SGA SOCIÉTÉ GÉNÉRALE ACCEPTANCE N.V. PRICING SUPPLEMENT

Transcription

1 SGA SOCIÉTÉ GÉNÉRALE ACCEPTANCE N.V. PRICING SUPPLEMENT IN RESPECT OF MULTI ASSET PORTFOLIO TRACKER CERTIFICATES (the SDs) 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. This Pricing Supplement is supplemental to and should be read in conjunction with the Reference Document dated 12 August 2005 (the Reference Document) relating to the Securitised Derivatives Programme of SGA Société Générale Acceptance N.V. irrevocably and unconditionally guaranteed by Société Générale. Copies of the Reference Document are available free of charge at the specified office of the Agent for the time being in London and the registered office of the Issuer. The Securitised Derivatives, the Guarantee and any securities to be delivered pursuant to the provisions 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 are being sold only outside the United States to non-u.s. persons in accordance with Regulation S under the Securities Act. Accordingly, the SDs may not be offered or sold to, or for the account or benefit of, any person in the United States or a U.S. person (as defined in Regulation S under the Securities Act) or (in the case of SDs that are Warrants) exercised by or for the account or benefit of any such person. Furthermore, trading in the SDs has not been approved by the United States Commodity Futures Trading Commission under the United States Commodity Exchange Act, 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 as set out in the Reference Document (the Conditions) and words and expressions defined in the Conditions shall bear the same meaning in this Pricing Supplement, save as where otherwise provided.

