate

Hybrid Securities

5 January 2021

100% x Denomination

5.10% p.a.

TERM SHEET

Hybrid Securities are sophisticated instruments, which can involve a significant degree of risk and are intended for sale only to those investors who are knowledgeable in investment matters and who are capable of understanding the risks involved in such instruments. We would also draw your attention to the section headed “Responsibility and Resale” below and to the notices

and disclaimers appearing on the last page of this indicative Termsheet.

Under the terms of the Hybrid Securities, if no Credit Event occurs and Aggregate Loss Amount is not exceeding the Tranche Subordination Amount on or prior to the Scheduled Maturity Date, the Hybrid Securities will be redeemed at 100% of the Denomination on the Maturity Date. Accordingly principal is at risk if Credit Events occurs with respect to the Reference Entities and that the Aggregate Loss Amount exceeding the Tranche Subordination Amount. In addition to the credit risk

of the Reference Entities, a Hybrid Security holder will also be exposed to the credit risk of the Issuer.

The Hybrid Securities encapsulated a hedging forward EURSEK position for a fixed quantity of 100% of the Issue Price. Thus the investor bears a residual forex risk at the Maturity Date in case the Aggregate Loss Amount exceeds the Tranche Subordination Amount.

The Hybrid Securities offer investors an Amount of Interest that is at risk if Credit event occurs with respect to the Reference Entities and that the Aggregate Loss Amount exceeding the Tranche Subordination Amount.

The prospective holder of the Hybrid Security agrees irrevocably to purchase the Hybrid Securities from Exane Derivatives by payment of an amount equal to the Issue Price on the Issue Date regardless of occurrence or non-occurrence of a Credit Event in respect of the Reference Entities from and including the Credit Event Backstop Date to and including the Maturity Date.

This term sheet of terms and conditions (the “Termsheet”) refers to and incorporates the definitions and provisions contained in the Debt Securities Issue Programme of Exane Finance dated 24 June 2015 (the “Base Prospectus”) , as supplemented by the

First Supplement dated 25 August 2015, the Second Supplement dated 3 November 2015 and the Third Supplement dated 11 January 2016 (together, the "Supplements") and by the provisions set forth in the final terms applicable to the Hybrid Securities (the “Final Terms”) and the 2014 ISDA Credit Derivatives Definitions (together, the “Credit Derivatives Definitions”). In the

event of any inconsistency between the Base Prospectus, the Credit Derivatives Definitions and the defined terms used in this Termsheet and any Final Terms, such defined terms will prevail.

This Termsheet is qualified in its entirety by the terms contained in the Base Prospectus, the Supplements and the relevant

Final Terms.

STRICTLY PRIVATE AND CONFIDENTIAL

GENERAL TERMS

Title of Issue SEK FX hedged Credit-Linked Note on iTraxx Main S24 Tranche 0%-6% Jan 21

Type Hybrid Securities with a pledge of financial instruments held in a bank account opened with BNP Paribas Securities Services (the “Hybrid Securities”)

Issuer Exane Finance whose head office is at 16 avenue Matignon, 75008 Paris (France)

#18621082


Series N°10437

2

The Issuer is authorised by the French prudential supervisory authority (the “Autorité de Contrôle

Prudentiel et de Resolution”) and is regulated by the Autorité de Contrôle Prudentiel et de

Resolution and the Autorité des Marchés Financiers.

Guarantor Exane Derivatives (Moody’s: Baa2 / S&P: BBB+) whose head office is at 16 avenue Matignon,

75008 Paris (France). The Issuer’s payment obligations are guaranteed by the Guarantor.

Dealer Exane Derivatives

Calculation Agent Exane Derivatives

Trade Date 6 January 2016

Issue/Payment Date 15 February 2016

Issue Price 100% x Denomination

ISIN code CH0304152967

Common code TBD

Telekurs code CH030415296

Currency Swedish Krona (SEK)

Issue Amount SEK 11,820,000

Denomination SEK 10,000.00

Tranche 0% - 6%

Tranche Notional

Amount

100% * Denomination

Tranche Subordination

Amount

The Reference Portfolio Notional Amount multiplied by the Attachment Point

Reference Portfolio

Notional Amount

Means an amount equal to the 100% * Denomination divided by the difference between the Detachment Point and the Attachment Point.

Reference Entity

Notional Amount

In respect of each Reference Entity, the amount equal to the product of the Reference Entity Weighting ( as specified in Annex A ) and Reference Portfolio Notional Amount

Attachment Point 0%

Detachment Point 6%

Loss Amount Means for each Reference Entity in respect of which a Credit Event Determination Date has occurred an amount equal to the product of (i) the Reference Entity Notional Amount of the Reference entity in respect of which a Credit Event Determination Date has occurred and and (ii) the difference between the Reference Price and the Auction Final Price

Aggregate Loss

Amount

The lowest between (i) the Tranche Notional Amount and (ii) the highest of (1) zero and (2) the difference between (x) the sum of the Loss Amount for all reference Entities in respect of which a Credit Event Determination Date has occurred and (y) the Tranche Subordination Amount

