Final Terms dated 4 February 2008 CAISSE NATIONALE DES CAISSES D EPARGNE ET DE PREVOYANCE

Transcription

1 Final Terms dated 4 February 2008 CAISSE NATIONALE DES CAISSES D EPARGNE ET DE PREVOYANCE Euro 30,000,000,000 Euro Medium Term Note Programme for the issue of Notes Due from one month from the date of original issue SERIES NO: 514 TRANCHE NO: 1 Issue of EUR 50,000,000 Dow Jones EUROSTOXX 50 Index Linked Notes due 6 February 2018 (the Notes ) CALYON PART A CONTRACTUAL TERMS Terms used herein shall be deemed to be defined as such for the purposes of the Conditions set forth in the Base Prospectus dated 30 July 2007 and the Base Prospectus Supplements dated respectively, 18 September 2007, 16 October 2007, 8 November 2007 and 23 January 2008 which together constitute a base prospectus for the purposes of the Prospectus Directive (Directive 2003/71/EC) (the Prospectus Directive ). This document constitutes the Final Terms of the Notes described herein for the purposes of Article 5.4 of the Prospectus Directive and must be read in conjunction with such Base Prospectus as so supplemented. Full information on the Issuer and the offer of the Notes is only available on the basis of the combination of these Final Terms and the Base Prospectus. The Base Prospectus and the Base Prospectus Supplement are available for viewing at the office of the Fiscal Agent or each of the Paying Agents and on the website of the regulated market where the admission to trading is sought and copies may be obtained from Caisse Nationale des Caisses d Epargne et de Prévoyance, 50, avenue Pierre Mendès-France Paris Cedex 13, France. 1. Issuer: Caisse Nationale des Caisses d Epargne et de Prévoyance 2. (i) Series Number: 514 (ii) Tranche Number: 1 3. Specified Currency or Currencies: Euro ("EUR") 4. Aggregate Nominal Amount of Notes admitted to trading: (i) Series: EUR 50,000,000 1

2 (ii) Tranche: EUR 50,000, Issue Price: 100 per cent. of the Aggregate Nominal Amount 6. Specified Denomination(s): EUR 100, (i) Issue Date: February 6, 2008 (ii) Interest Commencement Date: Issue Date 8. Maturity Date: February 6, Interest Basis: Index Linked Interest in respect of each Index Linked Interest Payment Dates (i) (as defined in the item 18 Index-Linked Interest Note/other variablelinked interest Note Provisions below) 10. Redemption/Payment Basis: Index Linked Redemption (further particulars specified below) 11. Change of Interest or Not Applicable Redemption/Payment Basis: 12. Put/Call Options: Not Applicable 13. (i) Status of the Notes: Unsubordinated Notes (ii) Dates of the corporate authorisations for issuance of Notes obtained: 14. Method of distribution: Non-syndicated PROVISIONS RELATING TO INTEREST (IF ANY) PAYABLE 15. Fixed Rate Note Provisions Not Applicable 16. Floating Rate Note Provisions Not Applicable 17. Zero Coupon Note Provisions Not Applicable 18. Index-Linked Interest Note/other variable-linked interest Note Provisions Decision of the Directoire of the Issuer dated 12 March 2007 and 11 June 2007, and Decision of M. Julien CARMONA, Member of the Directoire, dated 21 January Applicable (i) Index/Formula/other variable: See Appendix 2

3 (ii) (iii) Calculation Agent responsible for calculating the interest due: Provisions for determining Coupon where calculated by reference to Index and/or Formula and/or other variable: CALYON 9 quai du Président Paul Doumer Paris La Défence Cedex France See Appendix (iv) Interest Period(s): (v) Provisions for determining Coupon where calculation by reference to Index and/or Formula and/or other variable is impossible or impracticable or otherwise disrupted: Annual periods. The Interest Period means the period from (and including) 6 February 2008 to (but excluding) the first Index Linked Interest Payment Date thereafter and each successive period from (and including) an Index Linked Interest Payment Date to (but excluding) the next succeeding Index Linked Interest Payment Date. See Appendix (vi) Interest or calculation period(s): See Appendix (vii) Specified Interest Payment Dates: 6 February in each year (defined as "Index Linked Interest Payment Date (i) ", being provided that the Index Linked Interest Payment Date (1) shall occur on February 6, 2009 and that the Index Linked Interest Payment Date (10) shall occur on February 6, 2018), in each case subject to adjustment in accordance with the Business Day Convention specified below. (viii) Business Day Convention: Following Business Day Convention (ix) Business Centre(s): TARGET and Scheduled Trading Day (x) Minimum Rate of Interest: 0.00 per cent per annum (xi) Maximum Rate of Interest: See Appendix (xii) Day Count Fraction (Condition 5(a)): Not Applicable 19. Dual Currency Note Provisions Not Applicable PROVISIONS RELATING TO REDEMPTION 20. Call Option Not Applicable 21. Put Option Not Applicable 22. Final Redemption Amount of each Note See Appendix 3