2 STATEMENTS RELATING TO THE INDEX SPONSORS For the purpose of this issue of SDs, the Indices (as defined below) are used with the permission of the relevant Sponsor(s). Dow Jones EURO STOXX 50 Index and Dow Jones United States Real Estate Index The SDs are not sponsored, endorsed, sold or promoted by Dow Jones & Company, Inc. (Dow Jones) or (with respect only to the Dow Jones EURO STOXX 50 Index SM ) Stoxx Limited (Dow Jones, together with Stoxx Limited with respect only to the Dow Jones EURO STOXX 50 Index SM, the Relevant DJ Sponsor(s)). The Relevant DJ Sponsor(s) make(s) 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. The only relationship of the Relevant DJ Sponsor(s) to SGA Société Générale Acceptance N.V. (the Licensee) is the licensing of certain trademarks, trade names and service marks of the Relevant DJ Sponsor(s) and of the Dow Jones EURO STOXX 50 Index SM and DJ US Real Estate Index SM, which are determined, composed and calculated by the Relevant DJ Sponsor(s) without regard to the Licensee or the SD(s). The Relevant DJ Sponsor(s) has/have no obligation to take the needs of the Licensee or the owners of the SDs into consideration in determining, composing or calculating Dow Jones EURO STOXX 50 Index SM and DJ US Real Estate Index SM. The Relevant DJ Sponsor(s) is/are not responsible for and has/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 Relevant DJ Sponsor(s) has/have no obligation or liability in connection with the administration, marketing or trading of the SDs. THE RELEVANT DJ SPONSOR(S) DOES/DO NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE DOW JONES EURO STOXX 50 INDEX SM and DJ US REAL ESTATE INDEX SM OR ANY DATA INCLUDED THEREIN AND THE RELEVANT DJ SPONSOR(S) SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. THE RELEVANT DJ SPONSOR(S) MAKE(S) NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE LICENSEE, OWNERS OF THE SDs, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE DOW JONES EURO STOXX 50 INDEX SM and DJ US REAL ESTATE INDEX SM OR ANY DATA INCLUDED THEREIN. THE RELEVANT DJ SPONSOR(S) MAKE(S) NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE DOW JONES EURO STOXX 50 INDEX SM and DJ US REAL ESTATE INDEX SM OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE RELEVANT DJ SPONSOR(S) HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES OR LOSSES, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN THE RELEVANT DJ SPONSOR(S) AND THE LICENSEE. GSCI Excess Return The SDs are not sponsored, endorsed, sold or promoted by Goldman, Sachs & Co. (GS&Co.). GS&Co. makes 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 or in the SDs particularly or the ability of the Goldman Sachs Commodity Index (GSCI Index) to track general commodity market performance. GS&Co. s only relationship to the Licensee is the licensing of the GSCI Index which is determined, composed and calculated by GS&Co. without regard to the Licensee or the SDs. GS&Co. has no obligation to take the needs of the Licensee or the owners of the SDs into consideration in determining, composing or calculating the GSCI Index. GS&Co. is not responsible for and has 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. GS&Co. has no obligation or liability in connection with the administration, marketing or trading of the SDs. Goldman Sachs, GSCI, GSCI Index, Goldman Sachs US Agriculture Index and Goldman Sachs Commodity Index are trademarks or service marks of GS&Co. and have been licensed for use by the Licensee for use in connection with the SDs. GS&CO. DOES NOT GUARANTEE THE QUALITY, ACCURACY AND/OR THE COMPLETENESS OF THE GSCI INDEX OR ANY DATA INCLUDED THEREIN. GS&CO. MAKES 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 GSCI INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. GS&CO. MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE GSCI INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL GS&CO. HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. FTSE 100 Index and FTSE EPRA, European Public Real Estate Index The SDs are not in any way sponsored, endorsed, sold or promoted by FTSE International Limited (FTSE), the London Stock Exchange Plc (LSE), The Financial Times Limited (FT), (with respect to FTSE EPRA, European Public Real Estate Index only) European Public Real Estate Association (EPRA), or (with respect to EPRA Europe only) National Association of Real Estate Investment Trusts (NAREIT) (FTSE, LSE and FT and, with respect to EPRA Europe only, EPRA and NAREIT, together, the Relevant FT Sponsors). None of the Relevant FT Sponsors makes any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the EPRA Europe or the FTSE 100 (each an FT Index) and/or the figure at which either said Index stands at any particular time on any particular day or otherwise. Each FT Index is compiled and calculated by FTSE. However, none of the Relevant FT Sponsors shall be liable (whether in negligence or otherwise) to any person for any error in either FT Index and none of the Relevant FT Sponsors shall be under any obligation to advise any person of any error therein. FTSE and Footsie are trade marks of the London Stock Exchange Plc and The Financial Times Limited and are used by FTSE International Limited under licence. NAREIT is the trade mark of the National Association of Real Estate Investment Trusts and EPRA is the trade mark of the European Public Real Estate Association. Tokyo Stock Exchange REIT Index (i) The Tokyo Stock Exchange REIT Index Value and the Tokyo Stock Exchange REIT Index Mark are subject to the rights owned by the Tokyo Stock Exchange, Inc. and the Tokyo Stock Exchange, Inc. owns all rights relating to the Tokyo Stock Exchange REIT Index such as calculation, publication and use of the Tokyo Stock Exchange REIT Index Value and relating to the Tokyo Stock Exchange REIT Index Mark. 2

