SOCIETE GENERALE EFFEKTEN GMBH
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1 SOCIETE GENERALE EFFEKTEN GMBH FINAL TERMS IN RESPECT OF CASH SETTLED CALL WARRANTS LINKED TO THE OMX STOCKHOLM 30 INDEX (the SDs or the Warrants) ISSUED UNDER THE SECURITISED DERIVATIVES PROGRAMME THE SECURITISED DERIVATIVES DOCUMENTED HEREIN ARE INTENDED FOR PURCHASE BY INVESTORS, ALL OR SOME OF WHOM MAY OR MAY NOT BE INVESTORS WHO ARE PARTICULARLY KNOWLEDGEABLE IN INVESTMENT MATTERS. PART A CONTRACTUAL TERMS Terms used herein shall be deemed to be defined as such for the purposes of the Terms and Conditions set forth in the Base Prospectus dated 25 June 2012 as supplemented by any supplement to the Base Prospectus (the Base Prospectus), which constitutes a Base Prospectus for the purposes of the Prospectus Directive (Directive 2003/71/EC) (the Prospectus Directive). This document constitutes the final terms of each Series of the SDs described herein for the purposes of Article 5.4 of the Prospectus Directive and must be read as a separate document in respect of each Series in conjunction with the Base Prospectus. Full information on the Issuer, the Guarantor and the offer of the SDs is only available on the basis of the combination of these Final Terms and the Base Prospectus. The Base Prospectus, and any supplement to the Base Prospectus, is available for viewing during normal business hours at the registered office of the Issuer and the specified office of the Agent. The SDs, the Guarantee and any securities to be issued or delivered on the exercise or redemption of the SDs have not been and will not be registered under the United States Securities Act of 1933, as amended (the Securities Act) or the securities laws of any state of the United States. The SDs and the Guarantee are being sold only outside the United States to non-u.s. persons in accordance with Regulation S under the Securities Act. Accordingly, the Warrants may not be exercised and the SDs, the Guarantee and any securities to be issued or delivered on exercise or redemption of the SDs may not be offered or sold to any person in the United States or to, or for the account or benefit of, a U.S. person (as defined in Regulation S under the Securities Act). Furthermore, trading in the SDs has not been approved by the United States Commodity Futures Trading Commission and neither the Guarantor or the Issuer has been or will be registered as a commodity pool operator under the rules promulgated under the United States Commodity Exchange Act of 1936, as amended, and no U.S. person may at any time trade or maintain a position in the SDs. The Issuer has not registered and does not intend to register as an "investment company" under the United States Investment Company Act of 1940, as amended. References herein to numbered Conditions are to the terms and conditions of the SDs (the Conditions) and words and expressions defined in the Conditions shall bear the same meaning in these Final Terms, save as where otherwise provided. Subject as provided below, the Issuer and the Guarantor accept responsibility for the information contained in these Final Terms. The information relating to the Index contained herein has been accurately reproduced from information published by the Sponsor. So far as either the Issuer or the Guarantor is aware and/or is able to ascertain from information published by the Sponsor, no facts have been omitted which would render the reproduced information misleading. The SDs are not sponsored, endorsed, sold or promoted by The NASDAQ OMX Group, Inc. or its affiliates (NASDAQ OMX, with its affiliates, are referred to as the Corporations). The Corporations have not passed
2 - 2 - on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating to, the SDs. The Corporations make no representation or warranty, express or implied to the owners of the SDs or any member of the public regarding the advisability of investing in securities generally or in the SDs particularly, or the ability of the OMXS30 Index to track general stock market performance. The Corporations' only relationship to Societe Generale (Licensee) is in the licensing of the NASDAQ, OMX, NASDAQ OMX, OMXS30 TM, and OMXS30 Index TM registered trademarks and certain trade names of the Corporations and the use of the OMXS30 Index which is determined, composed and calculated by NASDAQ OMX without regard to Licensee or the SDs. NASDAQ OMX has no obligation to take the needs of the Licensee or the owners of the SDs into consideration in determining, composing or calculating the OMXS30 Index. The Corporations are not responsible for and have not participated in the determination of the timing of, prices at, or quantities of the SDs to be issued or in the determination or calculation of the equation by which the SDs are to be converted into cash. The Corporations have no liability in connection with the administration, marketing or trading of the SDs. THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY AND/OR UNINTERRUPTED CALCULATION OF THE OMXS30 INDEX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY LICENSEE, OWNERS OF THE SDS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE OMXS30 INDEX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE OMXS30 INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR ANY LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