4 In cases where the Final Redemption Amount is Index-Linked or other variable-linked: (i) Index/Formula/variable: (ii) Calculation Agent responsible for calculating the Final Redemption Amount: See Appendix CALYON 9 quai du Président Paul Doumer (iii) Provisions for determining Final Redemption Amount where calculated by reference to Index and/or Formula and/or other variable: (iv) Determination Date(s): (v) Provisions for determining Final Redemption Amount where calculation by reference to Index and/or Formula and/or other variable is impossible or impracticable or otherwise disrupted: (vi) Payment Date: (vii) Minimum nominal amount to be redeemed: (viii) Maximum nominal amount to be redeemed: 23. Early Redemption Amount (i) Early Redemption Amount(s) of each Note payable on redemption for taxation reasons (Condition 6(f)), for illegality (Condition 6(j)) or on event of default (Condition 9) or other early redemption and/or the method of calculating the same (if required or if different from that set out in the Conditions): (ii) Redemption for taxation reasons permitted on days others than Interest Payment Dates (Condition 6(f)): (iii) Unmatured Coupons to become Paris La Défense Cedex France See Appendix See Appendix See Appendix Maturity Date See Appendix The Specified Denomination of each Note As per Conditions Yes 4

5 void upon early redemption (Materialised Bearer Notes only) (Condition 7(f)): Not Applicable GENERAL PROVISIONS APPLICABLE TO THE NOTES 24. Form of Notes: Dematerialised Notes (i) Form of Dematerialised Notes: Bearer dematerialised form (au porteur) (ii) Registration Agent: (iii) Temporary Global Certificate: (iv) Applicable TEFRA exemption: 25. Financial Centre(s) or other special provisions relating to Payment Dates: Not Applicable Not Applicable Not Applicable TARGET 26. Talons for future Coupons or Receipts to be attached to Definitive Notes (and dates on which such Talons mature): Not Applicable 27. Details relating to Partly Paid Notes: amount of each payment comprising the Issue Price and date on which each payment is to be made and consequences (if any) of failure to pay: Not Applicable 28. Details relating to Instalment Notes: amount of each instalment, date on which each payment is to be made: Not Applicable 29. Redenomination, renominalisation and Not Applicable reconventioning provisions: 30. Consolidation provisions: Not Applicable 31. Masse: Applicable The initial Representative will be: MURACEF 5, rue Masseran, Paris, France Represented by its Directeur Général The alternative Representative will be: Mr Hervé-Bernard VALLEE 5, rue Masseran, Paris, France 32. Other final terms: Not Applicable DISTRIBUTION 33. (i) If syndicated, names of Managers: Not Applicable (ii) Stabilising Manager(s) (if any): Not Applicable 34. If non-syndicated, name and address of The representative will not be entitled to any remuneration 5

6 Dealer: CALYON 9, quai du Président Paul Doumer Paris La Défense Cedex France 35. Additional selling restrictions: Not Applicable GENERAL 36. The aggregate principal amount of Notes issued has been translated into Euro at the rate of [ ] producing a sum Not Applicable of: PURPOSE OF FINAL TERMS These Final Terms comprise the final terms required for issue and admission to trading on the Luxembourg Stock Exchange of the Notes described herein pursuant to the Euro 30,000,000,000 Euro Medium Term Note Programme of Caisse Nationale des Caisses d Epargne et de Prévoyance. 6

7 PART B OTHER INFORMATION 1. RISK FACTORS As set out under "RISK FACTORS RISKS RELATED TO THE NOTES 2. Risks related to the structure of a particular Issue of Notes 2.7 Index Linked Notes (..)" in the Base Prospectus. In addition, please see item 5 of the Appendix to these Final Terms for a description of the underlying index which relates to these Notes. 2 LISTING AND ADMISSION TO TRADING (i) Admission to trading: Application is expected to be made by the Issuer (or on its behalf) for the Notes to be admitted to trading on the Luxembourg Stock exchange with effect from the Issue Date (6 February 2008) (ii) Estimate of total expenses Admission fee: EUR 400 related to admission to trading: Maintenance fee: EUR 3, RATINGS Ratings: The Notes to be issued have not been rated 3. NOTIFICATION Not Applicable 4. INTERESTS OF NATURAL AND LEGAL PERSONS INVOLVED IN THE ISSUE/OFFER So far as the Issuer is aware, no person involved in the offer of the Notes has an interest material to the offer. 5. REASONS FOR THE OFFER, ESTIMATED NET PROCEEDS AND TOTAL EXPENSES* (i) Reasons for the offer: The net proceeds of the issue will be used for the Issuer s general corporate purposes. (ii) Estimated net proceeds: EUR 50,000,000 (iii) Estimated total expenses: EUR 3,550 (listing fees) EUR 10,000 (license fees) 6. PERFORMANCE OF INDEX/FORMULA/OTHER VARIABLE, EXPLANATION OF EFFECT ON VALUE OF INVESTMENT AND ASSOCIATED RISKS AND OTHER INFORMATION CONCERNING THE UNDERLYING See Paragraph 1 (RISK FACTORS) and Appendix to these Final Terms. In addition: - the terms of the Notes provide that interest if any, equal to the Index Linked Interest Amount payable on the Notes will be dependent upon the performance of the Index; and 7