3 (ii) (iii) (iv) (v) (vi) (vii) (viii) The Tokyo Stock Exchange, Inc. shall reserve the rights to change the methods of calculation or publication, to cease the calculation or publication of the Tokyo Stock Exchange REIT Index Value or to change the Tokyo Stock Exchange REIT Index Mark or cease the use thereof. The Tokyo Stock Exchange, Inc. makes no warranty or representation whatsoever, either as to the results stemmed from the use of the Tokyo Stock Exchange REIT Index Value and the Tokyo Stock Exchange REIT Index Mark or as to the figure at which the Tokyo Stock Exchange REIT Index Value stands on any particular day. The Tokyo Stock Exchange, Inc. gives no assurance regarding accuracy or completeness of the Tokyo Stock Exchange REIT Index Value and data contained therein. Further, the Tokyo Stock Exchange, Inc. shall not be liable for the miscalculation, incorrect publication, delayed or interrupted publication of the Tokyo Stock Exchange REIT Index Value. No SDs are in any way sponsored, endorsed or promoted by the Tokyo Stock Exchange, Inc. The Tokyo Stock Exchange, Inc. shall not bear any obligation to give an explanation of the SDs or an advice on investments to any purchaser of the SDs or to the public. The Tokyo Stock Exchange, Inc. neither selects specific stocks or groups thereof nor takes into account any needs of the issuing company or any purchaser of the SDs, for calculation of the Tokyo Stock Exchange REIT Index Value. Including but not limited to the foregoing, the Tokyo Stock Exchange, Inc. shall not be responsible for any damage resulting from the issue and sale of the SDs. Standard & Poors 500 Index The SDs are not sponsored, endorsed, sold or promoted by the Standard & Poors Corporation (S&P). S&P makes no representation or warranty, express or implied, to the Warrantholders or any member of the public regarding the advisability of investing in securities generally or in SDs particularly or the ability of the S&P 500 Index to track general stock market performance. S&P's only relationship to Société Générale and the Issuer is the licensing of certain trademarks and trade names of S&P and of the S&P 500 Index which is determined, composed and calculated by S&P without regard to the Issuer or the SDs. S&P has no obligation to take the needs of the Issuer or the SD holders into consideration in determining, composing or calculating the S&P 500 Index. S&P is not responsible for and has not participated in the determination of the timing of, prices at or quantities of the SDs to be issued or in the determination of the equation by which the SDs are to be converted into cash. S&P has no obligation or liability in connection with the administration, marketing or trading of the SDs. S&P does not guarantee the accuracy and/or the completeness of the S&P 500 Index or any data included therein. S&P makes no warranty, express or implied, as to the results to be obtained by the Issuer, Société Générale, the SD holders or any other person or entity from the use of the S&P 500 Index or any data included therein. S&P makes no express or implied warranties and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the S&P 500 Index or any data included therein. Without limiting any of the foregoing, in no event shall S&P have any liability for any special, punitive, indirect or consequential damages (including lost profits), even if notified of the possibility of such damages. Nikkei 225 Index The Nikkei Stock Average is an intellectual property of Nihon Keizai Shimbun, Inc. (the Nikkei Index Sponsor). "Nikkei", "Nikkei Stock Average", and "Nikkei 225" are the service marks of the Index Sponsor. The Index Sponsor reserves all the rights, including copyright, to the index. These SDs are not in any way sponsored, endorsed, sold or promoted by the Nikkei Index Sponsor and the Nikkei Index Sponsor does not make any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the Nikkei 225 Index (the Nikkei Index) and/or the figure at which the said Nikkei Index stands at any particular time on any particular day or otherwise. The Nikkei Index is compiled and calculated solely by the Nikkei Index Sponsor. However, the Nikkei Index Sponsor shall not be liable (whether in negligence or otherwise) to any person for any error in the Nikkei Index and the Nikkei Index Sponsor shall not be under any obligation to advise any person of any error therein. Hang Seng Index The Hang Seng Index is published and compiled by HSI Services Limited pursuant to a licence from Hang Seng Data Services Limited. The mark and name "Hang Seng Index" is proprietary to Hang Seng Data Services Limited. HSI Services Limited and Hang Seng Data Services Limited have agreed to the use of, and reference to, the Hang Seng Index by the Issuer in connection with the SDs but neither HSI Services Limited nor Hang Seng Data Services Limited warrants or represents or guarantees to any broker or holder of the Product or any other person the accuracy or completeness of the Hang Seng Index and its computation or any information related thereto and no warranty or representation or guarantee of any kind whatsoever relating to the Hang Seng Index is given or may be implied. The process and basis of computation and compilation of the Hang Seng Index and any of the related formula or formulae, constituent stocks and factors may at any time be changed or altered by HSI Services Limited without notice. No responsibility or liability is accepted by HSI Services Limited or Hang Seng Data Services Limited in respect of the use of and/or reference to the Hang Seng Index by the Issuer in connection with the SDs, or for any inaccuracies, omissions, mistakes or errors of HSI Services Limited in the computation of the Hang Seng Index or for any economic or other loss which may be directly or indirectly sustained by any broker or holder of the SDs or any other person dealing with the SDs as a result thereof and no claims, actions or legal proceedings may be brought against HSI Services Limited and/or Hang Seng Data Services Limited in connection with the SDs in any manner whatsoever by any broker, holder or other person dealing with the SDs. Any broker, holder or other person dealing with the SDs does so therefore in full knowledge of this disclaimer and can place no reliance whatsoever on HSI Services Limited and/or Hang Seng Data Services Limited. For the avoidance of doubt, this disclaimer does not create any contractual or quasi-contractual relationship between any broker, holder or other person and HSI Services Limited and/or Hang Seng Data Services Limited and must not be construed to have created such relationship. 3