3 - 3 - MAIN PROVISIONS 1. Issuer: Societe Generale Effekten GmbH 2. Type of Securitised Derivatives: - Series A: Single Index Cash Settled European Style Call Warrants - Swedish SDs - Series B: Single Index Cash Settled European Style Call Warrants - Swedish SDs 3. Number of Warrants/Aggregate Nominal Amount of Certificates: - Series A: 500,000 - Series B: 500, Specified Denomination: 5. Consolidation: 6. Issue Date: 19 February Issue Price: - Series A: SEK 100 per Warrant - Series B: SEK 100 per Warrant 8. Determination Date (Certificates)/Expiration Date (European Style Warrants)/Exercise Period (American Style Warrants): 9. Settlement Date (Warrants)/Maturity Date (Certificates): The earlier of 21 January 2033 and the Early Expiration Date or, in each case (if such date is not a Trading Day) the immediately succeeding Trading Day. The relevant Early Expiration Date is the third Business Day following the date on which the Issuer has notified the Holders of the relevant Series of Warrants, in accordance with the Conditions, that such Warrants will expire on such third Business Day and be settled at the applicable Settlement Price, subject to the payment of the Exercise Price per Warrant. The Issuer shall have the right to deliver such notice on any date from, but excluding, the Issue Date, to, but excluding, 21 January Notwithstanding the definition of Settlement Date in Condition 1, up to 12 Business Days following the Expiration Date. 10. Settlement Currency: SEK UNDERLYING 11. Index Securitised Derivatives: Applicable 11.1 Index/Indices: OMX Stockholm 30 Index (Reuters:.OMXS30) (the Index or the Underlying)
4 Sponsor(s): OMX AB (publ) 11.3 Exchange(s): The Stockholm Stock Exchange 11.4 Related Exchange(s): Each exchange on which futures/options contracts relating to the Index or its component stocks, as the case may be, are traded, from time to time, as determined by the Calculation Agent Reference Page(s): For information purposes only, details of the level of the Index can be found on Reuters page ".OMXS30". Further information about the Index can be found on Actual Maturity Date: 11.7 Actual Maturity Value: 11.8 Adjustments in case of events relating to Index/Indices As set out in Condition Other provisions: 12. Share Securitised Derivatives and GDR Securitised Derivatives: 13. Debt Instrument Securitised Derivatives: 14. Credit Linked SDs provisions: 15. Currency Securitised Derivatives: 16. Commodity Securitised Derivatives: 17. Interest Rate Securitised Derivatives: 18. Fund Securitised Derivatives: 19. Securitised Derivative Securitised Derivatives: 20. Additional provisions relating to open ended SDs: INTEREST/COUPON 21. Provisions relating to Fixed Rate SDs: 22. Provisions relating to Floating Rate SDs: BASKET 23. Provisions relating to Basket SDs:
5 - 5 - EXERCISE/REDEMPTION AND SETTLEMENT 24. Issuer option to vary settlement: 25. Cash Settlement Amount (Warrants)/Redemption Amount (Certificates): As set out in the Conditions 26. Settlement Price(s): See Annex I for details of the Settlement Price. 27. Termination or adjustments in the case of increased cost of hedging: As set out in Condition Trigger Early Expiration Option Applicable (a) Outstanding Amount Trigger Level: As set out in the Conditions (b) Early Trigger Level Redemption Amount (Certificates)/Early Trigger Level Termination Amount (Warrants): Fair Market Value 29. Notional Amount: 30. Parity: 31. Valuation Date(s): Initial Valuation Date means 18 February Conversion Rate: 33. Substitute Conversion Rate: 34. Entitlement: 35. Evidence of Entitlement: 36. Delivery of Entitlement: 37. Reference Period: 38. Reference Range: Final Valuation Date means 21 January 2033 or, if any such day is not a Trading Day, the immediately succeeding Trading Day. 39. Exercise provisions applicable to Warrants Applicable 39.1 Exercise: Automatic Exercise 39.2 Exercise Price: SEK 0.01 per Warrant 39.3 Minimum Exercise Number:
6 Maximum Exercise Number: 40. Provisions applicable to Certificates GENERAL PROVISIONS 41. Business Day Centre: London and Stockholm 42. Trading Day: As set out in the Conditions 43. Date of Board of Directors approval: 44. Minimum Trading Number: One SD 45. Additional selling restrictions: 46. Indicative last trading day: The Expiration Date 47. Distribution: Distribution on a non-syndicated basis 48. Modifications to the Conditions, other terms or special conditions: The Conditions for Swedish SDs apply.