8 - the terms of the Notes also provide that the Final Redemption Amount will be dependent upon the performance of the Index and the Final Redemption Amount of each Note may, in certain circumstances, be less than its nominal amount (as described at Section 1/ (c) of the Appendix to these Final Terms). Post-Issuance information The Issuer does not intend to publish post-issuance information in relation to any underlying element to which the notes are linked. 7. OPERATIONAL INFORMATION ISIN Code: FR Common Code: Depositaries: (i) (ii) Euroclear France to act as Central Depositary: Common Depositary for Euroclear and Clearstream Luxembourg: Yes No Any clearing system(s) other than Euroclear and Clearstream, Luxembourg and the relevant identification number(s): Delivery: Names and addresses of additional Paying Agent(s) (if any): Not Applicable Delivery free of payment Not Applicable RESPONSIBILITY The Issuer accepts responsibility for the information contained in these Final Terms. The information relating to the Index set out in Section 5/ of the Appendix to these Final Terms has been extracted from publicly available information. The Issuer confirms that such information has been accurately reproduced and that, so far as it is aware, and is able to ascertain from information published by public sources, no facts have been omitted which would render the reproduced inaccurate or misleading. Signed on behalf of Caisse Nationale des Caisses d Epargne et de Prévoyance: Duly represented by:... Roland CHARBONNEL Director Liquidity, Capital Management and Investor Relations 8

9 APPENDIX (This Appendix forms part of the Final Terms to which it is attached) 1/ FINAL REDEMPTION AMOUNT Unless previously redeemed or purchased and cancelled as specified below and in the Terms and Conditions of the Base Prospectus, the Final Redemption Amount payable by the Issuer on the Maturity Date upon redemption of each Note will be an amount in EUR calculated by the Calculation Agent in accordance with the following provisions: (a) in the case where the Calculation Agent determines at the Valuation Time on the Final Valuation Date that the Knock-out Event has occurred on any Valuation Date (i), the Final Redemption Amount payable by the Issuer on the Maturity Date upon redemption of each Note will be an amount of 100,000 (i.e. 100% of the Specified Denomination); or (b) in the case where the Calculation Agent determines at the Valuation Time on the Final Valuation Date that (i) the Knock-out Event has not occurred on any Valuation Date (i) and (ii) the Knock-in Event has not occurred, the Final Redemption Amount payable by the Issuer on the Maturity Date upon redemption of each Note will be an amount of 100,000 (i.e. 100% of the Specified Denomination or (c) in the case where the Calculation Agent determines at the Valuation Time on the Final Valuation Date that (i) the Knock-out Event has not occurred on any Valuation Date (i) and (ii) the Knock-in Event has occurred, the Final Redemption Amount payable by the Issuer on the Maturity Date upon redemption of each Note will be an amount in EUR calculated by the Calculation Agent (and rounded to the nearest second decimal, with and above being rounded upwards) in accordance with the following formula: Index Final Price 100,000 x Min 100% ; Index Initial Price Where, unless the context otherwise requires, the following defined terms beginning by a capital letter shall have the meanings set forth below: "Disrupted Day" means any Scheduled Trading Day on which: (i) the Index Sponsor fails to publish the level of the Index; (ii) the Related Exchange fails to open for trading during its regular trading session; or (iii) a Market Disruption Event has occurred. "Early Closure" means the closure on any Exchange Business Day of the Exchange in respect of any Component Security or the Related Exchange prior to its Scheduled Closing Time unless such earlier closing is announced by such Exchange or Related Exchange (as the case may be) at least one hour prior to the earlier of: (i) the actual closing time for the regular trading session on such Exchange or Related Exchange (as the case may be) on such Exchange Business Day; and (ii) the submission deadline for orders to be entered into 9

