Final Terms. Dated 29 January UNICREDIT BANCA MOBILIARE S.p.A. (the "Issuer")

Transcription

1 Final Terms Dated 29 January 2007 UNICREDIT BANCA MOBILIARE S.p.A. (the "Issuer") Issue of Up to Euro 50,000,000 Delta Select Fund Certificates under its Euro 8,000,000,000 Warrant and Certificate Programme This document constitutes the Final Terms relating to the issue of Securities described herein and final terms for the purposes of Article 5.4 of the Prospectus Directive (Directive 2003/71/EC) (the Prospectus Directive). Terms used herein shall be deemed to be defined as such for the purposes of the Terms and Conditions set forth in the Prospectus dated 14 December These Final Terms contain the final terms of the Securities described herein and must be read in conjunction with such Prospectus in order to obtain full information on the Issuer and the Securities themselves. Copies of such Prospectus are available free of charge to the public during normal business hours at the registered office of the Issuer and in an electronic form at the Issuer s website Certain potential situations of conflict of interest exist, with respect to the offer of the Securities, as better described in item 60 below. References herein to numbered Conditions are to the Terms and Condition of the Certificates and words and expressions defined in such terms and conditions shall bear the same meaning in these Final Terms, save as where otherwise expressly provided. The securities are derivative instruments and, therefore, may not be a suitable investment for all investors. Before making any investment decision, potential purchasers of the Securities described herein should carefully consider the risk factors described in the Prospectus and Annex II below, and should base such a decision on a thorough review of the entire Prospectus, including all documents incorporated by reference therein. The information concerning to risks involved in the investment in the Securities is not part of the Terms and Conditions. The order and extent of the risks descriptions under Annex II herein and in the Prospectus are not intended to be an indication of the scope of the financial consequences of any given risk, should it realise, nor an indication of the likelihood that any of the risks described will realise. Various risks may occur in combination and reinforce one another. The general risk overview in the Prospectus and the additional specific risks described in Annex II herein are not meant to replace the investor s individual consultation with its own financial advisor(s) prior to making any investment decision. Potential investors'financial advisors should be able to provide further information on transactions involving futures and options and the risks associated therewith. 1

2 The Securities are based on complex mathematical structures, which may not be readily intelligible to the investor. In addition, there is the possibility that the investor may underestimate the true risk associated with a purchase of Securities. Potential investors should therefore ensure that they have gained a thorough understanding of the Securities described herein. Before purchasing Securities, potential investors should carefully review their financial situation to make sure that they can bear the risks of loss associated with the Securities, also including, in several cases, the risk of a total loss of their investment. The Delta Select Fund Certificates described herein (the Certificates ) are a particular type of investment certificates, which are linked to the following components: (i). (ii). Delta Component : the difference between the performance of the Fund A (as defined in item 53 below) and of the Index (as defined in item 5 below); Select Component : the performance, at a certain percentage, of the Fund B (as defined in item 53 below). Redemption of the amount initially paid at issue is not guaranteed at maturity. Each of the Delta Component and the Select Component could be positive, negative or stable. By purchasing the Certificates the Holder may receive at maturity a positive return in case the sum of the Delta Component and the Select Component is positive. Otherwise the settlement of the Certificates at maturity may be at a value lower than the amount initially paid at issue. In the worst case the amount received by the Holder at maturity will be equal to zero. Components analysis: 1. Delta Component. The Delta Component will be positive if: - Fund A and Index performances are both negative and Fund A performance is better than the Index performance; - Fund A and Index performances are both positive and Fund A performance is better than the Index performance; - Fund A performance is positive and the Index performance is negative. The Delta Component will be negative if: - Fund A and Index performances are both negative and Fund A performance is worse than the Index performance; - Fund A and Index performances are both positive and Fund A performance is worse than the Index performance; - Fund A performance is negative and the Index performance is positive. 2. Select Component. The rule of Select Component calculation is the following: for each Reference Period (as defined in item 53 below), the fund (the so called Fund B ) with the better performance between two Observation Dates (as defined in item 53 below) immediately preceding the beginning of the relevant Reference Period is selected amongst two single funds and a basket of funds. For each Reference Period, the performance of the Certificates will be calculated on the basis of the performance of the Fund B so selected in accordance with the previous rules. The Select Component final performance will be equal, at maturity, to the product of the performances recorded by each Fund B for each of 36 Reference Periods. The Issuer (the Responsible Person) accepts responsibility for the information contained in these Final Terms. To the best of the knowledge and belief of the Issuer, which has taken all reasonable care to ensure that such is the case, the information contained in these Final Terms is in accordance with the facts and does not omit anything likely to affect the import of such information. 2

3 PART A - CONTRACTUAL TERMS A.1 GENERAL PROVISIONS 1. Issuer: UniCredit Banca Mobiliare S.p.A. 2. Series Number: 1 3. Tranche: 1 4. Consolidation: Not Applicable 5. Type of Securities: (i) The Securities are Certificates. (ii) (iii) The Securities are Fund (as defined in (iii) below) and Index Certificates. The Securities relate to: (1) the following Pioneer funds (together, the Funds and each a Fund ): a) the Top European Players, Classe E Pioneer fund (ISIN: LU ); b) the Euro Bond Classe E Pioneer fund (ISIN: LU ); c) a basket composed of the following Pioneer funds: Emerging Markets Equity, Classe E (LU ); Eastern European Equity, Classe E (LU ); Pacific (ex. Japan) Equity, Classe E (LU ); European Small Companies, Classe E (LU ); and (2) the Dow Jones EUROSTOXX50 Return Index (EUR) (the Index). See Annex I for a description of the Funds and the Index. 6. Form of Securities: No Certificates in definitive form will be issued. No physical document of title will be issued to represent the Certificates. On issue, the Certificates will be registered in the books of Monte Titoli. The Certificates will be held in bearer form on behalf of the beneficial owners until settlement and cancellation thereof. 7. Status of the Securities: Direct, unsubordinated and unsecured. 8. Admission to trading: Application will be made, within two months starting from the Issue Date, by the Issuer for the Certificates to be admitted to trading on EuroTLX, the Multilateral Trading System of TLX S.p.A. 3