7 - 7 - LISTING AND ADMISSION TO TRADING APPLICATION These Final Terms comprise the final terms required to list and have admitted to trading the issue of securitised derivatives described herein pursuant to the Securitised Derivatives Programme of Societe Generale Effekten GmbH RESPONSIBILITY The Issuer and the Guarantor accept responsibility for the information contained in these Final Terms. Signed on behalf of the Issuer: By: Date: Paris Authorised representatives of Societe Generale Effekten GmbH
8 - 8 - PART B OTHER INFORMATION 1. LISTING (i) Listing: Application has been made for the SDs to be listed on the Nordic Derivatives Exchange, (NDX) a part of the regulated market Nordic Growth Market NGM AB. (ii) Admission to trading: Application has been made for the SDs to be admitted to trading on the Nordic Derivatives Exchange, (NDX) a part of the regulated market Nordic Growth Market NGM, with effect from the Issue Date. 2. RATINGS 3. NOTIFICATION AND AUTHORISATION 4. INTERESTS OF NATURAL AND LEGAL PERSONS INVOLVED IN THE ISSUE Save for any fees payable to the Manager, so far as the Issuer is aware, no person involved in the issue of the SDs has an interest material to the offer. 5. REASONS FOR THE OFFER, ESTIMATED NET PROCEEDS AND TOTAL EXPENSES 6. YIELD 7. HISTORIC INTEREST RATES 8. PERFORMANCE OF UNDERLYING, EXPLANATION OF EFFECT ON VALUE OF INVESTMENT AND ASSOCIATED RISKS AND OTHER INFORMATION CONCERNING THE UNDERLYING (a) INDEX The SDs (commercial name: Bull Certifikat) are designed to track the performance of the Leveraged Strategy (as defined in Annex II), after taking into account deduction of the Commission (as defined in Annex I), and through tracking the performance of the Leveraged Strategy, the SDs provide a daily exposure to the Index. The exposure to the Index provided by the SDs is amplified by a Target Daily Exposure (as defined in Annex II). Subject to taking into account the Rate, the Commission and the Underlying Dividends (each as defined in Annex I and II) the SDs are designed to multiply the daily performance of the
9 - 9 - Index by a factor (the Target Daily Exposure as defined in Annex II) of 11 (in relation to Series A) and 12 (in relation to Series B) (except in limited circumstances, where an intraday restrike of the SDs may be triggered to offer some protection against an extreme fall in the value of the Index). If, for example, on any trading day the Index moves by 1 per cent. from its closing level on the previous trading day, the value of the SDs, subject to the Rate, the Commission and the Underlying Dividends (each as defined in Annexes I and II), on such trading day will move by approximately 1 per cent. multiplied by the relevant Target Daily Exposure (as defined in Annex II) for such series of SDs. The higher the performance of the Index, the higher the return on the SDs and, conversely, the lower the performance of the Index, the lower the return on the SDs. It is important to note that the exposure of the SDs to the Index are re-set daily. This means that the performance of the SDs with respect to any given trading day is based on how far the Index has risen or fallen from the level it closed at the trading day before. The next trading day, the process starts again from the new closing level of the Index. As a result, over periods of more than one day, movements in the Index are compounded and the performance of the SDs will potentially deviate from 11 times (in the case of Series A) and 12 times (in the case of Series B) the actual performance of the