10 the Exchange or Related Exchange system for execution at the relevant Valuation Time on such Exchange Business Day; "Exchange" or "Stock Exchange" in respect of each security comprising the Index (as determined by the Index Sponsor from time to time) (each a Component Security ), the principal stock exchange on which such security is principally traded or any successor to such exchange or quotation system or any substitute exchange or quotation system to which trading in the securities underlying the Index has temporarily relocated (provided that the Calculation Agent has determined that there is comparable liquidity relative to the securities underlying such Index on such temporary substitute exchange or quotation system as on the original Exchange); "Exchange Business Day" means any Scheduled Trading Day on which: (i) the Index Sponsor publishes the level of the Index; and (ii) the Related Exchange is open for trading during its regular trading session, notwithstanding the Related Exchange closing prior to its Scheduled Closing Time; "Exchange Disruption" means any event (other than an Early Closure) that disrupts or impairs (as determined by the Calculation Agent) the ability of market participants in general to effect transactions in, or obtain market values for: (i) any Component Security on the Exchange in respect of such Component Security; or (ii) futures or options contracts relating to the Index on the Related Exchange; "Final Valuation Date means January 30, 2018, (or, if any of such date is not a Scheduled Trading Day, the immediately preceeding Scheduled Trading Day that is not a Disrupted Day) (the "Scheduled Final Valuation Date"); "Index" means the Dow Jones EURO STOXX 50 Index as calculated and disseminated by the Index Sponsor (Bloomberg Code: SX5E); "Index Final Price" means the level of the Index determined by the Calculation Agent as of the Valuation Time on the Final Valuation Date; "Index Initial Price" means 3,805 (i.e. Spot level of the Index as observed on the trade date, January 21, 2008) "Index Sponsor" or "Sponsor" means STOXX Limited or any successor to such index sponsor which is acceptable in the opinion of the Calculation Agent; "Knock-in Event" means that the level of the Index determined as of the Knock-in Valuation Time on any Knock-in Determination Day during the Knock-out Determination Period is strictly below the Knock-in Price; "Knock-in Determination Day" means each Scheduled Trading Day during the Knock-in Determination Period, unless such day is a Disrupted Day due to the occurrence of an event giving rise to a Disrupted Day prior to the Knock-in Valuation Time on such day; "Knock-in Determination Period" means the period which begins on (and includes) January 30, 2008 and which ends on (and includes) the Final Valuation Date; "Knock-in Price" means 1, (i.e. 50% of the Index Initial Price), subject to any adjustment made pursuant to Section 3/ "Adjustments, Corrections and Modifications Affecting The Index" hereafter; "Knock-in Valuation Time" means the Valuation Time; 10

11 "Knock-out Event" means that the relevant Index Intermediary Price (i) (as defined in Section 2/ Index Linked Interest Note Provisions) determined by the Calculation Agent as of the Knock-out Valuation Time on any Valuation Date (i), is equal to or greater than the Knock-out Price; "Knock-out Price" means, in respect of any Valuation Date (i), 120% of the Index Initial Price (i.e. 4,566). "Knock-out Valuation Time" means the Valuation Time; "Market Disruption Event" means either: (i) (a) the occurrence or existence, in respect of any Component Security, of: (1) a Trading Disruption, which the Calculation Agent determines is material, at any time during the one hour period that ends at the relevant Valuation Time in respect of the Exchange on which such Component Security is principally traded; (2) an Exchange Disruption, which the Calculation Agent determines is material, at any time during the one hour period that ends at the relevant Valuation Time in respect of the Exchange on which such Component Security is principally traded; OR (3) an Early Closure which the Calculation Agent determines is material; AND (b) the aggregate of all Component Securities in respect of which a Trading Disruption, an Exchange Disruption or an Early Closure occurs or exists and the X Percentage comprises 20 per cent. or more of the level of the Index; OR (ii) the occurrence or existence, in respect of futures or options contracts relating to the Index, of: (a) a Trading Disruption; (b) an Exchange Disruption, which in either case the Calculation Agent determines is material, at any time during the one hour period that ends at the Valuation Time in respect of the Related Exchange; or (c) an Early Closure. For the purposes of determining whether a Market Disruption Event exists in respect of the Index at any time, if a Market Disruption Event occurs in respect of a Component Security at that time, then the relevant percentage contribution of that Component Security to the level of the Index shall be based on a comparison of (x) the portion of the level of the Index attributable to that Component Security to (y) the overall level of the Index, in each case using the official opening weightings as published by the Index Sponsor as part of the market "opening data". "Related Exchange" means EUREX Deutschland or any successor to such exchange(s) or quotation system(s) or any substitute exchange or quotation system to which trading in futures or options contracts relating to the Index has temporarily relocated (provided that the Calculation Agent has determined that there is comparable liquidity relative to the futures or options contracts relating to such Index on such temporary substitute exchange or quotation system as on the original Related Exchange); "Scheduled Closing Time" means, in respect of an Exchange or Related Exchange and a Scheduled Trading Day, the scheduled weekday closing time of such Exchange or Related Exchange on such Scheduled Trading Day, without regard to after hours or any other trading outside of the regular trading session hours; 11

12 "Scheduled Trading Day" means any day on which: (i) the Index Sponsor is scheduled to publish the level of the Index; (ii) the Related Exchange is scheduled to be open for trading for its regular trading session; and (iii) the X Percentage is no more than 20 per cent. of the Component Securities; "Trading Disruption" means any suspension of or limitation imposed on trading by the relevant Exchange or Related Exchange or otherwise and whether by reason of movements in price exceeding limits permitted by the relevant Exchange or Related Exchange or otherwise: (i) relating to any Component Security on the Exchange in respect of such Component Security; or (ii) in futures or options contracts relating to the Index on the Related Exchange; "Valuation Date (i) " means the January 30, 2009, February 1, 2010, January 31, 2011, January 30, 2012, January 30, 2013, January 30, 2014, January 30, 2015, February 1, 2016, January 30, 2017, January 30, 2018 as the case may be, (or, if any of such date is not a Scheduled Trading Day, the immediately preceeding Scheduled Trading Day that is not a Disrupted Day) (the "Scheduled Valuation Date"); "Valuation Time" means (i) for the purposes of determining whether a Market Disruption Event has occurred: (a) in respect of any Component Security, the Scheduled Closing Time on the Exchange in respect of such Component Security, and (b) in respect of any options contracts or future contracts on the Index, the close of trading on the Related Exchange; and (ii) in all other circumstances, the time at which the official closing level of the Index is calculated and published by the Index Sponsor; If, for the purposes of both paragraphs (i), the relevant Exchange closes prior to its Scheduled Closing Time, then the Valuation Time shall be the actual closing time of the Exchange; "X Percentage" means, in respect of the Index and on any day, the per cent. of the Component Securities that are scheduled to be unavailable for trading on the relevant Exchange(s) on that day by virtue of that day not being a day upon which the relevant Exchange(s) are scheduled to be open for trading for regular trading sessions. For the purpose of determining the X Percentage, the relevant percentage contribution of a Component Security unavailable for trading shall be based on a comparison of: (a) (b) the portion of the level of the relevant Index attributable to the Component Security; and the overall level of the Index, in each case using the official opening weightings as published by the relevant Sponsor as part of the market opening data. 2/ INDEX LINKED INTEREST NOTE PROVISIONS Accordingly to the item 18 "Index-Linked Interest Note/other variable-linked interest Note Provisions ", each Note bears index linked interest on its nominal amount from (and including) the Interest Commencement Date to (but excluding) the Maturity Date payable on each Index Linked Interest Payment Date (i) (as specified in the item 18 (vii) hereabove of the Final Terms) in amounts in EUR (each an "Index Linked Interest Amount (i) ") according to the following provisions: 12

13 (a) in the case where the Calculation Agent determines at the Valuation Time on any Valuation Date (i) that the Knock-out Event has not occurred the relevant Index Linked Interest Amount (i) will be determined as follows: - If the Index Performance (i) on the relevant Valuation Date (i) is equal to or greater than 60%, the Index Linked Interest Amount (i) will be an amount in EUR calculated by the Calculation Agent (and rounded to the nearest second decimal, with and above being rounded upwards), in accordance with the following formula: EUR 100,000 x (EUR CMS %) - 0% otherwise. (b) in the case where the Calculation Agent determines at the Valuation Time on any Valuation Date (i) that the Knock-out Event has occurred, the Index Linked Interest Amount (i) payable by the Issuer on such Index Linked Interest Payment Date (i) and all the succeeding Index Linked Interest Payment Date (i) until the Maturity Date will be an amount in EUR calculated by the Calculation Agent (and rounded to the nearest second decimal, with and above being rounded upwards), in accordance with the following formula: EUR 100,000 x (EUR CMS %) Where, unless the context otherwise requires, the following defined terms beginning by a capital letter shall have the meanings set forth below: EUR CMS10 means the rate for euro swap transactions with a Designated Maturity of ten (10) years (expressed as a percentage) which appears on the Reuters Screen ISDAFIX2 Page or any successor page) under the heading EURIBOR BASIS - EUR as of 11:00 a.m., Frankfurt time, five (5) TARGET Business Days prior to the beginning of each Interest Period. If the Calculation Agent determines in its sole discretion that, EUR CMS10 does not appear on the Reuters Screen ISDAFIX2 Page (or any successor of the relevant page), or for any other reason is unavailable or cannot reasonably be calculated, EUR CMS10 will be the rate determined by the Calculation Agent in accordance with "EUR-Annual Swap Rate-Reference Banks" as defined in the 2006 ISDA Definitions, except as modified below. The words "on the day that is two TARGET Settlement Days preceding that Reset Date shall be deleted and replaced with five (5) TARGET Business Days prior to the beginning of each Interest Period". Index Intermediary Price (i) means the level of the Index determined by the Calculation Agent as of the Valuation Time on each Valuation Date (i). Index Performance (i) means, in respect of any Valuation Date (i), the performance of the Index calculated by the Calculation Agent (and rounded to the nearest second decimal, with and above being rounded upwards) in accordance with the following formula: Index Intermediary Index Initial Price It is expressly agreed that for the purposes of this Section 2/ "Index Linked Interest Note Provisions", the following words beginning with a capital letter "Index", "Index Sponsor", Price (i) 13