4 MAIN PROVISIONS 1. Type of Securitised Derivatives: Retail Basket Index and Basket Fund Cash Settled Certificates 2. Number of Warrants / Aggregate Nominal Amount of Certificates: GBP 10,000, Specified Denomination: GBP 1, Consolidation: Not applicable 5. Issue Date: 30 June Issue Price: GBP 1,000 per SD 7. Determination Date (Certificates) / Expiration Date (European Style Warrants) / Exercise Period (American Style Warrants): 8. Settlement Date and (Certificates) Maturity Date: Not applicable - see Annex A hereto 8 July 2016 or (if such date is not a Business Day) the immediately succeeding Business Day 9. Settlement Currency: GBP UNDERLYING 10. Index Securitised Derivatives Applicable 10.1 Index/Indices: Initially: see Annex B hereto 10.2 Sponsor(s): Initially: see Annex B hereto 10.3 Exchange(s): Initially: see Annex B hereto 10.4 Related Exchange(s): Initially: see Annex B hereto 10.5 Reference Page(s): Initially: see Annex B hereto 11. Share Securitised Derivatives Not applicable 12. Debt Instrument Securitised Derivatives 13. Currency Securitised Derivatives 14. Commodity Securitised Derivatives Not applicable Not applicable Not applicable 4

5 15. Interest Rate Securitised Derivatives Not applicable 16. Fund Securitised Derivatives Applicable 16.1 Fund(s): Initially: see Annex B hereto 16.2 Further details on Fund(s): Initially: see Annex B hereto 16.3 Other provisions: Annex C hereto applies INTEREST 17. Provisions relating to interest: Not applicable EXERCISE / REDEMPTION AND SETTLEMENT 18. Issuer option to vary settlement: Not applicable 19. Cash Settlement Amount (Warrants) / Redemption Amount (Certificates): See Annex A hereto 20. Settlement Price(s): See Annex A hereto 21. Notional Amount: Not applicable 22. Parity: Not applicable 23. Valuation Date: See Annex A hereto 24. Conversion Rate: Not applicable 25. Substitute Conversion Rate: Not applicable 26. Entitlement: Not applicable 27. Evidence of Entitlement: Not applicable 28. Delivery of Entitlement: Not applicable 29. Reference Period: Not applicable 30. Reference Range: Not applicable 31. Actual Maturity Date The actual maturity date of the futures and/or options contracts relating to the relevant Index and traded on the relevant Related Exchange falling in the month of the relevant Observation Date i or Observation Date j (as the case may be) 5

6 32. Actual Maturity Value The official clearing value of the futures and/or options contracts relating to the relevant Index and traded on the relevant Related Exchange maturing on the Actual Maturity Date 33. Exercise provisions applicable to Warrants 34. Provisions applicable to Certificates Further provisions: Not applicable Applicable Annex A hereto applies GENERAL PROVISIONS 35. Agent: Computershare Investor Services PLC 36. Agent s specified office: 7th Floor, Jupiter House Triton Court 14 Finsbury Square London EC2A 1BR 37. Calculation Agent: Société Générale, Paris 38. Listing : London Stock Exchange s regulated market 39. Business Day Centre: Not applicable 40. Trading Day: As set out in the Conditions 41. Date of Board of Directors approval: 14 June Minimum Trading Number: One Securitised Derivative 43. Additional selling restrictions: Not applicable 44. Indicative last trading day: 30 June Syndication: Distribution on a non-syndicated basis 46. Reasons, proceeds and expenses Not applicable (See General Information Net Proceeds in Reference Document) 47. Rating: Not Applicable 48. Additional or Alternative Operator: Not Applicable 6