#18621082


Series N°10437

3

MATURITY AND REDEMPTION TERMS

Scheduled Maturity Date 5 January 2021

Maturity Date The Scheduled Maturity Date

Final Redemption Amount

Unless the Hybrid Securities have been previously redeemed or purchased and cancelled and provided that the Calculation Agent has not sent an Extension Notice or a Credit Event Notice to the Issuer and to the Holders on or prior the last day of the Notice Delivery Period, each Hybrid Securities shall redeemed on the Scheduled Maturity Date at:

𝑭𝑿𝑭𝒊𝒏𝒂𝒍

𝑭𝑿𝑭𝒘𝒅× Credit Linked Portion + Underlying Settlement Amount

Final Redemption Amount in case of the occurrence of a Credit Event

In the case of the occurrence of one or several Credit Events and upon satisfaction of the Conditions to Settlement and unless an Adjustment Event has occurred, the Holder of one Hybrid Security will receive:

𝐌𝐚𝐱 (𝟎%;𝐅𝐗𝐅𝐢𝐧𝐚𝐥

𝐅𝐗𝐅𝐰𝐝

× 𝐀𝐮𝐜𝐭𝐢𝐨𝐧 𝐒𝐞𝐭𝐭𝐥𝐞𝐦𝐞𝐧𝐭 𝐀𝐦𝐨𝐮𝐧𝐭

+ 𝐔𝐧𝐝𝐞𝐫𝐥𝐲𝐢𝐧𝐠 𝐒𝐞𝐭𝐭𝐥𝐞𝐦𝐞𝐧𝐭 𝐀𝐦𝐨𝐮𝐧𝐭)

Early Settlement in the case of the occurrence of an Adjustment Event other than a Credit Event

The Hybrid Securities may be redeemed prior to the Scheduled Maturity Date in the absence of a Credit Event but as a consequence of an Adjustment Event (as set out in the Base Prospectus) at the fair market value as determined in good faith by the Calculation Agent, less the Unwind costs as set in the Base Prospectus

INTEREST TERMS

Interest Type Fixed rate

Rate of Interest 5.10% p.a. in respect of the Outstanding Notional Amount which is effective after the latest Credit Determination Date from and including the preceding Interest Payment Date to the relevant Interest Payment Date.

For the avoidance of doubt, there will be no Accrual of Interest upon Credit Event. The relevant proportion of interest ceases to accrue from (but excluding) the Interest Payment Date immediately preceding the Credit Event Determination Date (or, in the case of the first Interest Period, the Interest Commencement Date)

Amount of Interest Rate of Interest x Outstanding Notional Amount which is effective on the relevant Interest Payment Date x Day Count Fraction

Day Count Fraction As defined in the Base prospectus with 30/360

Interest Payment Date Means the 20 March, 20 June, 20 September and 20 December in each year, commencing on 20 March 2016. The first Interest Payment Date shall be 20 March 2016 and the final Interest Payment Date shall be the Maturity Date. A short first coupon will be payable in respect of the first Interest Period. A long last coupon will be payable in the respect on the last Interest Period.

#18621082


Series N°10437

4

Interest Period Means each period from and including the Interest Payment Date (or the Issue Date in respect of the first Interest Period) to but excluding the next Interest Payment Date (or the Maturity Date (excluding) in respect of the last Interest Period).

Outstanding Notional Amount

The 100% * Denomination minus the Aggregate Loss Amount

FX INDEXATION

Initial Fixing Date 6 January 2016

Final Fixing Date 4 January 2021

Underlying Linked Portion (FX Linked Portion)

Denomination x 100%

Underlying Settlement Amount

𝑫𝒆𝒏𝒐𝒎𝒊𝒏𝒂𝒕𝒊𝒐𝒏 × 𝟏𝟎𝟎% ×𝟏

𝑭𝑿𝑭𝒘𝒅× (𝑭𝑿𝑭𝒘𝒅 − 𝑭𝑿𝑭𝒊𝒏𝒂𝒍)

Where:

FXFinal is the foreign exchange rate EUR to SEK (expressed as the amount of SEK per EUR

1.00) as determined by the Calculation Agent on the Reuters page ECB37 on the Final Fixing Date. FXFwd is the forward foreign exchange rate EUR to SEK with a maturity equal to the Final

Fixing Date as determined by the Calculation Agent on the Initial Fixing Date and is equal to 9.6073

CREDIT TERMS

Credit Linked Portion Denomination x 100%

Reference Entities Each References Entities and any Successor specified into the Annex A attached hereto

Reference Obligation As specified in Annex A for each Reference Entity.