14 "Exchange", "Related Exchange", "Disrupted Day", "Scheduled Trading Day", "Exchange Business Day", "Market Disruption Event", " Index Initial Price"; Index Final Price, Valuation Date (i), Final Valuation Date, Knock-out Event, "Scheduled Closing Time", "Trading Disruption", "Exchange Disruption", "Early Closure" and "Valuation Time" shall have the meanings set forth in the Section 1/ "Final Redemption Amount" of the Appendix. 3/ ADJUSTMENTS, CORRECTIONS AND MODIFICATIONS AFFECTING THE INDEX A- ADJUSTMENTS TO THE INDEX (1) If the Index is (i) not calculated and announced by the Index Sponsor, but is calculated and announced by a successor sponsor acceptable to the Calculation Agent or (ii) replaced by a successor index using, in the determination of the Calculation Agent, the same or a substantially similar formula for and method of calculation as used in the calculation of the Index, then that index (the "Successor Index") will be deemed to be the Index. (2) If on or prior to any Valuation Date (i) or the Final Valuation Date, the Index Sponsor announces that it will make a material change in the formula for or the method of calculating the Index or in any other way materially modifies the Index (other than a modification prescribed in that formula or method to maintain the Index in the event of changes in constituent stock and capitalisation and other routine events) (an Index Modification ), then the Calculation Agent shall elect either: (i) to replace the Index by the index with a modified method of calculating, multiplied, if necessary, by a linking coefficient and to determine accordingly the Index Intermediary Price (i) and/or the Index Final Price; or (ii) to determine the Index Intermediary Price (i) and/or the Index Final Price using, in lieu of a published level of the Index, the level for that Index as at each relevant Valuation Date (i) or at the Final Valuation Date as determined by the Calculation Agent in accordance with the formula for and method of calculating the Index last in effect prior to the change, but using only those securities that comprised the Index immediately prior to the Index Modification; or (iii) to redeem all, but not some only of, the Notes by giving notice to the Noteholders in accordance with Condition 15 on the date specified in such notice. Each Note shall be redeemed at an amount in EUR determined by the Calculation Agent in its sole and absolute discretion and equal to (notwithstanding anything to the contrary in the Base Prospectus) the market value of a Note (as determined by the Calculation Agent in its sole and absolute discretion on the basis of the market conditions (such as the level of the Index, the mid-market implied volatility or any other relevant market data for the Index) of the Index on the Exchange at the Valuation Time on the last Scheduled Trading Day immediately prior to the Index Modification) less the cost (if any, and without taking account of profit) to the Issuer of unwinding any related underlying hedging arrangements as determined by the Calculation Agent in its sole and absolute discretion. (3) If on or prior to any Valuation Date (i) or the Final Valuation Date, the Index Sponsor fails to calculate and announce the Index (an "Index Disruption"), then the Calculation Agent shall determine the Index Intermediary Price (i) and/or the Index Final Price using, in lieu of a published level of the Index, the level for that Index as at each relevant Valuation Date (i) or at the Final Valuation Date as determined by the Calculation Agent in accordance with the 14

15 formula for and method of calculating the Index last in effect prior to the change, but using only those securities that comprised the Index immediately prior to the Index Disruption. The Calculation Agent shall, as soon as reasonably practicable under the circumstances, notify the Issuer of any determination made by it pursuant to subparagraphs (1), (2) and/or (3) above and the action proposed to be taken in relation thereto. B- CORRECTION OF THE INDEX In the event that any level published on the Exchange or by the Index Sponsor and which is utilized for the determination of the Index Linked Interest Amount or the Final Redemption Amount is subsequently corrected and the correction is published by the Exchange or the Index Sponsor not later than the second Business Day immediately preceding the Index Linked Interest Payment Date or the Maturity Date (or the date fixed for redemption in the case of early redemption), and in any such case the Calculation Agent has notified the Issuer within that time, then the corrected level of the Index will be utilized for the purposes of the determination of the. If no such case, the Calculation Agent won't take into account this correction. Noteholders shall not be entitled to make any claim against the Issuer or the Calculation Agent in the case where the Index Sponsor will have made any error, omission or other incorrect statement in connection with the calculation and public announcement of the Index. C- CANCELLATION OF THE INDEX If, at any time from the Issue Date to the Final Valuation Date (a) the Index Sponsor (or any successor sponsor acceptable to the Calculation Agent) permanently cancels the Index and no Successor Index exists or (b) the successor sponsor to calculate and disseminate the Index is unacceptable in the opinion of the Calculation Agent, then the Issuer, after consultation with the Calculation Agent, will: (1) request the Calculation Agent to calculate from the last quotation day of the Index (or, as the case may be, the replacement day of the Index Sponsor by a successor sponsor unacceptable to the Calculation Agent) to the Final Valuation Date, a synthetic index in replacement of the Index in accordance with the formula for and method of calculating that Index last in effect prior to that definitive cancellation of the Index, but using only those securities that comprised that Index immediately prior to that definitive cancellation of the Index or, as the case may be, the replacement day of the Index Sponsor by a successor sponsor unacceptable to the Calculation Agent (other than those securities that have since ceased to be listed on the Exchange) and to determine accordingly the Index Intermediary Price (i) and/or the Index Final Price, being provided that in such case the Maturity Date will stay unchanged; or (2) redeem all, but not some only of, the Notes by giving notice to the Noteholders in accordance with Condition 15 on the date specified in such notice. Each Note shall be redeemed at an amount in EUR determined by the Calculation Agent in its sole and absolute discretion and equal to (notwithstanding anything to the contrary in the Base Prospectus) the market value of a Note (as determined by the Calculation Agent in its sole and absolute discretion on the basis of the market conditions (such as the level of the Index, the mid-market implied volatility or any other relevant market data for the Index) of the Index on the Exchange at the Valuation Time on the last Scheduled Trading Day immediately prior to the definitive cancellation of the Index or, as the case may be, the replacement day of the Index Sponsor by a successor sponsor unacceptable to the Calculation Agent) less the cost (if any, and without taking account 15

16 of profit) to the Issuer of unwinding any related underlying hedging arrangements as determined by the Calculation Agent in its sole and absolute discretion. The Calculation Agent shall, as soon as reasonably practicable under the circumstances, notify the Issuer of any determination made by it pursuant to subparagraphs (1) and/or (2) above and the action proposed to be taken in relation thereto. The Issuer shall as soon as practicable give notice to the Noteholders in accordance with Condition 15. 4/ CALCULATION BINDING The calculations and determinations of the Calculation Agent shall (save in the case of manifest error) be final and binding upon all parties. The Calculation Agent shall have no responsibility for good faith errors or omissions in the calculations and determinations of the Final Redemption Amount or, as the case may be, the Early Redemption Amount or, as the case my be, the early redemption amount (see Section 3/ "Adjustments, Corrections and Modifications Affecting The Index") of any Note as provided herein. 5/ INFORMATION RELATING TO THE INDEX DISCLOSURE The information contained in the Final Terms with respect to the Index consists of extracts from Bloomberg Data Base and documents available on the STOXX Limited web site ( CALYON accepts responsibility for the accuracy of such extraction or summarisation but accepts no further or other responsibility of such information. The material included in this Appendix with respect to each Index is of limited scope and consists only of extracts from, or summaries of, documents which are publicly available and assumed to be reliable. However, this information is provided to prospective investors for their convenience only and none of the Issuer, the Guarantor or the Calculation Agent accept any responsibility for the accuracy or completeness of the information concerning the Index or for the occurrence of any event which would affect the accuracy or completeness of such information. In deciding whether to purchase Notes, prospective investors should form their own view of the merits of investing in the Notes based upon their own investigation, including consultation with their own professional advisers as they may consider appropriate, and not in reliance upon the information in this Appendix. General DESCRIPTION OF THE DOW JONES EURO STOXX 50 Deutsche Börse, Dow Jones and Co. Inc., SBF-Bourse de Paris and Schweizer Börse have together founded a new company, named STOXX LIMITED (STOXX), and created a new family of indices. They consist of four major indices and various sector and regional indices calculated for Western Europe and the Euro zone. The four major indices are: Dow Jones STOXX, the European broad index (1) (which duplicates the Dow Jones Global Indexes Europe index); Dow Jones STOXX 50, the European blue-chip index (a 50-stock index derived from Dow Jones STOXX ); 16

17 Dow Jones EURO STOXX, the Euro broad index (2) (Dow Jones STOXX excluding those countries not participating in European Economic and Monetary Union); and Dow Jones EURO STOXX 50, the Euro blue-chip index (a 50-stock index derived from Dow Jones EURO STOXX ) (the Dow Jones EURO STOXX 50 ). Notes: (1) The European broad index covers companies from Austria, Belgium, Denmark, Finland, France, Germany, Greece, Italy, Ireland, Luxembourg, The Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom. Other European countries may be added to the European broad index in the future. (2) The Euro broad index covers companies from Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, The Netherlands, Portugal and Spain. Other countries may be added in the future. Calculation of the Dow Jones EURO STOXX 50 The Dow Jones EURO STOXX 50 is capitalisation-weighted and is calculated on both a price- and total-return basis. For the purpose of the determination of the Final Redemption Amount, the pricereturn based index only is relevant. It is calculated in euro in real-time and is currently disseminated every 15 seconds from 9.00 a.m. to 5.45 p.m. (Central European Time). The Dow Jones EURO STOXX 50 is computed on the basis of last prices; a traded price on various exchanges listed below will trigger the calculation of the Dow Jones EURO STOXX 50 after the opening trade of a component stock is received. In the event of a suspension of the quotation during the trading session, the last traded price is used for all subsequent computations. If a quotation is suspended before the trading begins, the adjusted closing price from the previous day is taken for the calculation of the Dow Jones EURO STOXX 50. If there is a stock exchange holiday in one or more countries, the last available stock prices from this exchange will be used for the Dow Jones EURO STOXX 50 calculation. The Dow Jones EURO STOXX 50 is based on 31 December The base value of the Dow Jones EURO STOXX 50 was set at 1,000. Relevant Stock Exchange Markets The following countries and exchange/trading systems are currently used as a source for stock prices for the Dow Jones EURO STOXX 50 : Country Austria Belgium Finland France Germany Greece Ireland Italy Netherlands Portugal Stock Exchange/Trading System Vienna Stock Exchange Brussels Stock Exchange Helsinki Stock Exchange Paris Bourse and Nouveau Marché Xetra Athens Irish Stock Exchange Italian Stock Exchange Amsterdam Stock Exchange Lisbon Stock Exchange 17

18 Country Spain Stock Exchange/Trading System SIBE Index Composition Securities are selected for Dow Jones STOXX 50 so as to represent the largest and most liquid stocks in the market. Dow Jones EURO STOXX is a subset of Dow Jones STOXX. Only companies from countries that are part of the European Monetary Union are included in Dow Jones EURO STOXX. The Dow Jones EURO STOXX 50 is a subset of the stocks of 50 companies of the Dow Jones EURO STOXX index with the intent of reflecting the sector leaders. Periodic and Ongoing Reviews Currently the composition of the Dow Jones EURO STOXX 50 is reviewed annually, and changes are implemented on the third Friday in September, using market data from the end of July as the basis for the review process. In addition, the Dow Jones EURO STOXX 50 is continually reviewed for changes to the index composition necessitated, e.g., by extraordinary corporate actions affecting the component companies. Decision-Making Bodies STOXX s Advisory Committee advises the Supervisory Board on matters relating to the Dow Jones EURO STOXX 50. This committee proposes changes of the composition to the Supervisory Board. It makes recommendations with respect to the accuracy and transparency of the Dow Jones EURO STOXX 50 computation. Decisions on the composition and changes in the Dow Jones EURO STOXX 50 are reserved to the Supervisory Board. Performance of the Dow Jones EURO STOXX 50 Index price development (source: Bloomberg data system as of January 31, 2008) The high and low closing values (price-return) for the Dow Jones EURO STOXX 50 for 2005, 2006, and 2007 are set out below: Low High , , , , , , As of 31 January 2008 the closing level of the Index was 3, The recent historical performance of the Dow Jones EURO STOXX 50 should not be taken as an indication of future performance. 18

19 DISCLAIMER FROM STOXX LIMITED The Notes are not in any way sponsored, endorsed, sold or promoted by STOXX LIMITED (STOXX) or Dow Jones & Company, Inc. (Dow Jones), and neither STOXX nor Dow Jones makes any representation or warranty whatsoever, expressly or impliedly, to the Noteholders or any member of the public regarding the advisability of investing in securities generally or in the Note particularly. The Dow Jones EURO STOXX 50 is determined, composed and calculated by STOXX without regard to the Issuer or the Notes. Neither STOXX nor Dow Jones is responsible for or has participated in the determination or calculation of the Final Redemption Amount. Neither STOXX nor Dow Jones has any obligations or liabilities in connection with the administration, marketing or trading of the Notes. NEITHER STOXX NOR DOW JONES GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF THE DOW JONES EURO STOXX 50 OR ANY DATA INCLUDED THEREIN AND NEITHER SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS THEREIN. NEITHER STOXX NOR DOW JONES MAKES ANY WARRANTY WHATSOEVER, EXPRESSLY OR IMPLIEDLY, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, A HOLDER OF THE NOTES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE DOW JONES EURO STOXX 50 OR ANY DATA INCLUDED THEREIN. NEITHER STOXX NOR DOW JONES MAKES ANY EXPRESS OR IMPLIED WARRANTIES AND EACH EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE DOW JONES EURO STOXX 50 OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL EITHER STOXX OR DOW JONES HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN STOXX AND THE ISSUER. The Dow Jones EURO STOXX 50 is owned by STOXX. The name of Dow Jones EURO STOXX 50 is a service mark of Dow Jones and has been licensed for certain purposes by the Issuer. Neither STOXX nor Dow Jones gives any assurance regarding any modification or change in any methodology used in calculating the Dow Jones EURO STOXX 50 and neither STOXX nor Dow Jones is under any obligation to continue the calculation, publication and dissemination of the Dow Jones EURO STOXX