7 49. Modifications to the Conditions, other terms or special conditions: (A) The provisions of Annexes A, B and C hereto apply (B) The provisions of Condition 6.3 and Consequences of the occurrence of a Market Disruption Event in Annex C apply independently to each Underlying; Condition 6.3(a) does not apply to Funds (C) (D) In relation to the DJ EURO STOXX 50 Index and the FTSE EPRA, European Public Real Estate Index only, references to Exchange(s) are deleted from the definition of Index Trading Day The provisions in the Conditions relating to Expert consultation and opinions do not apply ISIN Number(s): SEDOL Code(s): ANN8121E1193 B17MML0 Value of SDs on redemption The further the levels of the underlyings as averaged on the specified observation dates are compared to their previous levels, then the higher the redemption value of each SD will be above its denomination. If the levels of the underlyings averaged on the observation dates are less than previously, then the redemption value of each SD will be equal to its denomination. Prior to maturity of the SD, the value of each SD is affected by numerous factors, including changes in the price the underlying, time to maturity, interest and exchange rates, as well as levels of market volatility. These may have a net positive or negative impact on the value of each SD. Details on volatility, past and future performance can be obtained from the SG website, Société Générale has a firm commitment to act as intermediary in secondary trading, providing liquidity through bid and offer rates. SG's commitment as market maker implies a commitment to abide by the relevant regulations of the London Stock Exchange as detailed at Save for any fees payable to Société Générale as Dealer, so far as the Issuer is aware, no person involved in the issue of the SDs has an interest material to the offer. 7

8 ANNEX A CASH SETTLEMENT AMOUNT Subject to the provisions of Annex C, each SD entitles its holder to receive, from the Issuer and on the Settlement Date, an amount in GBP (the Cash Settlement Amount), rounded to the nearest GBp (pence) (with 0.5 GBp being rounded up), calculated by the Calculation Agent as the result of the following formula: 1,000 + { 1,000 Max [ ( End Value / 100) - 1 ; 0 ] } Where, with j referring to a number from 1 to 25, k referring to a number from 1 to 11 (or to such other number as then appointed pursuant to paragraph 49(B) of the Pricing Supplement) and i referring to a number from 1 to 9: End Value means an amount calculated by the Calculation Agent as the result of the following formula: Asian Observation j means: 1 å j= 1 (i) where j refers to the number 1, Portfolio 8 ; Asian Observation j (ii) where j refers to a number from 2 to 13, an amount calculated by the Calculation Agent as the result of the following formula: 11 Portfolio 8 åweight k Perf k k = 1 j (iii) where j refers to a number from 14 to 25, an amount calculated by the Calculation Agent as the result of the following formula: Asian Observation 13 åweight k Perf k j j Perf S k k means (i) where j refers to a number from 2 to 13, 1 ; and (ii) where j refers to a number j S k from 14 to 25, 13 ; S k 11 k = 1 S k j S j k (1) in relation to an Index (a) means (i) the official closing quotation of Index k on Observation Date j or (ii) if Observation Date j falls on an Actual Maturity Date, the relevant Actual Maturity Value and (b) is a Settlement Price for the purposes of the Conditions; and (2) in relation to a Fund, means the Net Asset Value that would be actually settled by the Fund k for a redemption order sent on Observation Date j, after deduction of any redemption fees or other costs otherwise payable to the fund by Société Générale (as Calculation Agent or otherwise); Index k means the Index set out opposite the relevant value for k in the relevant table in Annex B or such other Index as then corresponds to such value for k as appointed pursuant to paragraph 49(B) of the Pricing Supplement; 8