Credit Event(s)

Transaction Type

The Credit Events are set out in the Appendix attached

Standard European Corporate (The Standard European Corporate Settlement Matrix will be applicable)

Conditions to Settlement The Conditions to Settlement in relation to the occurrence of a Credit Event in respect of a relevant Reference Entity will be satisfied when either:

#18621082


Series N°10437

5

(a) ISDA publicly announces on or prior to the last day of the Notice Delivery Period that the relevant Credit Derivatives Determinations Committee has resolved that a Credit Event has occurred with respect to a relevant Reference Entity on or after the Credit Event Backstop Date (as defined in Appendix) provided that such resolution has not been cancelled prior to the Auction Settlement Date and that the Credit Event Determination Date Conditions have been satisfied; or

(b) the Issuer has delivered to the Calculation Agent and to the Holders through the Clearing Systems on or prior the last day of the Notice Delivery Period (i.e the Maturity Date:

(i) a Credit Event Notice,

Notifying Party: Issuer

(ii) a Notice of Publicly Available Information

Public Sources

Specified Number: 2

(iii) a Notice of Physical Settlement, as applicable

Notice Delivery Period Means the period from and including the Trade Date to and including the Maturity Date.

SETTLEMENT TERMS FOLLOWING SATISFACTIONS OF THE CONDITIONS TO SETTLEMENT

Settlement Method Auction Settlement.

Fallback Settlement Method Physical Settlement

Settlement Type

Auction Settlement Date

European Settlement

Means, following the occurrence of one or several Credit Event Determination Dates, the later of (i) the Scheduled Maturity Date and (ii) thirty (30) Business Days (or such shorter period as determined by the Calculation Agent) after the later of (1) the date on which the last Auction Final Price is determined or (2) (if applicable) the date on which the settlement of any Hedging Transaction occurs.

Auction Settlement Amount Means an amount, subject to a floor of zero, equal to i) the difference between 100% x Denomination minus the Aggregate Loss Amount minus the Unwind Costs calculated in respect of all Credit Event Determination Dates, as at the Maturity Date

Auction Final Price Shall have the meaning as shall be set forth in the relevant Transaction Auction Settlement Terms, expressed in percentage.

Reference Price Means 100%

Transaction Auction Settlement Terms

Means the Credit Derivatives Auction Settlement Terms selected by the Calculation Agent in accordance with this provision. In relation to a Credit Event (and as set out in the definition of Credit Derivatives Auction Settlement Terms), ISDA may publish one or more form(s) of Credit Derivatives Auction Settlement Terms on its website at www.isda.org (or any successor website thereto) and may amend such forms from time to time. Each such form of Credit Derivatives Auction Settlement Terms shall set out, inter alia, definitions of "Auction", "Auction Cancellation Date", "Auction Covered Transaction" and "Auction Final Price Determination Date" in relation to the relevant Credit Event. The Transaction Auction Settlement Terms for purposes of the Credit

http://www.isda.org/

#18621082


Series N°10437

6

Linked Portion shall be the relevant form of Credit Derivatives Auction Settlement Terms for which the Auction Covered Transactions (as such term will be set out in the relevant Credit Derivatives Auction Settlement Terms) would be credit derivatives transactions with a scheduled termination date comparable to or later than the Scheduled Maturity Date of the Hybrid Securities (the Reference Transaction). The Reference Transaction is a hypothetical credit derivative transaction included in these Conditions principally for the purpose of selecting the Credit Derivatives Auction Settlement Terms appropriate to the Credit Linked Portion.

OTHER TERMS

Business Days TARGET, New York and Stockholm

Business Day Convention Following

Minimum Trading Size SEK 100,000.00 in nominal amount and multiple of SEK 10,000.00

Form Dematerialised and Bearer

Status of the Reference Obligation

Senior Unsecured

Taxation To the fullest extent permitted by law, the Issuer will not be required to gross up any payment under the Hybrid securities following any imposition or change in tax laws or regulations or in their interpretation which requires the Issuer to make any withholding from any payment under the Hybrid Securities;the Issuer will not redeem the Hybrid securities early in such circumstances.

Listing Application will be made to list the Hybrid Securities on the Luxembourg Stock Exchange

Clearing Systems SIX SIS, EOC BK, Clearstream

Financial Agent BNP PARIBAS SECURITIES SERVICES ZURICH BRANCH

Pledge Arrangement At the latest on the Issue Date, the Guarantor shall pledge, for the benefit of the Holders

and to guarantee the Secured Debt, Eligible Financial Instruments having an aggregate

market value at least equal to the market value of the Hybrid Securities (the "Minimum

Pledge Value ").

“Eligible Financial Instruments” shall mean:

*Any European government bonds

*Cash resulting from incomes and revenues (including coupons or any other distribution in any form) of the European government bonds in the Pledged Account.

The “Secured Debt” means each payment obligation and liability due under the

Hybrid Securities, whether present or future, actual, contingent or owed jointly or severally (or any other capacity whatsoever), within the limits of the mark to market of the Hybrid Securities without Issuer spread.

Documentation The Hybrid securities issue shall be governed by the Conditions of the Securities set forth in the Base Prospectus dated 24 June 2015 (the "Base Prospectus"), as

supplemented by the First Supplement dated 25 August 2015, the Second Supplement dated 03 November 2015 and the Third Supplement dated 11 January 2016 (together, the "Supplements") and by the provisions set forth in the final terms drawdown

prospectus applicable to the Hybrid Securities to be approved by the Commission de

#18621082


Series N°10437

7

Surveillance du Secteur Financier (the “CSSF”) (the “Final Terms Drawdown Prospectus”) and the 2014 ISDA Credit Derivatives definitions (the “Credit Derivatives Definitions”).