4 9. Averaging: Not Applicable 10. Number of Securities being issued: Up to 500, Issue Price: Euro Issue Date: 9 March Maturity Date 9 March Exchange Business Day As set out in Condition 3 The Issuer is also the market maker on EuroTLX (the Market Maker ), and the relevant obligations as Market Maker are governed by the Rules of EuroTLX. The Issuer undertakes to provide liquidity through bid and offer quotes in accordance with the market making rules of EuroTLX, where the Certificates are expected to be admitted to trading. 15. Business Day Centre(s): The applicable Business Day Centre for the purposes of the definition of "Business Day" in Condition 3 is Milan 16. Valuation Date(s): The date, as determined by the Calculation Agent, which is the Business Day immediately preceding the Maturity Date of the Certificates. 17. Settlement: Settlement will be by way of cash payment. 18. Issuer's option to vary settlement: Not Applicable 19. Exchange Rate: Not Applicable 20. Settlement Currency: The settlement currency for the payment of the Cash Settlement Amount is EUR. 21. Parity Not Applicable 22. Rounding As set out in Condition Principal Agent: The Issuer 24. Calculation Agent: The Issuer 25. Paying Agent: The Issuer 26. Exchange(s): Not Applicable 27. Exchange(s) and Index Sponsor: For the purposes of Condition 16(A): (a) the Exchange is each stock exchange on which securities comprised in the Index are traded, from time to time, as determined by the Index Sponsor; 4

5 (b) the Index Sponsor is STOXX Limited ( 28. Related Exchange(s): For the purposes of Condition 16(A) the Related Exchange is EUREX ( 29. Multiplier: Not Applicable 30. Relevant Asset(s): Not Applicable 31. Entitlement: Not Applicable 32. Settlement Price: With respect to the Fund A, the net asset value (the NAV ) of the Fund A as calculated by Citibank International plc. (Luxembourg Branch), and as determined by the Calculation Agent, on the Valuation Date. The Settlement Price will be available at With respect to the Index, the official closing price of the Index as calculated by the Index Sponsor, and as determined by the Calculation Agent, on the Valuation Date. The Settlement Price will be available at Disrupted Day: If the Fixing Date (as defined in item 53 below) or the Valuation Date is a Disrupted Day, with respect to either the Fund A or the Index, the first succeeding Business Day that is not a Disrupted Day for both the Fund A and the Index shall be deemed to be the relevant Fixing Date or the Valuation Date, unless (i) the Business Day immediately following the scheduled Fixing Date, or (ii) each of the eight Business Days immediately following the scheduled Valuation Date, is a Disrupted Day with respect to either the Fund A or the Index. In that case: (i) that Business Day with respect to the Fixing Date or that eighth Business Day with respect to the Valuation Date shall be deemed to be the relevant Fixing Date or Valuation Date, notwithstanding the fact that such day is a Disrupted Day with respect to either the Fund A or the Index, and notwithstanding the fact that such day is a day that falls after the Maturity Date with respect to the Valuation Date; and (ii) the Calculation Agent shall calculate the NAV of the Fund A and the closing price of the Index at the Fixing Date and the Settlement Price in its good faith and absolute discretion, by taking into account: (i) in the case of a Disrupted Day with respect to the Index, the market conditions, and/or a price of the Index estimated on the basis of the last announced prices of the Index components, and/or such other conditions or factors that the Calculation Agent may reasonably consider to be relevant; and (ii) in the case of a Disrupted Day with respect to the Fund A, the market conditions, and/or a level of the Fund A NAV estimated on the basis of the last announced values of the Fund A components, and/or such other conditions or factors that the Calculation Agent may reasonably consider to be relevant. If an Observation Date, a First Business Day or a Last Business Day 5

6 (all as defined in item 53 below) is a Disrupted Day, with respect to the Fund B, the first succeeding Business Day that is not a Disrupted Day shall be deemed to be the relevant Observation Date, the relevant First Business Day or the relevant Last Business Day, unless each of the three Business Days immediately following the scheduled Observation Date, the scheduled First Business Day or the scheduled Last Business Day is a Disrupted Day. In that case: (i) that third Business Day shall be deemed to be the relevant Observation Date, the relevant First Business Day or the relevant Last Business Day, notwithstanding the fact that such day is a Disrupted Day; and (ii) the Calculation Agent shall calculate the NAV of the Fund B at the Observation Date, at the First Business Day or at the Last Business Day in its good faith and absolute discretion, by taking into account the market conditions, and/or a level of the Fund B NAV estimated on the basis of the last announced values of the Fund components, and/or such other conditions or factors that the Calculation Agent may reasonably consider to be relevant. 34. Relevant Time: The Relevant Time for the calculation of the Settlement Price of the Fund A is the scheduled time specified by Citibank International plc. (Luxembourg Branch) on the Valuation Date. 35. Currency: Not Applicable 36. Additional Disruption Events: Not Applicable 37. Failure to Deliver due to Illiquidity: Not Applicable The Relevant Time for the calculation of the Settlement Price of the Index is the scheduled time specified by the Index Sponsor on the Valuation Date. 38. Special conditions or other modifications to the Terms and Conditions: Not Applicable 39. Listing: The Securities are unlisted on regulated markets. 40. Additional Selling Restrictions: Not Applicable 41. Syndication: Not Applicable Application will be made by the Issuer for the Certificates to be traded on EuroTLX only (please see item 8 above). 42. Additional or Alternative Clearing System: 43. Notice provisions (other than as set out in Condition 11): Monte Titoli S.p.A. All notices to the Holders shall be valid if published by the Calculation Agent on the website All notices to the Holders shall also be published by TLX S.p.A. on the website In the case the notices have been published both by 6