Index over such period of time depending on the day to day performance of the Index during such period. Information relating to the performance of the Index is available on the website of the Index Sponsor and details regarding the volatility can be obtained, upon request, at the specified office of Societe Generale and at the office of the Agent. Further information can be obtained from the website of Societe Generale at (b) SHARE/GDR/BASKET OF SHARES/BASKET OF GDRs/ BASKET OF SHARES and GDRs (c) DEBT INSTRUMENT/BASKET OF DEBT INSTRUMENTS (d) REFERENCE ENTITY AND REFERENCE OBLIGATION/ BASKET OF REFERENCE REFERENCE ENTITIES / OBLIGATIONS (e) RATE OF EXCHANGE/CURRENCIES/BASKET OF CURRENCIES (f) COMMODITY/BASKET OF COMMODITIES (g) SECURITISED DERIVATIVE/BASKET OF SECURITISED DERIVATIVES
10 (h) DYNAMIC BASKET 9. PUBLIC OFFERS 10. OPERATIONAL INFORMATION (a) ISIN Code: - Series A: DE000SG3TWN2 - Series B: DE000SG3TWP7 (b) Local Code: - Series A: BULL OMX X11 SG - Series B: BULL OMX X12 SG (c) Any additional or alternative or Operator or clearing system: Euroclear Sweden AB (d) Agent and specified office: Nordea Bank AB Smålandsgatan 17, A213 SE Stockholm Sweden (e) Calculation Agent: Societe Generale, Paris (f) Secondary trading: Societe Generale or another entity of Societe Generale has a firm commitment to act as intermediary in secondary trading, providing liquidity through bid and offer rates. Societe Generale's commitment as market maker, or that of such relevant entity of the Societe Generale group, implies a commitment to abide by the relevant regulations of the Nordic Derivatives Exchange's regulated market (NDX).
11 ANNEX I SETTLEMENT PRICE Save in the case of an Early Expiration, the Settlement Price will be an amount per Warrant determined for the Final Valuation Date in accordance with the following formula: SEK 0.01 MAX Issue Price Ratio LSCL LSCL C ; 0 where: C T(f) Ratio or Ratio t Means Commission t calculated as of the Final Valuation Date. Means, for each calendar day (t), the value of Ratio t in respect of each Warrant on such calendar day (t), which shall be the value of Ratio t on the calendar day (t-1) unless adjusted by the Calculation Agent in accordance with the below. If, on any calendar day (t) from, but excluding, the Initial Valuation Date to, and including, the Final Valuation Date: 20%, then the Calculation Agent shall adjust the value of Ratio t in respect of such calendar day (t) in accordance with the below formula. The Calculation Agent may also, on any calendar day (t) from, but excluding, the Initial Valuation Date to, and including, the Final Valuation Date, elect in its sole discretion to adjust the value of Ratio t in respect of such calendar day (t) in accordance with the following formula. Where the Calculation Agent adjusts the value of Ratio t it shall do so in accordance with the following formula: LSCL Ratio Ratio LSCL C before Issue Price LSCL Where Ratio t-1 means the value of Ratio t prior to such adjustment and C(before) shall be determined in accordance with the following formula: Ratio T(0) Ratio T(f) T(0) T(f) LSCL T(0) or LSCL(T(0)) C before C CR GPR IV In relation to any calendar day (t), the value of Ratio t will be published on the website in respect of such calendar day (t). Means the value of Ratio t on the Initial Valuation Date, which is equal to 1. Means the value of Ratio t on the Final Valuation Date. Means the Initial Valuation Date. Means the Final Valuation Date. Means the Leveraged Strategy Closing Level as of the Initial Valuation Date.