The Base Prospectus and the Supplements are available on the Website of Exane (www.exane.com/exaneissues).

Governing Law French law.

Commissions Exane Derivatives will pay third parties in relation with the placement of Hybrid

Securities, either a commission or the difference in value between the purchase price

paid by the third party and the resale price to the investors. Additional information on the

amount of the commission received may be obtained upon request from Exane

Derivatives (16, avenue Matignon – 75008 Paris – France).

RESPONSIBILITY AND RESALE

Investor Restrictions These Securities have not been and will not be issued, placed, distributed, offered or negotiated as a public offering in any countries. Neither the Issuer of the securities, Exane Finance, nor Exane Derivatives and nor the issuance of the Security has been or will be approved or registered with the local authority of the relevant countries. The Security may be offered only to qualified investors or as private offering in accordance to the applicable Law of the relevant country. These Securities cannot be sold by way of a public offering in France, within or outside a member State of the European Economic Area. In Switzerland, these Securities may only be offered, sold or distributed by way of private placement to qualified investors within the meaning of the Swiss Collective Investments Schemes (CISA). The Securities do not constitute participations in a collective investment scheme in the meaning of the CISA. The Securities are not subject to the authorization or supervision of the FINMA. This issue has not been and will not be registered under the US Securities Act of 1933 as amended, and may not be offered or sold within the USA or to US Persons. Please refer to the section entitled "Subscription, Purchase and Selling Restrictions" in the Base Prospectus for a description of further restrictions on offers, sales and transfers.

Investor Responsibility

By agreeing to purchase any Hybrid securities, you will be deemed to confirm that, in relation to any investment in any Hybrid securities:

(a)

(i) You are acting as principal for your own account and have made your own independent decision as to whether the subscription to the Hybrid securities is suitable, appropriate and meet your financial needs, such analysis being based upon your own judgement and/or, if necessary, any advice received from an accounting, tax, legal or any other independent professional advisors

OR

(ii) You are acting as principal on behalf of your clients and if required by any applicable law, based upon your own diligences, you have made your own independent decision as to whether the subscription to the Hybrid securities is suitable, appropriate and meet the financial needs of your clients or any person to whom you may transfer or on-sell the

#18621082


Series N°10437

8

Notes.

OR

(iii) You are acting as intermediary for your own clients and agree that Exane Derivatives is not responsible for determining the appropriateness and the suitability of the Hybrid securities for any of your own clients. If required by any applicable law, you will have verified that the subscription to the Hybrid securities is suitable, appropriate for your own clients and meet their financial needs, such analysis being based upon your own diligences.

(b) you (or, when acting as agent or intermediary, your own clients)

(i) are capable of understanding and assessing the merits of any investment in the HYBRID SECURITIESs (either through your own merits or by having recourse to independent professional advisors), and

(ii) ) are capable of assuming the risks of any such investment, and

(iii) understand and accept the terms and conditions of such transactions.

(c) You acknowledge that you have not received any investment advice by Exane

Derivatives, as defined by the directive on markets financials instruments (dated of 21 April 2004 or as modified from time to time)

(d) you acknowledge that it is your own responsibility to review the offering

documentation governing the issue of the Hybrid securities, including the relevant Base Prospectus.

(e) You shall only offer the Hybrid securities in accordance with the appropriate selling

restrictions.

Secondary market / Liquidity:

Exane Derivatives may, but is under no obligation to, provide a bid or offer price, upon request, on the Hybrid securities on a reasonable efforts basis subject to normal market conditions. Exane Derivatives is not responsible for the establishment or maintenance of a secondary market in the Hybrid securities and may in the future be unable to quote a price.

Where Exane Derivatives offers to buy back the Hybrid securities, the bid price will depend, inter alia, on the hedge unwind costs generated by such buy back.

DISCLAIMER ITRAXX Markit iTraxx Europe Main is a service mark of Markit Indices Limited and have been licensed for use by the Exane group.

The Markit iTraxx Europe Main (the “Index”) referenced herein is the property of Markit Indices Limited (“Index Sponsor”) and has been licensed for use in connection with Fx hedging Hybrid Securities on Itraxx Main S24. It is acknowledged and agreed that the Hybrid Securities is not sponsored, endorsed or promoted by the Index Sponsor. The Index Sponsor makes no representation whatsoever, whether express or implied, and hereby expressly disclaims all warranties (including, without limitation, those of merchantability or fitness for a particular purpose or use), with respect to the Index or any data included therein or relating thereto, and in particular disclaims any warranty either as to the quality, accuracy and/or completeness of the Index or any data included therein, the results obtained from the use of the Index and/or the composition of the Index at any particular time on any particular date or otherwise and/or the creditworthiness of any entity, or the likelihood of the occurrence of a credit event or

#18621082


Series N°10437

9

similar event (however defined) with respect to an obligation, in the Index at any particular time on any particular date or otherwise. The Index Sponsor shall not be liable (whether in negligence or otherwise) to the parties or any other person for any error in the Index, and the Index Sponsor is under no obligation to advise the parties or any person of any error therein.

The Index Sponsor makes no representation whatsoever, whether express or implied, as to the advisability of purchasing this Hybrid Securitiy, the ability of the Index to track relevant markets’ performances, or otherwise relating to the Index or any transaction or product with respect thereto, or of assuming any risks in connection therewith. The Index Sponsor has no obligation to take the needs of any party into consideration in determining, composing or calculating the Index. The Exane group, nor the Index Sponsor, shall have any liability for any act or failure to act by the Index Sponsor in connection with the determination, adjustment, calculation or maintenance of the Index.

APPENDIX

DEFINITIONS

Redemption following a Restructuring Event

Where Restructuring is an applicable Credit Event in relation to a Reference Entity, upon occurrence of a Restructuring Credit Event the Calculation Agent may deliver Multiple Credit Event Notices with respect to such Restructuring Credit Event, each such notice setting forth the aggregate outstanding principal amount to which such Restructuring Credit Event applies (the “Exercise Amount”). The provisions of theis Termsheet shall be

deemed to apply to an aggregate outstanding principal amount equal to the Exercise Amount only and all the provisions shall be construed accordingly.

Postponed Interest Payment

If a request is delivered to the Credit Derivatives Determinations Committee prior to any Interest Payment Date, and the Credit Derivatives Determinations Committee does not Resolve, at least five Business Days prior to such Interest Payment Date (x) whether or not such event constitutes a Credit Event or (y) not to determine such matter, the interest amount shall not be paid on the Interest Payment Date and shall be postponed to the 5

th

Business Day following the Suspension End Date (as defined in the Base Prospectus). For the avoidance of doubt, any interest accrued on such interest amount (which shall accrue at the applicable overnight rate for deposits set by Exane Derivatives) which would otherwise have been paid on the relevant Interest Payment Date shall also be payable on the Postponed Interest Payment Date. If the Conditions to Settlement are satisfied and the relevant Credit Event Determination Date falls prior to the Interest Payment Date, the interest shall cease to accrue on the Interest Payment Date immediately preceding such Credit Event Determination Date.

Credit Event Backstop Date

The date that is 60 calendar days prior to the date on which the Conditions to Settlement are satisfied.

#18621082


Series N°10437

10

CREDIT EVENTS According to ISDA physical Settlement Matrix – Standard European Corporate

Credit Events Bankruptcy

Failure to Pay

Grace Period Extension: Not applicable

Payment Requirement : USD 1,000,000 or its equivalent in other currencies

Restructuring

Mod R: Not applicable

Mod Mod R: Applicable

Multiple Holder Obligation: Applicable

Multiple Credit Event Notices: Applicable

Default Requirement: USD 10,000,000 or its equivalent in other currencies

If the Transaction Type is a Financial Transaction Type : Governmental Intervention shall be applicable

All Guarantees Applicable

Obligations Each Reference Obligation and any obligation of the Reference Entity included in the Obligation Category having each of the Obligation Characteristics set out below.

Obligation Category Borrowed Money

Obligation Characteristics None.

Deliverable Obligation Category

Bond or Loan

Deliverable Obligation Characteristics

Not Subordinated

Specified Currency

Assignable Loan

Consent Required Loan

Transferable

Maximum Maturity: 30 years

Not Bearer

#18621082


Series N°10437

11

Annex A

Itraxx Main Series S24 as of 22 December 2015

Reference Entities Reference

Obligation

Reference

Entity

Weighting

Transaction Type

Accor SA FR0011274026 0.80 Standard European Corporate

Aegon NV XS0805452405 0.80 Standard European Corporate

Airbus Group SE XS0176914579 0.80 Standard European Corporate

Electrolux AB XS1148169060 0.80 Standard European Corporate

Volvo AB XS0302948319 0.80 Standard European Corporate

Akzo Nobel NV XS0719962986 0.80 Standard European Corporate

Allianz SE XS0275880267 0.80 Standard European Corporate

Anglo American PLC USG03762CE22 0.80 Standard European Corporate

Anheuser-Busch InBev SA/NV BE0934985020 0.80 Standard European Corporate

Assicurazioni Generali SpA XS1014759648 0.80 Standard European Corporate

AstraZeneca PLC US046353AB45 0.80 Standard European Corporate

Atlantia SpA XS0193945655 0.80 Standard European Corporate

Aviva PLC XS0066877258 0.80 Standard European Corporate

AXA SA FR0011380468 0.80 Standard European Corporate

BAE Systems PLC XS0789683462 0.80 Standard European Corporate

Banco Bilbao Vizcaya Argentaria SA ES0214974091 0.80 Standard European Corporate

Banco Santander SA XS0759014375 0.80 Standard European Corporate

Barclays Bank PLC XS0768454844 0.80 Standard European Corporate

BASF SE XS0402401779 0.80 Standard European Corporate

Bayer AG XS0255605239 0.80 Standard European Corporate

Bayerische Landesbank DE000BLB1AT9 0.80 Standard European Corporate

Bayerische Motoren Werke AG XS0173501379 0.80 Standard European Corporate

Bertelsmann SE & Co KGaA XS0268583993 0.80 Standard European Corporate

BNP Paribas SA XS0772265756 0.80 Standard European Corporate

Bouygues SA FR0010853226 0.80 Standard European Corporate

BP PLC US10373QAA85 0.80 Standard European Corporate

British American Tobacco PLC XS0856014583 0.80 Standard European Corporate

British Telecommunications PLC XS0097283096 0.80 Standard European Corporate

Carlsberg Breweries A/S XS0548805299 0.80 Standard European Corporate

Carrefour SA FR0010394478 0.80 Standard European Corporate

Casino Guichard Perrachon SA FR00113001480 0.80 Standard European Corporate

Centrica PLC XS0388006555 0.80 Standard European Corporate

Commerzbank AG DE000CZ226Y9 0.80 Standard European Corporate

Cie de Saint-Gobain XS0546725658 0.80 Standard European Corporate

Cie Financiere du Groupe Michelin Senard et Cie XS0794392588 0.80 Standard European Corporate

Compass Group PLC XS07410004062 0.80 Standard European Corporate

Continental AG Xs0969344083 0.80 Standard European Corporate Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands

XS0503734872 0.80 Standard European Corporate

Credit Agricole SA FR0010743088 0.80 Standard European Corporate

Credit Suisse Group AG XS0099472994 0.80 Standard European Corporate

Daimler AG DE000A1MA9V5 0.80 Standard European Corporate

#18621082


Series N°10437

12

Danone SA FR0010967216 0.80 Standard European Corporate

Danske Bank A/S XS1072384685 0.80 Standard European Corporate

Deutsche Bank AG DE000DB5S5U8 0.80 Standard European Corporate

Deutsche Telekom AG DE000A0T5X07 0.80 Standard European Corporate

Diageo PLC US25243YAJ82 0.80 Standard European Corporate

E.ON SE XS0148579153 0.80 Standard European Corporate

Electricite de France SA XS0162990229 0.80 Standard European Corporate

EnBW Energie Baden-Wuerttemberg AG XS0271757832 0.80 Standard European Corporate

Enel SpA XS0306644344 0.80 Standard European Corporate

Engie FR0000472334 0.80 Standard European Corporate

Eni SpA XS0741137029 0.80 Standard European Corporate

Experian Finance PLC XS0585243289 0.80 Standard European Corporate

Fortum OYJ XS0418729934 0.80 Standard European Corporate

Gas Natural SDG SA XS0479542580 0.80 Standard European Corporate

Glencore International AG XS0288783979 0.80 Standard European Corporate

Groupe Auchan SA FR0010746008 0.80 Standard European Corporate

Hannover Rueck SE XS0541620901 0.80 Standard European Corporate

HSBC Bank PLC XS0470370932 0.80 Standard European Corporate

Iberdrola SA XS0940711947 0.80 Standard European Corporate

ING Bank NV USN4578BQC10 0.80 Standard European Corporate

Intesa Sanpaolo SpA XS0213927667 0.80 Standard European Corporate

ITV PLC XS0269885785 0.80 Standard European Corporate

Kering FR0010784082 0.80 Standard European Corporate

Koninklijke Ahold NV US008685AB51 0.80 Standard European Corporate

Koninklijke DSM NV XS0326230181 0.80 Standard European Corporate

Koninklijke KPN NV XS0411850075 0.80 Standard European Corporate

Koninklijke Philips NV US500472AB13 0.80 Standard European Corporate

LafargeHolcim Ltd XS0425251542 0.80 Standard European Corporate

LANXESS AG XS0629645531 0.80 Standard European Corporate

Linde AG XS0297700006 0.80 Standard European Corporate

Lloyds Bank PLC XS0778434000 0.80 Standard European Corporate

LVMH Moet Hennessy Louis Vuitton SE FR0011033232 0.80 Standard European Corporate

Marks & Spencer PLC XS0471074582 0.80 Standard European Corporate

Mediobanca SpA IT0004713787 0.80 Standard European Corporate Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen

XS0167260529 0.80 Standard European Corporate

National Grid PLC XS170798325 0.80 Standard European Corporate

Nestle SA CH0028644646 0.80 Standard European Corporate

Next PLC XS0630204351 0.80 Standard European Corporate

Orange SA XS0365094811 0.80 Standard European Corporate

Pearson PLC US705015AB12 0.80 Standard European Corporate

Pernod Ricard SA USF7061BAN04 0.80 Standard European Corporate

PostNL NV NL0006380537 0.80 Standard European Corporate

Publicis Groupe SA FR0012384634 0.80 Standard European Corporate

RELX PLC XS0271070525 0.80 Standard European Corporate

Rentokil Initial PLC XS0832466931 0.80 Standard European Corporate

Repsol SA XS0733696495 0.80 Standard European Corporate

Rolls-Royce PLC XS0426014899 0.80 Standard European Corporate

Royal Dutch Shell PLC US822582AC66 0.80 Standard European Corporate

RWE AG XS0162513211 0.80 Standard European Corporate

SABMiller PLC US78572MAA36 0.80 Standard European Corporate

Safeway Ltd XS0093004736 0.80 Standard European Corporate

#18621082


Series N°10437

13

Sanofi XS0456451771 0.80 Standard European Corporate

Siemens AG XS0369461644 0.80 Standard European Corporate

Sky PLC XS0301676861 0.80 Standard European Corporate

Societe Generale SA XS0751525311 0.80 Standard European Corporate

Solvay SA BE0374557404 0.80 Standard European Corporate

Standard Chartered Bank XS1284564779 0.80 Standard European Corporate

Statoil ASA US85771PAB85 0.80 Standard European Corporate

Suedzucker AG XS0606202454 0.80 Standard European Corporate

Swiss Reinsurance Co Ltd USU7514EAU48 0.80 Standard European Corporate

Tate & Lyle PLC XS0469026453 0.80 Standard European Corporate

TDC A/S XS0593960304 0.80 Standard European Corporate

Telefonaktiebolaget LM Ericsson XS030704547 0.80 Standard European Corporate

Telefonica SA XS0934042549 0.80 Standard European Corporate

Telekom Austria AG XS0767278301 0.80 Standard European Corporate

Telenor ASA XS0301954771 0.80 Standard European Corporate

TeliaSonera AB XS0592627003 0.80 Standard European Corporate

Royal Bank of Scotland PLC/The XS0254035768 0.80 Standard European Corporate

TOTAL SA XS0410303647 0.80 Standard European Corporate

UBS AG XS0304031775 0.80 Standard European Corporate

UniCredit SpA XS1055725730 0.80 Standard European Corporate

Unilever NV XS0957258212 0.80 Standard European Corporate

United Utilities PLC US91311QAC96 0.80 Standard European Corporate

Valeo SA FR0011689033 0.80 Standard European Corporate

Vattenfall AB XS0191154961 0.80 Standard European Corporate

Veolia Environnement SA FR0000474983 0.80 Standard European Corporate

Vinci SA FR0011164888 0.80 Standard European Corporate

Vivendi SA FR0010830034 0.80 Standard European Corporate

Vodafone Group PLC XS0169888558 0.80 Standard European Corporate

Volkswagen AG XS0168881760 0.80 Standard European Corporate

Wendel SA FR0011694496 0.80 Standard European Corporate

Wolters Kluwer NV XS0357251726 0.80 Standard European Corporate

WPP 2005 Ltd XS0294391684 0.80 Standard European Corporate

Zurich Insurance Co Ltd CH0133090610 0.80 Standard European Corporate

#18621082


Series N°10437

14

RISK FACTORS

The Hybrid Securities are Securities which are both credit-linked and underlying-linked with the Nominal Value being linked to one or more Reference Entities and to one or more Underlying(s). Return on a Holder's investment depends not only on the creditworthiness of the Issuer and the Reference Entities but also on the creditworthiness of the issuer or obligor of the Underlying(s) and the performance of the Underlying(s).

An investment in the Hybrid Securities entails significant risks that are not associated with similar investments in a conventional fixed or floating rate debt security. Hybrid Securities should only be purchased by investors who are, or who are purchasing under the guidance of, financial institutions that are in a position to understand the special risks that an investment in these instruments involves. These risks include, among other things, the possibility that:

the occurrence of one or more Credit Events which may result in the reduction of the Nominal Value of the Credit-Linked Portion of the Hybrid Securities and the amount and timing of principal and non-principal amounts payable in respect of the Hybrid Securities as a whole

the occurrence of one or more Events which may result in a reduction in, and a change in timing in payment of, amounts payable in respect of the Hybrid Securities;

the Underlying(s) may be subject to significant price changes which will affect the amounts payable in respect of the Underlying-Linked Portion of the Hybrid Securities and/or amounts payable in respect of the Hybrid Securities as a whole;

the repayment of principal and the payment of interest or other non-principal amounts can occur at times and in amounts other than those anticipated by the Holder of a Hybrid Security;

the risks of investing in the Hybrid Securities encompass risks relating to the Reference Entities, the Underlyings, the issuers and obligors in respect thereof, together with risks that are specific to the Hybrid Securities themselves;

any Hybrid Security that is indexed to more than one Reference Entity, Underlying or to formulas that encompass the risks associated with more than one type of asset, is likely to carry levels of risk that are greater than those linked to the Securities that are indexed to only one Reference Entity or one single type of Underlying;

it may not be possible for investors to hedge their general exposure to the risks relating to the Hybrid Securities or any exposure to any specific risk relating to the Hybrid Securities; and

any market disruption or extraordinary event could imply the disappearance of the Index or the Indices to which the Hybrid Securities may be linked.

In addition, the value of the Hybrid Securities is subject to greater levels of risk than the value of other securities. The secondary market, if any, for the Hybrid Securities may be affected by a number of factors, independent of the creditworthiness of the Issuer and Reference Entities and the value of the applicable Underlying(s), including the volatility of the Underlying(s), the time remaining to the maturity of such Hybrid Securities, the amount outstanding of such Hybrid Securities and market interest rates. The value of the applicable Underlying(s) and the likelihood of the occurrence of a Credit Event depend on a number of inter-related factors, including economic, financial and political events which are beyond the control of the Issuer. Any track record, financial data and/or economic figure concerning any Underlying(s) and/or Reference Entity should not be taken as a guarantee or an indication of future performance of such Underlying(s) and Reference Entities during the term of any Hybrid Security.

Credit-linkage

Amounts payable by the Issuer in respect of the Credit-Linked Portion of the Hybrid Securities are, inter alia, dependent on whether (i) a Credit Event has occurred in respect of the relevant Reference Entity(ies) and (ii) certain other events have occurred (for further information on risk factors, see the whole paragraph entitled Risk Factors). The occurrence of a Credit Event or such other event(s) may also impact on the amount(s) payable and the timing of payment of amount(s) in respect of the Underlying-Linked Portion of the Hybrid Securities. In certain circumstances, the Hybrid Securities will cease to bear interest (if any) or other non-principal amounts linked to the Underlying-Linked Portion of the Hybrid Securities and the value paid to Holders on settlement may be less than their original investment and may in certain circumstances be equal to zero.

The likelihood of a Credit Event occurring in respect of any Reference Entity will generally fluctuate with, among other things, the financial condition and/or other related characteristics of such Reference Entity, general economic conditions, conditions which may prevail on the financial markets, political situations or events, developments or trends in any particular industry. Prospective investors should review the Reference Entity/ies and conduct their own investigation and analysis assisted by any professional advisor they may deem necessary, with respect to the creditworthiness of each Reference Entity and the likelihood of the occurrence of a Credit Event with respect to each Reference Entity.

Any quotations obtained to determine the Settlement Amount may vary widely from dealer to dealer and substantially between Valuation Dates (if Multiple Valuation Dates apply). The Obligations selected, even in the absence of a Credit Event, may suffer from a substantial lack of liquidity which may be illiquid and such illiquidity may be expected to be more pronounced following the occurrence of a Credit Event, thereby having a material adverse impact on any determination of the value of such Obligation which in turn will impact on the Settlement Amount. Furthermore, the Calculation Agent is entitled to select the Obligation which has the lowest value in the market at the relevant time provided that such Obligation satisfies the criteria set out in the Final Terms.

Some Reference Obligations may have no, or only a limited, trading market. The liquidity of Reference Obligations will generally fluctuate with, among other things, the liquidity of the loan and bond markets, general economic conditions, conditions which may prevail on the financial markets, political situations and events and developments or trends in any particular industry. Prospective investors should review the Reference Entity/ies and conduct their own investigation and analysis with respect to the creditworthiness of each Reference Entity and the likelihood of the occurrence of a Credit Event with respect to each Reference Entity.

Some or all of the Reference Obligations may also be subject to restrictions on transfer and may be considered illiquid. If a Credit Event occurs in respect of a Reference Entity, any resulting diminution in market value of the related Reference Obligation or Reference Obligations could be further

#18621082


Series N°10437

15

magnified by reason of such limited liquidity.

The Issuer's obligations in respect of the Hybrid Securities are irrespective of the existence or risk of the Issuer's and/or any Affiliate's credit exposure to an Reference Entity and the Issuer and/or any Affiliate need not suffer any loss nor provide evidence of any loss as a result of the occurrence of a Credit Event.

Underlying-linkage

The Issuer shall select the Underlying(s) to which the Underlying-Linked Portion of the Hybrid Securities shall be linked, as specified in the Final Terms.

A Holder will not be a beneficial owner of the Underlying(s) or of the components of the Underlying(s). As such, depending on the type of Hybrid Security, a Holder may bear similar market risks or other risks to a direct investment in the Underlying(s) or the components thereof but will not be entitled to any voting rights or other control rights to which holders of the Underlying(s) or the components thereof would be entitled.

The return on the Underlying-Linked Portion of the Hybrid Securities will be determined by the Calculation Agent in good faith and consequently, such determination may not reflect the return the Holder would realise if he or she actually owned the Underlying(s) or the components thereof.

In certain circumstances, including following the occurrence of a Credit Event or an Event, the amount payable to Holders in respect of the Underlying-Linked Portion or the Credit-linked Portion of the Hybrid Securities will be calculated by the Calculation Agent in good faith by reference to the Fair Market Value or, as the case may be, the Capitalised Fair Market Value (each as defined in the Conditions) (which may be zero) at the relevant date of calculation and may be paid prior to or after the Scheduled Maturity Date. In such circumstances and due to the hybrid nature of the Hybrid Securities, the Holder could lose a substantial portion of the principal of such Security and non-principal amounts that would have accrued thereon.

SEK FX hedged Credit-Linked Notes on iTraxx Main S24 ...€¦ · SEK FX hedged Credit-Linked Notes...

Documents

Transcript of SEK FX hedged Credit-Linked Notes on iTraxx Main S24 ...€¦ · SEK FX hedged Credit-Linked Notes...