9 Weight k means the number set out in the Weighting column opposite the relevant value for k in the relevant table in Annex B or such other number as then corresponds to such value for k as appointed pursuant to paragraph 49(B) of the Pricing Supplement; Observation Date j (a) means the first Trading Day for the relevant Underlying in Observation Period j and (b) is a Valuation Date for the purposes of the Conditions; Observation Period j (a) means the four Business Day period beginning on Scheduled Date j and (b) is a Valuation Period for the purposes of the Conditions; Scheduled Date j means the date set out opposite the relevant value for j in the table below: j date j date j date 1 30 June March December July April January August May February September June March October July April November August May December September June January October /- -/ February November /- -/- And where further: Portfolio i means an amount calculated by the Calculation Agent as the result of the following formula: Portfolio 0 means 100; 11 i Portfolio i-1 åweight k Perf k k = 1 i i S + 1 k Perf k means ; i Sk S i k (1) in relation to an Index (a) means (i) the official closing quotation of Index k on Observation Date i or (ii) if Observation Date i falls on an Actual Maturity Date, the relevant Actual Maturity Value and (b) is a Settlement Price for the purposes of the Conditions; and (2) in relation to a Fund, means the Net Asset Value that would be actually settled by the Fund k for a redemption order sent on Observation Date i, after deduction of any redemption fees or other costs otherwise payable to the fund by Société Générale (as Calculation Agent or otherwise); Observation Date i (a) means the first Trading Day for the relevant Underlying in Observation Period i and (b) is a Valuation Date for the purposes of the Conditions; Observation Period i (a) means the four Business Day period beginning on Scheduled Date i and (b) is a Valuation Period for the purposes of the Conditions; 9

10 Scheduled Date i means the date set out opposite the relevant value for i in the table below: i date i date i date 1 30 June June June June June June June June June

11 ANNEX B INITIAL UNDERLYINGS The initial Indices and Funds composing the Baskets are set out in the tables below. The Calculation Agent may, in its sole discretion, change the composition of the Baskets with effect from 30 June 2011 PROVIDED notice of such change specifying the particulars thereof is given to the SD holders prior to 1 June 2011 in accordance with Condition 13. UNDERLYING INDICES Index/Indices Sponsor(s) Exchange(s) Related Exchange(s) Reference pages k Weighting FTSE 100 Index A capitalisation-weighted index of the 100 most highly capitalised companies traded on the London Stock Exchange plc. The Standard & Poors 500 Index The Standard & Poors 500 Index is a capitalisation-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index was developed with a base level of 10 for the base period. Dow Jones EURO STOXX 50 Index A price-weighted average of 50 blue-chip Eurozone stocks that are generally leaders in their industry. The Nikkei 225 Index A capitalisation-weighted index of the 225 most highly capitalised companies listed on the Tokyo Stock Exchange. The Hang Seng Index A modified capitalisation-weighted index of the 33 constituent stocks. FTSE International Limited Standard & Poors Corporation Dow Jones & Company, Inc. and Stoxx Limited Nihon Keizai Shimbun, Inc. The Stock Exchange of Hong Kong Limited London Stock Exchange LIFFE Bloomberg code UKX Index The New York Stock Exchange In respect of each the component stocks of the Index, the principal stock exchange on which such stocks are principally traded, as determined by the Calculation Agent The Chicago Mercantile Exchange, The Chicago Board of Trade and The Chicago Board Options Exchange EUREX Bloomberg code SPX Index Bloomberg code SX5E Index Tokyo Stock Exchange Osaka Stock Exchange Bloomberg code NKY Index The Stock Exchange of Hong Kong Limited The Hong Kong Futures Exchange Bloomberg code HSI Index 1 12% 2 6% 3 5% 4 4% 5 3% 11