12 LSCL T(f) or LSCL(T(f)) LSCL t or LSCL(t) Intrinsic Value or IV t Means the Leveraged Strategy Closing Level as of the Final Valuation Date. Means, for each calendar day (t), the latest available Leveraged Strategy Closing Level as of such calendar day (t), as such level may be adjusted in accordance with the definition of "Extraordinary Leveraged Strategy Adjustment for Performance Reasons". Means, in respect of each calendar day (t), an amount determined by the Calculation Agent in accordance with the following formula: where: IV MAX Issue Price Ratio LSCL C LSCL ; 0 C t-1 means, in respect of each calendar day (t), the value of C t calculated in respect of calendar day (t-1). Commission t, Commission or C t Means, in respect of each calendar day (t), if (t) is the Initial Valuation Date or a day on which the value of Ratio(t) has been adjusted: 0 Else: the sum of commissions calculated as of such calendar day (t) in the period from, but excluding, the Initial Valuation Date (or where the value of Ratio t has been adjusted, from, but excluding the date of the last such adjustment of Ratio t ) (such date being T(1) for the purpose of the formula below) to, and including, such calendar day (t), as determined by the Calculation Agent in accordance with the following formula: where: ; CR GPR IV CR s means, in respect of each calendar day (s), the annual commission rate as of such calendar day (s). The level of the annual commission rate will be determined by the Calculation Agent from time to time and published on the website subject to a minimum of 0 per cent and maximum of 2 per cent with an initial commission rate of 0.45 per cent at the Initial Valuation Date. GPR s means, for each calendar day (s), the annualised gap premium rate as of such calendar day (s), as determined by the Calculation Agent. The gap premium rate corresponds to the cost that Societe Generale would charge, acting in good faith, to replicate the performance of the Leveraged Strategy, which includes, inter alia, the costs of hedging the risk of the fair value of the Leveraged Strategy becoming negative. In relation to any calendar day (s), the value of GPR(s) as of such calendar day (s) will be published on the website
13 IV s means an amount equal to the Intrinsic Value determined as in respect of calendar day (s). Leveraged Strategy and Leveraged Strategy Closing Level Shall be determined as set out in Annex II. In the case of an Early Expiration, the applicable Settlement Price will be an amount per Warrant determined on the Early Expiration Date in accordance with the following formula: where: Ratio EED LSCL T(EED) C EED SEK 0.01 MAX Issue Price Ratio LSCL LSCL C ; 0 Means the value of Ratio t on the Early Expiration Date. Means the latest available Leveraged Strategy Closing Level as of the Early Expiration Date. Means Commission t calculated as of the Early Expiration Date.
14 ANNEX II LEVERAGED STRATEGY The strategy to which the performance of the Warrants is linked is the Leveraged Strategy which consists of the Underlying with a Target Daily Exposure and a hypothetical money market instrument. The notional exposure of the Leveraged Strategy to the Underlying is revised on each Trading Day in order to take into account the Leveraged Strategy Closing Level as of the previous Trading Day, as further described hereinafter. Subject to the occurrence of an Intraday Restrike Event (following which the Leveraged Strategy Closing Level will be determined in accordance with the provisions of the definition of "Extraordinary Leveraged Strategy Adjustment for Performance Reasons), for each Trading Day (t), the Leveraged Strategy Closing Level as of such Trading Day (t) is calculated in accordance with the following formula: LSCL t 1 Underlying t 1 E 1 1 E Rate t 1 Underlying t 1 70% Div t ACT t 1, t 360 Where LSCL(T(0)) = Subject to the occurrence of an Intraday Restrike Event (following which the Leveraged Strategy Level will be determined in accordance with the provisions of the definition of "Extraordinary Leveraged Strategy Adjustment for Performance Reasons), for each Trading Day (t) and each Valuation Time (v), the Leveraged Strategy Level as of such Valuation Time (v) may be calculated in accordance with the following formula:, LSCL t 1 Underlying t, v 1 E 1 1 E Rate t 1 Underlying t 1 70% Div t ACT t 1, t 360 Both the Leveraged Strategy Closing Level and the Leveraged Strategy Level are subject to a minimum of zero. In these Final Terms, for each Trading Day (t), t(-1) means the Trading Day immediately preceding (t) provided that for the purposes of determining LSCL(t) on a Trading Day immediately following an Intraday Restrike Event Reference Day, references to (t(-1)) in the formula of LSCL(t) above shall be deemed to be references to (t ) (as defined below). ACT(t(-1),t) CashRate or CashRate(t) Means, for each Trading Day (t), the number of calendar days from, and including, (i) the Trading Day immediately preceding such Trading Day (t) to, but excluding, (ii) such Trading Day (t). Means, for each calendar day (t): (i) the level of the Stockholm Interbank Offered Rate T/N for such calendar
15 day (t) (as displayed on the STIBORTN= Reuters page, or any successor service or page for the purpose of displaying such rate); or (ii) the last available level displayed on the STIBORTN= Reuters page, if a level of the Stockholm Interbank Offered Rate T/N dated as of such calendar day (t) is not available on such page, in both cases as determined by the Calculation Agent. Closing Valuation Time Underlying Dividends or Div(t) Means the scheduled closing time of the Exchange (being 17:30, Stockholm time, as of the Initial Valuation Date, as may be modified by the Exchange from time to time thereafter.) Means, for any Trading Day (t), the sum of all Gross Ordinary Dividends, expressed in index points for the Underlying, paid in respect of any component stock of the Underlying, which have an ex-dividend date between t(-1) (excluded) and (t) (included). If such Gross Ordinary Dividend is not denominated in the currency of the Underlying, this Gross Ordinary Dividend will be converted into such currency by the Calculation Agent using the latest available currency exchange rate as published at the close of the relevant Trading Day (t) by WM Company on its website (Bloomberg page WMCO), or any successor screen page. If no such currency exchange rate is available at the close of the relevant Trading Day (t) by WM Company on its website (Bloomberg page WMCO) (or any applicable successor screen page), the Calculation Agent shall determine such currency exchange rate in respect of Trading Day (t) in good faith and in a commercially reasonable manner. Gross Ordinary Dividend means, for each component stock of the Underlying, a dividend which is an ordinary cash dividend and which would not give rise to any Adjustment Event if the relevant component stock of the Underlying would be an Underlying for the Warrants and were Condition 23.2(d) to be applicable. Target Daily Exposure or E Extraordinary Leveraged Strategy Adjustment for Performance Reasons Means: - in respect of Series A: 11 - in respect of Series B: 12 If the Calculation Agent determines that an Intraday Restrike Event has occurred at a calculation time (v) during a Trading Day (t), an Extraordinary Leveraged Strategy Adjustment for Performance Reasons shall take place during such day (t) in accordance with the following provisions. The real time calculation of the Leveraged Strategy shall be suspended during the Intraday Restrike Event Observation Period and resume in accordance with this Annex II within 15 minutes following the end of such Intraday Restrike Event Observation Period (the point of such resumption being the Calculation Resume Time and the day on which such resumption occurs being the Calculation Resume Day (also noted CRD)). On each Calculation Resume Day, from the Calculation Resume Time, LSCL
16 (CRD) and LSL(CRD,v) will be determined as follows: For each Valuation Time (v) during such Calculation Resume Day following the end of the Intraday Restrike Event Observation Period, the Leveraged Strategy is calculated according to the following formula: LSL CRD, v LSL t, V v 1 E Underlying CRD, v 1 Underlying t, V v 70% Div t, CRD ACT t, CRD 1 E Rate t 360 And at the Closing Valuation Time of such Calculation Resume Day: LSCL CRD LSL t, V v 1 E Underlying CRD 1 Underlying t, V v 70% Div t, CRD ACT t, CRD 1 E Rate t 360 Where: (t ) is the latest Intraday Restrike Event Reference Day preceding, and excluding, Valuation Time (v). V REF (v) means the latest Intraday Restrike Event Reference Time preceding, and excluding, Valuation Time (v); ACT(t,CRD) means the number of calendar days from, and including, (i) (t ) to, but excluding, (ii) CRD. For the avoidance of doubt, if (t ) and CRD are falling on the same calendar day, ACT(t,CRD) shall be equal to zero (0); and Div(t,CRD) means, the sum of all Gross Ordinary Dividends, expressed in index points for the Underlying, paid in respect of any component stock of the Underlying, which have an ex-dividend date between (t ) (excluded) and CRD (included). If such Gross Ordinary Dividend is not denominated in the currency of the Underlying, this Gross Ordinary Dividend will be converted into such currency by the Calculation Agent using the latest available currency exchange rate as published at the close of CRD by WM Company on its website (Bloomberg page WMCO), or any successor screen page. If no such currency exchange rate is available at the close of CRD by WM Company on its website (Bloomberg page WMCO) (or any applicable successor screen page), the Calculation Agent shall determine such currency exchange rate in respect of CRD in good faith
17 and in a commercially reasonable manner. Gross Ordinary Dividend means, for each component stock of the Underlying, a dividend which is an ordinary cash dividend and which would not give rise to any Adjustment Event if the relevant component stock of the Underlying would be an Underlying for the Warrants and were Condition 23.2(d) to be applicable. LSL(t,V REF (v)) is calculated in accordance with the following formulae: (1) Where, in respect of an Intraday Restrike Event, on day (t ) one or more Intraday Restrike Event Times have previously occurred in respect of other Intraday Restrike Events, then (with the Intraday Restrike Event Reference Time which corresponds to the latest of such Intraday Restrike Events being v1 ): LSL t, V v LSL t, v1 1 E Underlying t, V v 1 Underlying t, v1 Where: LSL(t,v1) is determined in accordance with this section but with V REF (v) replaced by v1. (2) In circumstances other than those set out in (1): LSL t, V v LSLREF t REF 1 E Underlying t, V v 1 Underlying t REF 70% Div t REF, t ACT t REF, t 1 E Rate t REF 360 Where: t(ref) means the latest of (i) the day on which the latest Intraday Restrike Event Time has previously occurred in respect of other Intraday Restrike Events in which case t(ref) is referred to as (t ) and such Intraday Restrike Event Time is referred to as v1 and (ii) the Trading Day which immediately precedes (t ) in which case t(ref) is referred to as t (-1). LSLREF(t(REF)) means: if t(ref) is the day on which the latest Intraday Restrike Event Time has previously occurred in respect of other Intraday Restrike Events; then LSL t, v1 ; or otherwise LSCL t 1 Underlying(t(REF)) means if t(ref) is the day on which the latest Intraday Restrike Event Time has previously occurred in respect of other Intraday Restrike Events; then Underlying t, v1 ; or otherwise Underlying t 1
18 Underlying(t) Underlying(CRD) Underlying(t,v) Underlying(CRD,v) Intraday Reference Level Intraday Restrike Event Div(t(REF),t ) means the sum of all Gross Ordinary Dividends, expressed in index points for the Underlying, paid by any component stock of the Underlying, which have an ex-dividend date between t(ref) (excluded) and (t ) (included). If such Gross Ordinary Dividend is not denominated in the currency of the Underlying, this Gross Ordinary Dividend will be converted into such currency by the Calculation Agent using the latest available currency exchange rate as published at the close of (t ) by WM Company on its website (Bloomberg page WMCO), or any successor screen page. If no such currency exchange rate is available at the close of (t ) by WM Company on its website (Bloomberg page WMCO) (or any applicable successor screen page), the Calculation Agent shall determine such currency exchange rate in respect of (t ) in good faith and in a commercially reasonable manner. Means the official closing level of the Underlying on Trading Day (t) as published on Reuters page ".OMXS30". Means the official closing level of the Underlying on a day CRD as published on Reuters page ".OMXS30". Means, for any Trading Day (t) and any Valuation Time (v), the latest level of the Underlying as of such Valuation Time (v), as published on Reuters page ".OMXS30". Means, for a day CRD and any Valuation Time (v), the latest level of the Underlying as of such Valuation Time (v), as published on Reuters page ".OMXS30". Means in respect of Calculation Date(t) and a Valuation Time (v), the level of the Underlying as of the (i) last Intraday Restrike Event Reference Time preceding and excluding such valuation time or (ii) if no Intraday Restrike Event has occurred on such day, the Underlying t on the immediately preceding Trading Day. Means in respect of a Calculation Date(t), the decrease at a Valuation Time (v) of the Underlying level below the Daily Restrike Percentage of the relevant Intraday Reference Level at such Valuation Time (v). Daily Restrike Percentage Means in respect of Series A, 93% and in respect of Series B, 93% Intraday Restrike Event Observation Period Means in respect of an Intraday Restrike Event, the period starting on and excluding the Intraday Restrike Event Time and finishing