7 44. Governing law of the Securities: Italian law A.2 PROVISIONS RELATING TO THE SECURITIES Calculation Agent and TLX S.p.A., such notices will be considered valid from the date of publication of Calculation Agent. 45.Type of Certificates: The Certificates are non-interest bearing. Automatic Exercise applies. 46. Units Certificates must be exercised in Units. Each Unit consists of 1 Certificates 47. Exercise Price Not Applicable 48. Exercise Date Maturity Date 49. Exercise Period Not Applicable 50. Settlement Date The fifth Business Day after the Valuation Date 51. Minimum Exercise Number The minimum exercise number of Certificates is Maximum Exercise Number Not Applicable 53. Cash Settlement Amount: Subject as set out in the Conditions (as supplemented and/or amended by these Final Terms), the Issuer will pay the Cash Settlement Amount to the Holders on the Settlement Date. The Cash Settlement Amount is not predetermined and could be equal to zero. The Cash Settlement Amount shall be determined by the Calculation Agent at the Valuation Date as follows: Cash Settlement Amount = [ 0; EUR100 (1+ Perf _ Fund _ A Perf _ Index + 73% Perf _ Fund _ B) ] Max Where: - Perf _ Fund _ A = Fund Fund A A T 0 Fund_A 0 means the NAV of Fund_A (as defined below) as determined by the Calculation Agent on the Fixing Date. Fund_A T means the Settlement Price of Fund_A, as determined by the Calculation Agent, on the Valuation Date. Fund_A means the Top European Players, Classe E Pioneer fund (ISIN: LU ). 7

8 Fixing Date means 7 March The result of the following formula: Fund_A T /Fund_A 0 shall be rounded to the nearest four decimal places, being rounded upwards. - Perf _ Index = SX 5T SX 5T T 0 SX5T 0 means the Index closing price, as determined by the Calculation Agent, on the Fixing Date. SX5T T means the Settlement Price of the Index, as determined by the Calculation Agent, on the Valuation Date. The result of the following formula: SX5T T /SX5T 0 shall be rounded to the nearest four decimal places, being rounded upwards Perf _ Fund _ B = Perf _ Fund _ B i 1 i= 1 i = 1, 2,, 36 means the Reference Period (as defined below); Perf_Fund_B i means the Reference Period performance of Fund_B (as defined below) determined by the Calculation Agent at the end of the relevant Reference Period i as follows: Perf _ Fund _ B = i Fund Fund f p Fund p means the NAV of Fund_B, as determined by the Calculation Agent, on the First Business Day. Fund f means the value of Fund B, as determined by the Calculation Agent, on the Last Business Day. With respect to the last Reference Period (i=36), Fund f means the value of Fund_B, as determined by the Calculation Agent, on the Valuation Date. First Business Day means the first Business Day of the relevant Reference Period i. Last Business Day means the last Business Day of the relevant Reference Period i. The result of the following formula: Fund f /Fund p shall be rounded to the nearest four decimal places, being rounded upwards. Fund B means the Fund, selected among the following funds, at the beginning of each Reference Period, which has had the best performance between two Observation Dates (as defined below) immediately preceding: 1. Top European Players, Classe E Pioneer fund; 8

9 2. Euro Bond, Classe E Pioneer fund; 3. a basket composed by the following Pioneer funds: - Emerging Markets Equity, Classe E (weight: 20%); - Eastern European Equity, Classe E (weight: 15%); - Pacific (ex. Japan) Equity, Classe E (weight: 30%); - European Small Companies, Classe E (weight: 35%). The values of funds at Nr. 1. and 2. above, used for the calculation of the performance of Fund_B, are the NAV, as determined by the Calculation Agent, on each relevant Observation Date, on each relevant First Business Day and on each relevant Last Business Day. The values of the basket of funds at Nr. 3. above, used for the calculation of the performance of Fund_B, on any fixed momento t, shall be calculated as follows: Fund _ B t = 4 i= 1 Fund Weighti Fund t i 0 i Where: i = 1,,4 means each fund comprised in the above basket; Fund t means the NAV of each fund, comprised in the above basket, on any fixed moment t; Fund 0 means the NAV of each fund, comprised in the above basket, on 7 February Fund_B for the first Reference Period is selected on the basis of the eligible assets performances realized before the Issue Date. Reference Period means each time period starting on the second Business Day immediately succeeding each Observation Date and ending on the second Business Day immediately succeeding the following Observation Date. The first Reference Period begins on the Issue Date. The last Reference Period begins on the second Business Day immediately succeeding the last Observation Date and ends on the Valuation Date. Observation Date means the 7 th day of each month, where first Observation Date is 7 February 2007 and last Observation Date is 7 February The result of the following formula: 36 i= 1 Perf _ Fund _ shall be rounded to the nearest four decimal places, being rounded upwards. B i 54. Settlement Business Day: Not Applicable 55. Notional Amount of each Certificate: Not Applicable 56. Interest Payment Dates: Not Applicable 9