12 Index/Indices Sponsor(s) Exchange(s) Related Exchange(s) Reference pages k Weighting GSCI Excess Return The GSCI is a composite index of commodity sector returns that is broadly diversified across a spectrum of commodities, weighted by world production. The weights as at June 2006 are Energy 67%, Agriculture 16%, Industrial Metal 7%, Livestock 7%, Precious Metal 3%. The GSCI Excess Return index measure the uncollateralized return from investing in nearby GSCI futures and rolling them forward each month. FTSE EPRA, European Public Real Estate Index The index is a market cap weighted index of the most heavily traded real estate stocks in Europe. It has a base of 1000 dated 31 December DJ US Real Estate Index The index is a market cap-weighted index of US real estate companies. Tokyo Stock Exchange REIT Index The index is a cap-weighted index of all Real Estate Investment Trusts listed on the Tokyo Stock Exchange. It has a base value of 1000 as of March 31, Goldman, Sachs & Co. FTSE Dow Jones & Company, Inc. In respect of each the component commodities of the Index, the principal exchange on which such commodities are principally traded, as determined by the Calculation Agent In respect of each the component stocks of the Index, the principal stock exchange on which such stocks are principally traded, as determined by the Calculation Agent The New York Stock Exchange Chicago Mercantile Exchange Not applicable Not applicable Bloomberg code GSCIER Commodity Bloomberg code EPRA Index Bloomberg code DJUSRE Index Tokyo Stock Exchange Tokyo Stock Exchange Not applicable Bloomberg code TSEREIT Index 7 15% 8 5% 9 5% 10 5% 12

13 UNDERLYING FUNDS Fund(s) Units Further details on Fund(s) k Weighting State Street Global Advisors Fixed Income Funds PLC - World Government Bond Index MSCI Hedge Invest Lyxor Tracker Fund Ltd C Shares (ISIN IE / SEDOL ) C Shares (ISIN GB / SEDOL ) The Units are listed on the Irish Stock Exchange Bloomberg code SSGWGBI ID Index The fund is a UCITS certified open-end fund incorporated in Ireland. The objective is to track the performance of the Citigroup World Government Bond Index. The Units are listed on the Irish Stock Exchange Bloomberg code LYXRHFI The fund is an open-end investment company incorporated in Jersey, the aim of which is to track the performance of the Lyxor Hedge Fund Index. 6 30% 11 10% 13

14 PART 1 DEFINITIONS ANNEX C FUND DEFINITIONS AND OTHER PROVISIONS Fund Trading Day means, in respect of each Fund observed separately, a day on which subscription and/or redemption orders given by the Calculation Agent for Units would be recorded by the Fund, or the Fund's administrator, registrar or manager, or any entity in charge of receiving redemption and subscription orders relating to the Units in accordance with the terms of the Fund Prospectus (the Fund Manager). Fund Prospectus means, in respect of a Fund, the document describing the Fund and providing, inter alia, for the subscription and redemption process in respect of the Units and the rights attached to the Units, as such document may be supplemented and amended from time to time. Market Disruption Event means, in respect of each Fund observed separately, on a Publication Day relating to a subscription or redemption order given on a Valuation Date, the occurrence of an event beyond the control of the Calculation Agent which precludes the calculation, or causes the suspension or the limitation of the publication of the Net Asset Value. Net Asset Value means, in respect of a Fund, the net asset value per Unit as calculated or settled from time to time by the Fund Manager further to a subscription or redemption order (as the case may be). Publication Day means, in respect of each Fund observed separately, a day on which the Net Asset Value is scheduled to be published by the Fund Manager pursuant to the Fund Prospectus. Unit means, in respect of a Fund, the specified share or unit of the Fund. PART 2 - ADJUSTMENTS AND EVENTS RELATING TO THE FUND/UNIT In making any adjustment or determination of any kind in respect of the events listed below, the Calculation Agent shall act in good faith. Such adjustment or determination shall be notified to the SD holders in accordance with Condition 13. Consequences of the occurrence of a Market Disruption Event If on the Publication Day related to a subscription or redemption order given by the Calculation Agent on a particular Valuation Date, a Market Disruption Event has occurred, then the determination of the relevant Net Asset Value shall be postponed to the first immediately following Publication Day, unless there is a Market Disruption Event on each day of the Valuation Period, in which case the relevant Net Asset Value shall be the Fair Market Value of the Unit as of the last day of the Valuation Period. Adjustments In the case of the occurrence at any time on or prior to a Valuation Date of any event affecting a Fund or the value of a Unit including, without limitation: (i) (ii) (iii) a split, consolidation or reclassification of the Units; a distribution in the form of dividends which does not comply with the usual dividend policy of the Fund; or any other event that is similar to the events described in (i) and (ii) above insofar as, in the opinion of the Calculation Agent, such events may result in a mechanical adjustment to the Fund or Unit, 14