on and including the time falling 15 minutes after the Intraday Restrike Event Time. Where, during such 15 minute period, the Calculation Agent determines that (i) the level of the Underlying is not disseminated by the Underlying Sponsor or (ii) the Exchange or the Related Exchange is not open for continuous trading, the Intraday Restrike Event Observation Period will be extended to the extent necessary until (i) the level of the Underlying is calculated and disseminated by the Underlying Sponsor and (ii) the Exchange and the Related Exchange are open for continuous trading for an aggregate period of 15 minutes. If the Intraday Restrike Event Observation Period would not end by the Closing Valuation Time: (i) such day will not be a Trading Day for the purposes of determining any element of the Leveraged Strategy, except (a) for
19 Intraday Restrike Event Reference Time Intraday Restrike Event Reference Day Intraday Restrike Event Time Leveraged Strategy Closing Level or LSCL(t) Leveraged Strategy Level or LSL(t,v) Rate or Rate(t) Spread or Spread(t) the purpose of calculating LSL(t,v REF (v)) (and the constituent parts thereof) corresponding to the applicable Intraday Restrike Event and (b) for the purpose of calculating LSL(t,v REF (v)) (and the constituent parts thereof) with respect to any previous Intraday Restrike Event that has occurred on such day, if any; and (ii) such Intraday Restrike Event Observation Period shall be extended to the following Trading Day to the extent necessary until the Calculation Agent determines that (a) the level of the Underlying is calculated and disseminated by the Underlying Sponsor for an aggregate period of 15 minutes and (b) the Exchange and the Related Exchange are open for continuous trading. For the purpose of determining the Intraday Restrike Event Observation Period only, the Exchange shall not be considered to be open for continuous trading during its closing auction period (as provided under the rules of the Exchange). Means in respect of an Intraday Restrike Event Observation Period, the Valuation Time at which the Leveraged Strategy Level reaches its lowest value during such period. Means in respect of an Intraday Restrike Event Observation Period, the day on which the Intraday Restrike Event Reference Time occurs Means in respect of an Intraday Restrike Event, the Valuation Time at which such event occurs. Means, for any Trading Day (t), the Closing Level of the Leveraged Strategy as of such day (t), as such level may be adjusted in accordance with the definition of "Extraordinary Leveraged Strategy Adjustment for Performance Reasons". Means, for any Trading Day (t) and any Valuation Time (v), the latest level of the Leveraged Strategy as of such Valuation Time (v), as such level may be adjusted in accordance with the definition of "Extraordinary Leveraged Strategy Adjustment for Performance Reasons". Means, for each Trading Day (t), an annualised rate calculated as of such day in accordance with the following formula: Rate(t)=CashRate(t)+Spread(t) Means, for any calendar day t, a financing spread calculated as follows: Spread(t) = max(stib1y(t) SKSWTN1(t) ; 0) STIB1Y(t) means, any such calendar day t: (i) (ii) the level of the Stockholm Interbank Offered Rate 1 year on such calendar day (t) (as displayed on STISEK1YDFI= Reuters page, or any successor service or page for the purpose of displaying such rate); or the last available level displayed on STISEK1YDFI= Reuters page, if a level of the Stockholm Interbank Offered Rate 1 year dated as of such calendar day (t) is not available, in both cases as determined by the Calculation Agent.
20 SKSWTN1(t) means, any such calendar day t: (i) (ii) the bid level of the SEK swap rate between one day and one year as of 18:00 CET on such calendar day (t) (as displayed on SEKAMTNS1Y= Reuters page, or any successor service or page for the purpose of displaying such rate); or the latest available bid level displayed on SEKAMTNS1Y= Reuters page, if a level of the SEK swap rate between one day and one year dated as of 18:00 CET on such calendar day (t) is not available, in both cases as determined by the Calculation Agent. Valuation Time Means with respect to the Leveraged Strategy, any time between the scheduled opening time of the Exchange and the Closing Valuation Time (being respectively 09:00 and 17:30 Stockholm time as of the Initial Valuation Date, as may be modified by the Exchange from time to time thereafter) provided that the relevant data is available to enable the Calculation Agent to determine the Leveraged Strategy Level.
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