10 57. Interest Rate: Not Applicable 58. Interest Rate Day Count Fraction: Not Applicable 59. Renouncement Date The first Business Day following the Valuation Date PART B - OTHER INFORMATION B.1 CONFLICT OF INTEREST: 60. Conflicts of interest in respect of the issue: The Issuer and the Manager have a conflict of interest with the Holders, with regard to the offer of the Certificates, due to their respective roles in the issue and offer of the Certificates and as they both belong to the same UniCredito Italiano Banking Group. In particular, the Issuer is also the arranger and the Calculation Agent of the Certificates. Moreover, the Issuer shall also act as the Responsabile del Collocamento (as defined by Consob Regulation No of 14 May 1999, as subsequently amended and supplemented) of the Certificates (please see also item 66 below). Lastly, the Manager shall receive from the Issuer a placement fee comprised in the Issue Price. With regard to trading of the Certificates on the Multilateral Trading System EuroTLX, please note that such system is organized and managed by TLX S.p.A., a company which the Issuer - a member of UniCredito Italiano Banking Group - has a stake in. The Issuer is also the Market Maker on such EuroTLX system. Lastly, the Funds are authorized funds managed by Pioneer Investments Management Limited a company within the same UniCredito Italiano Banking Group as the Issuer. B.2 DISTRIBUTION: 61. If syndicated, names and addresses of Managers and underwriting commitments: Not Applicable 62. Date of Subscription Agreement: Not Applicable 63. Stabilising Manager (if any): Not Applicable 64. If non-syndicated, name and address of Manager: UniCredit Private Banking S.p.A., with registered office at Via Arsenale 21, Torino. 65. Total commission and concession: The Issue Price comprises the following commissions: a structuring commission for the Issuer equal to 0.5% of the Issue Price, a placement commission for the Manager equal to 2% of the Issue Price and other charges equal to 0.45% of the Issue Price. Therefore, having an Issue Price of EUR 100 and an unchanged derivative component value up to the Issue Date, such Issue Price may be also illustrated as follows: 10

11 Derivative Structuring Placement Other charges Issue Price component commission commission (A) (B) (C) (D) (E=A+B+C+D) EUR EUR 0.5 EUR 2 EUR 0.45 EUR 100 Such commissions and concessions therefore, do not represent additional charges to the Holder but are included, as the relevant components, in the Issue Price. 66. Conditions of the offer: UniCredit Private Banking S.p.A., an authorized bank within UniCredito Italiano Banking Group, is in charge of the placement of the Certificates. The Issuer is the Responsabile del Collocamento, as defined in article 3 of Consob Regulation No of 14 May 1999 (as subsequently amended and supplemented). The Issuer reserves the right to withdraw from the offer until the Issue Date at unquestionable discretion whereby all subscription requests of the Certificates shall be considered void and without any effect and the issue of the Certificates shall no longer take place. The Issuer also reserves the right to early terminate the Offer Period, as below defined, (so that no further subscription requests shall be accepted following early termination of the Offer Period), regardless of whether all available Certificates have been subscribed or not, or to delay the Offer Period, at its unquestionable discretion. Subscription orders can be submitted to UniCredit Private Banking S.p.A. at its offices only. Subscription orders are irrevocable and will be accepted starting from 29 January 2007 to 1 March 2007 (the "Offer Period") unless closed in advance and without previous notice and will be satisfied within the limits of the maximum Number of Certificates on offer, as in previous item 10. The number of Certificates on offer is up to a maximum of 500,000 Certificates (equal to a maximum principal amount of EUR 50,000,000). Minimum subscription amount is 1 Certificates and integral multiples thereof. The offer is for Italian residents only (including the operatori qualificati, as defined in article 25 and 31, comma 2, of Consob Regulation No of 1 July 1998, as subsequently amended and supplemented) and is made in Italy exclusively. No specific allocation method is established. Subscription requests shall be accepted by the Manager at its offices and shall be satisfied by the relevant office in a chronological order and within the limits of the available amount. 11

12 The Issuer has notified the issue of the Certificates to the Bank of Italy according to article 129 of Legislative Decree n. 385 of 1 September 1993 (the Italian Banking Act ) on 22 December B.3 REASONS FOR THE OFFER, ESTIMATED NET PROCEEDS AND TOTAL EXPENSES: 67. Reasons for the offer: See Use of Proceeds in the Prospectus. 68. Estimated net proceeds: Not Applicable 69. Estimated total expenses: Not Applicable B.4 OPERATIONAL INFORMATION: 70. ISIN Code: IT Common Code: Not Applicable 72. Any clearing system(s) other than Euroclear Bank S.A./N.V. and Clearstream Banking Société Anonyme and the relevant identification number(s): The Certificates are held through Monte Titoli in dematerialised form pursuant to Italian Legislative Decree no.213 of 24 June 1998, as subsequently amended and integrated. The Certificates will at all times be in book-entry form and title to Certificates will be evidenced by book entry in accordance with the provisions of the Italian Legislative Decree no. 213 of 24 June 1998, as subsequently amended and integrated. No physical document of title will be issued in respect of the Certificates. 73. Delivery: Delivery free of payment. The Certificates shall, in the first instance, be credited to the account of the Issuer with Monte Titoli. Payment is not made in favour of the Issuer contemporaneously with the crediting of Certificates to its account with Monte Titoli. 74. Names and addresses of additional Agent(s) (if any): UniCredit Banca Mobiliare S.p.A., Via Tommaso Grossi, 10, 20121, Milan, Italy, acting as Paying Agent. B.5 LISTING AND ADMISSION TO TRADING APPLICATION: These Final Terms comprise the final terms required to list the issue of the Certificates described herein pursuant to the Euro 8,000,000,000 Warrant and Certificate Programme. B.6 RESPONSIBILITY: 75. Responsibility Statement: The Issuer accepts responsibility for the information contained in these Final Terms subject as provided below. To the best of the knowledge and belief of the Issuer (which has taken all reasonable care to ensure that such is the case), the information contained in the Prospectus, as amended and/or supplemented by these Final Terms in relation to the Certificates, is (subject as provided below) true and accurate in all material aspects and, in the context of the issue of the Certificates, there are no other material facts the omission of which would make any statement in such information misleading. 12

13 The information included in Annex I (Information about the Funds and the Index) consists of extracts from or summaries of information that is publicly available on the relevant websites of Pioneer Investments at and of the Index Sponsor at and is not necessary the latest information available. The Issuer accepts responsibility for accurately extracting and summarising the Information about the Funds and the Index. No further or other responsibility (express or implied) in respect of the Information about the Funds and the Index is accepted by the Issuer. UniCredit Banca Mobiliare S.p.A. As Issuer 13

14 Annex I Information about the Funds and the Index 1. Top European Players Fund 1.1 Composition The composition of the Fund is available on the website As of 29 December 2006 the asset allocation of the Fund was: 31 December 2005 (%) 30 November 2006 (%) Euro Bond - - Ex Euro Bond - - Italian Stock European Stock North American Stock Far East Stock - - Emerging Markets Stock - - Liquidity As of 29 December 2006 the sector allocation of the Fund was: % Software 0.0 Hardware 5.7 Media 0.0 Telecommunications 0.0 Health 9.9 Consumer services 6.6 Company services 7.4 Finance 33.6 Consumer goods 8.7 Industrial goods 15.4 Energy 10.2 Public utility services Product information The Top European Players is a fund managed by Pioneer Investments Management Limited. ISIN: LU Class: E Benchmark: MSCI Europe 1.3 NAV dissemination The Fund NAV is calculated by Citibank International plc. (Luxembourg Branch) on any Business Day and the values are published on Pioneer Investments website ( Historical NAV and performance of the Fund will be available on the website 14

15 2. Euro Bond Fund 2.1 Composition The composition of the Fund is available on the website As of 29 December 2006 the asset allocation of the Fund was: 31 December 2005 (%) 30 November 2006 (%) Euro Bond Ex Euro Bond Italian Stock - - European Stock - - North American Stock - - Far East Stock - - Emerging Markets Stock - - Liquidity As of 29 December 2006 the currency allocation of the Fund was: Currency % Dollar 3.68 Euro Pound 0.00 Yen 0.00 Others Product information The Euro Bond is a fund managed by Pioneer Investments Management Limited ISIN: LU Class: E Benchmark: JP Morgan Global Govt Bond EMU LC 1.3 NAV dissemination The Fund NAV is calculated by Citibank International plc. (Luxembourg Branch) on any Business Day and the values are published on Pioneer Investments website ( (check con Pioneer) Historical NAV and performance of the Fund will be available on the website 15

16 3. Emerging Markets Equity Fund 3.1 Composition The composition of the Fund is available on the website As of 29 December 2006 the asset allocation of the Fund was: 31 December 2005 (%) 30 November 2006 (%) Euro Bond - - Ex Euro Bond - - Italian Stock - - European Stock North American Stock Far East Stock Emerging Markets Stock Liquidity As of 29 December 2006 the sector allocation of the Fund was: % Software 0.0 Hardware 4.4 Media 2.7 Telecommunications 5.7 Health 1.5 Consumer services 7.3 Company services 9.2 Finance 18.8 Consumer goods 3.9 Industrial goods 26.7 Energy 16.7 Public utility services Product information The Emerging Markets Equity is a fund managed by Pioneer Investments Management Limited. ISIN: LU Class: E Benchmark: MSCI Emerging Markets Free 1.3 NAV dissemination The Fund NAV is calculated by Citibank International plc. (Luxembourg Branch) on any Business Day and the values are published on Pioneer Investments website ( Historical NAV and performance of the Fund will be available on the website 16

17 4. Eastern European Equity Fund 4.1 Composition The composition of the Fund is available on the website As of 29 December 2006 the asset allocation of the Fund was: 31 December 2005 (%) 30 November 2006 (%) Euro Bond - - Ex Euro Bond - - Italian Stock - - European Stock North American Stock - - Far East Stock - - Emerging Markets Stock Liquidity As of 29 December 2006 the sector allocation of the Fund was: % Software 1.0 Hardware 4.4 Media 0.4 Telecommunications 9.5 Health 4.3 Consumer services 2.5 Company services 1.2 Finance 21.8 Consumer goods 0.0 Industrial goods 11.7 Energy 34.5 Public utility services Product information The Eastern European Equity is a fund managed by Pioneer Investments Management Limited. ISIN: LU Class: E Benchmark: MSCI Emerg. Mkts Europe & Mid. East 1.3 NAV dissemination The Fund NAV is calculated by Citibank International plc. (Luxembourg Branch) on any Business Day and the values are published on the Pioneer Investments website ( Historical NAV and performance of the Fund will be available on the website 17

18 5. Pacific (ex. Japan) Equity Fund 5.1 Composition The composition of the Fund is available on the website As of 29 December 2006 the asset allocation of the Fund was: 31 December 2005 (%) 30 November 2006 (%) Euro Bond - - Ex Euro Bond - - Italian Stock - - European Stock - - North American Stock Far East Stock Emerging Markets Stock Liquidity As of 29 December 2006 the sector allocation of the Fund was: % Software 0.9 Hardware 6.1 Media 1.9 Telecommunications 10.0 Health 0.6 Consumer services 5.3 Company services 4.5 Finance 36.6 Consumer goods 10.3 Industrial goods 16.4 Energy 4.0 Public utility services Product information The Pacific (ex. Japan) Equity is a fund managed by Pioneer Investments Management Limited. ISIN: LU Class: E Benchmark: MSCI AC Asia Pacific Free ex. Japan 1.3 NAV dissemination The Fund NAV is calculated by Citibank International plc. (Luxembourg Branch) on any Business Day and the values are published on the Pioneer Investments website ( Historical NAV and performance of the Fund will be available on the website 18

19 6. European Small Companies Fund 6.1 Composition The composition of the Fund is available on the website As of 29 December 2006 the asset allocation of the Fund was: 31 December 2005 (%) 30 November 2006 (%) Euro Bond - - Ex Euro Bond - - Italian Stock European Stock North American Stock - - Far East Stock - - Emerging Markets Stock - - Liquidity As of 29 December 2006 the sector allocation of the Fund was: % Software 0.0 Hardware 2.0 Media 2.4 Telecommunications 1.5 Health 6.6 Consumer services 9.5 Company services 19.2 Finance 17.6 Consumer goods 8.5 Industrial goods 29.0 Energy 3.7 Public utility services Product information The European Small Companies is a fund managed by Pioneer Investments Management Limited. ISIN: LU Class: E Benchmark: Dow Jones Stoxx 200 Small 1.3 NAV dissemination The Fund NAV is calculated by Citibank International plc. (Luxembourg Branch) on any Business Day and the values are published on the Pioneer Investments website ( Historical NAV and performance of the Fund will be available on the website 19

20 7. Dow Jones EUROSTOXX50 Return Index (EUR) 7.1 Composition The composition of the Index is available on the website As of 08 January 2006 the basket of shares composing the Index is the following: ISIN FR ES J37 FR ES E18 FR IT NL DE DE ES DE FI IT FR IT FR DE NL FR DE DE BE FR DE DE IT DE NL FR NL IT DE FR FR DE FR IT ES FR ES FR ES FR Stock TOTAL BCO SANTANDER CENTRAL HIS BNP PARIBAS TELEFONICA SANOFI-AVENTIS UNICREDITO ITALIANO ING GROEP ALLIANZ E.ON BCO BILBAO VIZCAYA ARGENT SIEMENS NOKIA ENI GROUPE SOCIETE GENERALE INTESA SANPAOLO S.P.A. AXA DEUTSCHE BANK R ABN AMRO SUEZ DAIMLERCHRYSLER DEUTSCHE TELEKOM FORTIS FRANCE TELECOM RWE SAP ASSICURAZIONI GENERALI BASF UNILEVER NV VIVENDI UNIVERSAL PHILIPS ELECTRONICS ENEL BAYER CARREFOUR SUPERMARCHE GROUPE DANONE MUENCHENER RUECKVER R ALCATEL LUCENT TELECOM ITALIA ENDESA CREDIT AGRICOLE IBERDROLA SAINT GOBAIN REPSOL YPF AIR LIQUIDE 20

21 NL FR IE FR FR FR NL AEGON L'OREAL ALLIED IRISH BANKS LVMH MOET HENNESSY RENAULT LAFARGE AHOLD The composition of the Index and, as described below, the components selection methodology are the same of Eurostoxx50 index, but the calculation of the Dow Jones EUROSTOXX50 Return Index (the Index ) includes all dividend payments. 7.2 Product information The Index provides a blue-chip representation of STOXX Supersector leaders in the Eurozone. Covers Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. The Index captures approximately 60% of the free float market capitalisation of the Dow Jones EUROSTOXX Total Market Index, which in turn covers approximately 95% of the free float market capitalisation of the represented countries. Selection List Within each of the 18 Dow Jones EUROSTOXX Supersector indices, the component stocks are ranked by free-float market capitalisation. The largest stocks are added to the selection list until the coverage is close to, but still less than, 60% of the free-float market capitalisation of the corresponding Dow Jones EUROSTOXX TMI Supersector index. If the next-ranked stock brings the coverage closer to 60% in absolute terms, then it is also added to the selection list. Any remaining stocks that are current Dow Jones EUROSTOXX50 Return Index components are added to the selection list. The stocks on the selection list are ranked by free-float market capitalisation. In exceptional cases, the STOXX Limited Supervisory Board may make additions and deletions to the selection list. Stock Selection The 40 largest stocks on the selection list are chosen as components. Any remaining current components of the Dow Jones EUROSTOXX50 Return Index ranked between 41 and 60 are added as index components. If the component number is still below 50, then the largest stocks on the selection list are added until the index contains 50 stocks. Weighting The index is weighted by free-float market capitalization. Each component s weight is capped at 10% of the index s total free-float market capitalization. The free-float weights are reviewed quarterly. 7.3 Price dissemination The Index is calculated by STOXX Limited at the end of the day on any Business Day and the values are published on the STOXX website ( on the main info-provider systems such as Reuters (at the page:.stoxx50er) and Bloomberg (at the page SX5T Index). Historical prices and volatility of the Index will be available on the website in connection with each Security issued under these Final Terms. 7.4 Disclaimer The Dow Jones EUROSTOXX50 is the intellectual property (including registered trademarks) of Stoxx Limited, Zurich, Switzerland and/or Dow Jones & Company, Inc., a Delaware corporation, New York, USA, (the "Licensors"), which is used under license. The securities based on the Index are in no way sponsored, endorsed, sold or promoted by the Licensors and neither of the Licensors shall have any liability with respect thereto. 21

22 Annex II Additional Specific Risks Additional specific risks associated with the issue of the Certificates: Issuer risk The investment is subject to the Issuer risk, i.e. the possibility that the Issuer may not be able to meet its payment obligations with respect to the Certificates. The Issuer s assets guarantee the Holders for payment of the Cash Settlement Amount due at the Settlement Date without any priority with respect to other Issuer s creditors in case of insolvency. The protection afforded by the Italian Interbank Deposit Protection Fund does not apply to the Certificates. Risk of changes in underlying value The value of the Certificates depends on trends in the performance of the Funds and of the Index. There is no guarantee that the price of the Certificates will remain for its entire duration at least equal to the amount initially paid, as such price may fluctuate significantly depending on the value of the underlying assets; also, the Cash Settlement Amount due at the Settlement Date may vary, even negatively, depending on variations in the value of the underlying assets and it could be equal to zero. Liquidity Risk This risk is represented by the difficulty for the Holder in liquidating his/her investment prior to the Maturity Date, or of not being able to recover the amount initially paid in case of disinvestment prior to the Maturity Date. Nevertheless, such risk appears to be mitigated (i) as the Issuer shall file an application for the Certificates to be traded on the Multilateral Trading System EuroTLX; and (ii) as, prior to such admission, the Issuer shall quote bid prices for the Certificates. Tax Regime Risk The Tax regime of the Certificates may change throughout their duration, with the result of being different (even less favourable for the Holder) from that which is specified in the Base Prospectus and in the Final Terms hereof. Risk of variations in the Terms and Conditions The Terms and Conditions which govern the issue of the Certificates, contained in the Prospectus dated 14 December 2006, provide that, without necessity of a prior consent from each Holder, the Issuer may modify the same Terms and Conditions as it may deem necessary in order to avoid ambiguities and/or errors contained therein. Notwithstanding what precedes, the Issuer shall not be entitled to make, in any case, any modification in the Terms and Conditions, which may prejudice the Holders rights in the Certificates. 22

23 Risk of autonomous determinations by the Issuer acting as Calculation Agent The Terms and Conditions and the Final Terms of the Certificates provide for the power of the Issuer, acting as Calculation Agent, in the event of market disruption at the Valuation Date or each Observation Date which persists thereby, of calculating the NAV of the Fund A and/or the value of the Index at the Valuation Date and the NAV of the Fund B at the relevant Observation Date, consequently, the Cash Settlement Amount. According to the Terms and Conditions, the calculations and valuations of the Calculation Agent shall be deemed to be fully binding towards the Holders, save for cases of manifest errors. Risk of Market Disruption Events and/or extraordinary events with respect to either the Funds or the Index The Terms and Conditions and the Final Terms hereof provide for the possibility of certain Market Disruption Events and extraordinary events occurring with respect to either the Funds or the Index. In case of Market Disruption Events, the Calculation Agent shall notify occurrence to the Holders and shall undertake all necessary actions according to what provided for in the Terms and Conditions and in the Final Terms hereof. In case of extraordinary events (Funds Events, with respect to the Funds, or Adjustment Events with respect to the Index), the Calculation Agent, shall notify occurrence to the Holders informing them about the actions from time to time undertaken depending upon the specific event occurred, according to the Terms and Conditions and the relevant Final Terms. 23

24 Annex III Performance of Certificates, explanation of effect on value of investment and associated risks 1. Explanation of how the value of the investment is affected by the underlying and the circumstances when the risks are most evident. As of 22 January 2007, the values of the Fund, of the Index, the months to maturity and the volatilities are indicated in bold type. Effect on the Certificates price of a variation of the NAV of Fund A ( Top European Players, Classe E Pioneer fund) Fund value Variation (%) Certificates price Variation (%) EUR EUR EUR EUR EUR EUR Effect on the Certificates price of a variation of the value of the Index Index value Variation (%) Certificates price Variation (%) 6, EUR , EUR 100-5, EUR Effect on the Certificates price of a variation of the NAV of the eligible Funds B Variation (%) Certificates price Variation (%) + 10 EUR EUR EUR Effect on the Certificates price of a variation of the Fund A ( Top European Players, Classe E Pioneer fund) volatility Fund volatility Variation (%) Certificates price Variation (%) 18% + 1 EUR % - EUR % - 1 EUR Effect on the Certificates price of a variation of the Index volatility Index volatility Variation (%) Certificates price Variation (%) 18% + 1 EUR % - EUR % - 1 EUR

25 Effect on the Certificates price of a variation of the eligible Funds B volatility Variation (%) Certificates price Variation (%) + 1 EUR EUR EUR Effect on the Certificates price of the time decay Months to Certificates Maturity Date price Variation (%) 37 EUR EUR EUR Cash Settlements Amount yield scenarios At maturity various scenarios may occur depending on the value of the Funds and of the Index. Please see below some examples of what the Cash Settlement Amount would be, depending on the various scenarios at maturity. The following scenario assumes, at the Fixing Date, a NAV of the Fund A equal to EUR 6.910, a level of the Index equal to 5,800 index points, an Issue Price of EUR 100 and Perf_Fund_B equal to and calculated as follows: Perf _ Fund 36 _ B = Perf i= 1 _ Fund _ B i 1 = = where Perf_Fund_B i are Reference Period (i) Perf_Fund_B(i)

26 Positive scenarios Example 1 At the Valuation Date, the Fund A and the Index performances are both positive and the Fund A performance is better than the Index performance; for example, the Fund A NAV is equal to EUR and the Index value is equal to 6,670 index points. The Cash Settlement Amount will be equal to: Cash Settlement Amount = Max [0; EUR 100 x ( % x )] = EUR Example 2 At the Valuation Date, the Fund A and the Index performances are both negative and the Fund A performance is better than the Index performance; for example, the Fund A NAV is equal to EUR and the Index value is equal to 5,220 index points. The Cash Settlement Amount will be equal to: Cash Settlement Amount = Max [0; EUR 100 x ( % x )] = EUR Example 3 At the Valuation Date, the Fund A performance is positive while the Index performance is negative. We suppose, for example, that the Fund A NAV is equal to EUR and the Index value is equal to 5,220 index points. The Cash Settlement Amount will be equal to: Cash Settlement Amount = Max [0; EUR100 x ( % x )] = EUR Negative scenarios Example 1 At the Valuation Date, the Fund A performance is negative and the Index performance is positive; for example, the Fund A NAV is equal to EUR and the Index value is equal to 6,032 index points. The Cash Settlement Amount will be equal to: Cash Settlement Amount = Max [0; EUR 100 x ( % x )] = EUR

27 Example 2 At the Valuation Date, the Fund A and the Index performances are both positive and the Fund performance is worse than the Index performance. We suppose, for example, that the Fund A NAV is equal to EUR and the Index value is equal to 7,250 index points. The Cash Settlement Amount will be equal to: Cash Settlement Amount = Max [0; EUR 100 x ( % x )] = EUR Example 3 At the Valuation Date, the Fund A and the Index performances are both negative e the decrease of Fund A value is higher than the Index one; for example, the Fund A NAV is equal to EUR while the Index value is equal to 5,220 index points. The Cash Settlement Amount will be equal to: Cash Settlement Amount = Max [0; EUR 100 x ( % x )] = EUR Backtesting simulation Hypothetical characteristics of the Certificates: - Fixing Date: 21 January NAV of Fund A at the Fixing Date: EUR 4.41 (source Pioneer Investments) - Index value at the Fixing Date: 3, index points (source Reuters) - Issue Price: EUR Maturity Date: 23 January Valuation Date: 22 January 2007 At the Valuation Date the NAV of Fund A was equal to EUR 7.365, the Index Value was equal to 5, index points and Perf_Fund_B was equal to The Cash Settlement Amount would have been equal to: Cash Settlement Amount=Max [0;EUR100 x ( % x )]=EUR All above scenarios and simulations are for informative and illustrative purposes only, and do not purport either to be comprehensive or anticipate or guarantee future returns. All above hypothetical amounts have been calculated gross of any applicable withholding tax. 27

28 Annex IV Tax Regime in the Republic of Italy The following is a summary, which does not purport to be a comprehensive description, of current Italian law and practise relating to the taxation of the Certificates. PROSPECTIVE PURCHASERS OF THE CERTIFICATES ARE ADVISED IN ANY CASE (I) TO CONSULT THEIR OWN TAX ADVISERS CONCERNING THE OVERALL TAX CONSEQUENCES OF THEIR SUBSCRIPTION, PURCHASE, TRANSFER AND EXERCISE OF THE CERTIFICATES; AND (II) READ CAREFULLY THE TAX REGIME IN THE REPUBLIC OF ITALY SECTION ON PAGE 196 OF THE PROSPECTUS DATED 14 DECEMBER All payments in respect of the Certificates by or on behalf of the Issuer would not be subject to any Italian withholding taxes or the withholding taxes of any other EU member state except for Austria, Belgium and Luxembourg. In the near future, with the approval of the law proposal No of 4 October 2006, currently under discussion in the Parliament, the Italian Government could be authorised to introduce a fixed 20 per cent. withholding tax on any capital gains and financial incomes irrespective from the nature of the security and the source of the income, which may impact upon the tax regime of the Certificates as described below. Legislative Decree No. 344 of 12 December 2003 published in the Italian Official Gazette of 16 December 2003 No. 261 (Ordinary Supplement No. 190), effective as of 1 January 2004 introduced the reform of taxation of corporations and of certain financial income amending the Italian Income Taxes Consolidated Code. Legislative Decree No. 247 of 19 November 2005 (known as the "Correttivo IRES") published in the Italian Official Gazette No. 280 of 1 December 2005, amended Decree No. 344 on certain provisions related to the taxation of corporations and of certain financial income. Prospective investors are advised to consult their own tax advisers concerning the overall tax consequences of their interest in the Certificates. According to currently applicable Italian tax legislation, capital gains and other revenues deriving from purchase and exercise of the Certificates to Holders which are individuals resident in Italy, not running a commercial enterprise, are relevant for taxation purposes. In particular, according to Legislative Decree No. 461 of 21 November 1997, supplementing the other income category as provided for by article 81, first paragraph, of Presidential Decree No. 917 of 22 December 1986 (the Italian Income Taxes Consolidated Code, as further amended by Legislative Decree No. 344 of 12 December 2003, effective as of 1 January 2004, which introduced the reform of taxation of corporations and of certain financial income) such revenues shall be subject to 12.5% substitute tax (imposta sostitutiva). Particular provisions are applicable where the tax declaration regime ( regime della dichiarazione ), or the non-discretionary investment portfolio regime ( regime del risparmio amministrato ) or the discretionary investment portfolio regime ( regime del risparmio gestito ) applies to the holding of Certificates. It cannot be furthermore excluded that according to one different interpretation of the Italian fiscal law these Certificates might be qualified for tax purposes as atypical securities and be subject to a different regime than as above mentioned, even more unfavorable for the Holder. In this event, payments relating to Certificates may be subject to an Italian withholding tax, levied at the rate of 27 per cent. 28