15 then the Calculation Agent may adjust any relevant terms of the SDs to preserve the economic equivalent of the obligations of the Issuer under the SDs. Provisions relating to further events relating to a Fund and/or a Unit In the case of the occurrence of: (i) (ii) (iii) (iv) (v) (vi) the modification of the conditions of the Fund (including, without limitation modification of the Fund Prospectus, the Fund (if open ended) becoming a closed-end fund, or the modification of the timeframe for the processing of the subscription and/or redemption orders) or any event or any change affecting the Fund and/or the Unit (including, without limitation interruption, breakdown, suspension or deferral of the calculation of the Net Asset Value or the disappearance of the Net Asset Value resulting more particularly from, but not limited to, the winding-up or the termination of the Fund or the cancellation of the registration or of the approval by any relevant authority of the Fund) and that, in the reasonable opinion of the Calculation Agent, is likely to have a significant effect on the value of the Unit; the reduction of the number of Units held or likely to be held by Société Générale (as Calculation Agent or otherwise) as Unit holder for any reason beyond Société Générale's control, or the nonexecution or partial execution by the Fund for any reason of a subscription or redemption order given by Société Générale or any adverse change in taxation affecting payment made by the Fund in respect of the Units to Société Générale, or the breach by a counterparty of any of its obligations under any agreement entered into between it and Société Générale in respect of the subscription, the redemption or the holding of Units by Société Générale, or the termination of such agreement for any reason beyond Société Générale's control, or if it becomes unlawful for any party to such agreement to perform its obligations thereunder or to comply with any material provision of such agreement due to the adoption of, or any change in, any applicable law after the date hereof or due to the promulgation of, or any change in, the interpretation by any court, tribunal or regulatory authority with competent jurisdiction, of any applicable law hereafter; the conversion of the Unit into another class of units or securities, or the split of the Fund, its consolidation or its merger with, or its sale or its conveyance of all or substantially all its assets to, a third party; a substantial modification in the proportion of the type of assets in which the Fund invests, as determined in good faith by the Calculation Agent, which would not necessarily lead to a modification of the Fund Prospectus; any event that, in the reasonable opinion of the Calculation Agent, has or is likely to have a significant effect on the conditions of the hedging arrangements (i.e. the holding by Société Générale of Units of the Fund) entered into by Société Générale to enable their offering by the Issuer; or a reduction of the Fund's total net assets by an amount that, in the reasonable opinion of the Calculation Agent, has or is likely to have a significant effect, on the management conditions of the Fund and/or its operating expenses, then the Calculation Agent may: (a) (b) determine that early redemption of the SDs shall occur (an Early Redemption Event) (an notify the Issuer accordingly), in which case the Issuer shall terminate its obligations under the SDs and pay or cause to be paid to each SD holder an amount corresponding to the fair market value of the SDs as determined by the Calculation Agent; in the case of subparagraph (iii) above only, replace the Unit by the kind and number of units or other securities and property receivable on such conversion, split, consolidation, merger, sale or 15

16 conveyance by a holder of Units prior to such conversion, split, consolidation, merger, sale or conveyance for the purposes of determining the value of the Unit and make any adjustment (if necessary) to the value of such Unit; or (c) replace the Unit with a new unit of another fund. PA: