SEK FX HEDGED 250% LEVERAGED ITRAXX XOVER S24 CREDIT … · 2017-05-13 · credit event affects the Outstanding Nominal by 250% x (100% / 75) = 3.33%. More generally, the Outstanding

1

SEK FX HEDGED 250% LEVERAGED ITRAXX XOVER S24 CREDIT-LINKED NOTES

1 2 3 4

Suitable for investors in the per se “Eligible Counterparty" category as

per Article L533-20 of the French Monetary and Financial Code or equivalent foreign law entities.+

Qualified investors

only

All investors

Product category

Hybrid Security presenting a risk of loss in capital during the product lifetime and at maturity Product issued by Exane Finance, subject to the credit risk of the issuer and the guarantor Exane Derivatives (Moody’s: Baa2; S&P: BBB+)

2

Debt security under French law presenting a risk of loss in capital during the product lifetime and at maturity

Product issued by Exane Finance, subject to the credit risk of the issuer and the guarantor Exane Derivatives

Exposure to the solvency of 75 European high yield companies: the product is therefore subject to the credit risk of 75 reference entities

Thanks to 250% leverage, the product targets a redemption of 100% x Denomination at maturity

Maturity: December 2020

Currency: SEK

Issuer price: 43% x Denomination

CHARACTERISTICS

Product type: Index Linked CLN Issuer: Exane Finance Guarantor Exane Derivatives (Moody’s: Baa2 / S&P: BBB+) Underlying: Diversified list of 75 European High Yield companies (hereafter the List – see page 9) (Bloomberg code: ITRX XOVER CDSI S24 5Y) Currency: SEK Maturity: December 2020 Issuer price: 43% x Denomination CFIN: 18794079 ISIN: CH0308778213 Conditions at 21 January 2016

3

SEK FX HEDGED 250% LEVERAGED ITRAXX XOVER S24CREDIT-LINKED NOTES

INVESTMENT RATIONALE Based on a static and diversified list of 75 European High Yield companies (complete list on page 9) – hereafter, the List – the “SEK FX Hedged 250% Leveraged iTraxx Xover S24Credit-Linked Notes” product aims to redeem at maturity at 100% x Denomination if no company on the List suffers a credit event. The product encapsulated a hedging forward EURSEK position for a fixed quantity of 100% x Denomination. The redemption at maturity has a step-down mechanism based on the number of credit events affecting the List. The redemption amount at maturity is at its maximum (100%) when there is no credit event and the investor is perfectly hedged against a risk of change in SEKEUR. When there is more than 1 credit event, the redemption amount is impacted and start to decrease. In addition, the investor is not anymore perfectly hedged against the change in EURSEK and bears a forex risk, that may impact the redemption amount. During the product’s lifetime, the issuer can decide to redeem the product before maturity if certain market conditions materialise (tensions in the European credit market, reflected, for example, in a widening of credit spreads). Depending on market conditions, the amount redeemed before maturity may be very small or even nil. Via a diversified selection of 75 European High Yield companies, the product offers an opportunity to invest in European High Yield credit. It presents a risk of loss of capital during the lifetime of the product and at maturity.

CONTENTS

• Investment principle (p. 3)

• Product mechanism (p. 3)

• Illustration (p. 6)

• Strengths and Weaknesses (p. 7)

• Definition of a credit event (p. 8)

• Focus on the list of 75 European companies (p. 9)

• Focus on historical credit events (p. 11)

• Classification (p. 12)

4


PRODUCT MECHANISM To calculate the repayment at maturity, the notion of Outstanding Nominal must be introduced. This represents the part of the Nominal not affected by credit events. Definition of the Outstanding Nominal • The Outstanding Nominal is the part of the Nominal not affected by credit events.

• At issuance and in the absence of a credit event, the Outstanding Nominal is equal to 100% x

Denomination.

• Each credit event since the trade date reduces the Outstanding Nominal by 3.33%. Since the List of 75 Reference Entities is equally weighted and leverage of 250% is applied, each credit event affects the Outstanding Nominal by 250% x (100% / 75) = 3.33%.

More generally, the Outstanding Nominal is equal to (100% - n x 3.33%) x Denomination

n being the number of Reference Entities that have suffered a credit event since the trade date.

As such, for 30 credit events and above, the Outstanding Nominal is nil.

Redemption at maturity: 100% x Outstanding Nominal

At maturity, if the product has not been redeemed early, investors receive:

100% x Outstanding Nominal x FXFinal/FXFwd + (FXFwd – FXFinal)/FXFwd x Denomination

Number of credit events experienced

in the list since the

initial observation

Outstanding Nominal

(x Denomination)

Redemption at maturity

(x Denomination)

If FX final =

9.645


(x Denomination)

If FX final =

9.3585 0 100.00% 100.00% 100.00%

1 96.67% 96.67% 96.77%

2 93.33% 93.33% 93.53%

3 90.00% 90.00% 90.30%

4 86.67% 86.67% 87.06%

5 83.33% 83.33% 83.83%

6 80.00% 80.00% 80.59%

7 76.67% 76.67% 77.36%

8 73.33% 73.33% 74.13%

9 70.00% 70.00% 70.89%

10 66.67% 66.67% 67.66%

11 63.33% 63.33% 64.42%

12 60.00% 60.00% 61.19%

13 56.67% 56.67% 57.95%

14 53.33% 53.33% 54.72%

15 50.00% 50.00% 51.49%

Number of credit events experienced

in the list since the

initial observation

Outstanding Nominal

(x Denomination)


(x Denomination)

If FX final =

9.645


(x Denomination)

If FX final =

9.3585 16 46.67% 46.67% 48.25%

17 43.33% 43.33% 45.02%

18 40.00% 40.00% 41.78%

19 36.67% 36.67% 38.55%

20 33.33% 33.33% 35.31%

21 30.00% 30.00% 32.08%

22 26.67% 26.67% 28.84%

23 23.33% 23.33% 25.61%

24 20.00% 20.00% 22.38%

25 16.67% 16.67% 19.14%

26 13.33% 13.33% 15.91%

27 10.00% 10.00% 12.67%

28 6.67% 6.67% 9.44%

29 3.33% 3.33% 6.20%

30 0.00% 0.00% 2.97%

>30 0.00% 0.00% 2.97%

FXFinal is the foreign exchange rate EUR to SEK on the Final Fixing Date.

FWD is the forward foreign exchange rate EUR to SEK with a maturity equal to the Final Fixing Date determined by Exane Derivatives and is equal to 9.645

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Conditional early redemption before maturity at the option of the issuer If the Adjusted Spread (the List’s observed spread that is then adjusted, according to a pre-defined formula, for the impact of past credit events) reaches a certain threshold during the product’s lifetime, the issuer can redeem it before maturity. This threshold increases over the years (see table below). Exane Derivatives will calculate the Early Redemption Amount according to a pre-defined formula (see the final Terms and Conditions) that corresponds, in its view, to the product’s valuation. This formula will take into account, among other things: • the final repayment target: 100%, taking into account the impact of credit events

• future coupons, taking into account the impact of credit events

• the 250% leverage and the product’s various credit risks

• an implied recovery rate of 28%

A few details about the calculation of the Adjusted Spread The Adjusted Spread takes into account the List’s observed spread (fixed maturity in December 2020 / Bloomberg code ITRX XOVER CDSI S24 5Y) and then adjusts it for the impact of credit events that have occurred since the trade date of the Certificate according to a formula set out in the definitive Terms and Conditions. This formula will take into account, among other things, the duration and the published recovery rates of reference entities (if this information is not available, a fixed rate of 40% is applied). The Adjusted Spread threshold that triggers the possibility of early redemption increases each year, as set out in the table below:

OBSERVATION PERIOD ADJUSTED SPREAD

LIMIT COMMENTS

Year 1 (before 20 December 2016) 6.50% If the Adjusted Spread reaches 6.50% in the first year, the

issuer can decide to redeem the product early

Year 2 (after 20 December 2016) 7.75% If the Adjusted Spread reaches 7.75% in the second ear, the


Year 3 (after 20 December 2017) 10.00% If the Adjusted Spread reaches 10.00% in the third year year,

the issuer can decide to redeem the product early

Year 4 (after 20 December 2018) 14.00% If the Adjusted Spread reaches 14.00% in the fourth year, the


Year 5 (after 21 December 2019) 18.00% If the Adjusted Spread reaches 18.00% in the fifth year, the



6

ILLUSTRATION OF THE CONDITIONAL EARLY REDEMPTION MECHANISM

The numbers used in these examples are for indicative and informative purposes only, the aim being to describe the product’s mechanism. They do not in any way predict future results. All figures are presented before fees, commissions and taxes applicable to the investment and are based on the following assumptions: • The issuer of the Certificate does not default • If the Adjusted Spread reaches the reference level, the issuer decides to redeem the product before maturity • The SEK yield curve is fixed and is equal to that on 23 February 2016 • In case of a credit event, the assumed recovery rate is 40% • Duration is calculated using the Bloomberg CDIA page • The Reference Level and Reference Spread (as defined in the TS) are equal • The coupon and redemption timetable is that defined in the TS • The foreign exchange rate EUR to SEK on the Issuer’s Optional Redemption Date is equal to 9.645

Scenario 1: one year after the product’s issue date, there has been no credit event and the List’s Spread has reached 7.80%. With these assumptions, the calculated Adjusted Spread is 7.80% (the observed and unadjusted level, since there was no credit event) and the calculated Early Redemption payment is 16.4%, or a loss of 84.6% of the initial capital. Scenario 2: two years after the product’s issue date, there have been one credit event and the List’s Spread has reached 9.80%. With these assumptions, the calculated Adjusted Spread is 10.05% and the calculated Early Redemption payment is 19.6%, or a loss of 80.4% of the initial capital. Scenario 3: three years after the product’s issue date, there have been two credit events and the List’s Spread has reached 12.20%. With these assumptions, the calculated Adjusted Spread is 14.11% and the calculated Early Redemption payment is 30.7%, or a loss of 69.3% of the initial capital. Scenario 4: four years after the product’s issue date, there have been three credit events and the List’s Spread has reached 10.00%. With these assumptions, the calculated Adjusted Spread is 18.23% and the calculated Early Redemption payment is 65.4%, or a loss of 34.6% of the initial capital.


Observed level of the iTrax Xover CDSI GEN 5Y

0.00

200.00

400.00

600.00

800.00

1000.00

1200.00

1400.00

juin-04 juin-05 juin-06 juin-07 juin-08 juin-09 juin-10 juin-11 juin-12 juin-13 juin-14

Spread 7.80% Spread 9.80% Spread 10.00% Spread 12.20%

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STRENGTHS & WEAKNESSES

Main strengths • In the absence of a Credit Event impacting Reference Entities since the product’s trade date, the

investor receives at maturity a repayment equal to 100% of the Denomination (for an initial investment of 43% of the Denomination).

• The leveraged CLN offers indexation to 75 European companies with geographical and sectoral diversification.

The repayment at maturity is strictly below 100% only if ten or more Credit Events have occurred since the trade date (excluding a default by the issuer of the leveraged CLN and excluding redemption before maturity).

Main weaknesses • The product does not have any capital protection, either during its lifetime or at maturity. The

redemption value of the product may be below 100% of the Denomination. In the worst-case scenario, investors may lose all their initially invested capital. If debt securities are resold before the final redemption date, it is impossible to measure the theoretical potential gain or loss, since the price would depend in this case on that day’s market parameters.

• The product encapsulated a hedging forward EURSEK position for a fixed quantity of 100% x Nominal. Thus, the investors bears a residual forex risk at maturity if the objective of a redemption at 100% x Nominal is not met

• The product may be redeemed before maturity at the option of the issuer, and the redemption value may be well below 100% even in the absence of a credit event (for example, tensions in the credit market).

• The valuation of the product on the secondary market can be very volatile, especially in the event of a widening in credit spreads. Also, the liquidity of the product on the secondary market can get very low or inexistent depending on credit market conditions; it is therefore highly recommended that investors hold the product until maturity.

• Investors are exposed to a deterioration in the credit quality of the issuer and the guarantor (which creates a risk to the market value of the product) or a potential default by the issuer and the guarantor (which creates a risk to the redemption).

• Investors do not benefit from the recovery value of Reference Entities that have suffered a credit event.

• The 75 European High Yield companies on the List mostly belong to the High Yield universe. High Yield risk corresponds to speculative securities whose rating is below BBB- (Standard & Poor's and Fitch classification) and Baa3 (Moody’s classification)*. This rating suggests a high probability of a credit event in return for a higher yield to compensate for the risk. High Yield Reference Entities come from highly diversified sectors, but their common characteristic is their high level of debt relative to their cash flows.

* Nevertheless, some issuers are nonetheless Investment Grade, see Focus on the list of 75 European companies (p. 9).


8

The ISDA (International Swaps and Derivatives Association) is an independent association grouping the main banking institutions. The ISDA has designed a standardised documentation making it possible to identify the occurrence of a Credit Event and to provide a framework to the redemption of investors in the event of a default. It defines three types of default, in a credit event: Bankruptcy of the ’Reference Entity, Failure to Pay and Restructuring. The comprehensive definition of Credit Events is available from the ISDA website (www.isda.org). Failure to pay:

Failure of the Reference Entity, to make, when and where due, any payments under one or more obligations once the Grace Period or assumed Grace Period has expired when conditions on which the beginning of said Grace Period may depend materialise. This applies when the total amount is higher than or equal to the Failure to Pay Threshold (USD1,000,000 USD or its equivalent in the reference currency).

Restructuring:

Any reduction in the initial interest rate or amount of interests payable of the coupon or principal due at maturity, or at the initially scheduled redemption dates; any postponement of the date of interest or principal payments, Any change in the seniority ranking of the debt, any change in currency or breakdown between interest and principle, which affects one or several Obligations for a total amount higher than or equal to the Default Threshold (USD10,000,000 or its equivalent in the reference currency) and is not set out in the terms of the Obligation in question.

Bankruptcy:

Any official document, statement, action or decision confirming that the Reference Entity cannot face its obligations (becomes insolvent or cannot pay its debt when they fall due).

Source: 2003 ISDA Credit Derivatives Definitions, ISDA

DEFINITION OF A CREDIT EVENT


9

The list below (hereafter the List) offers exposure to the solvency of 75 European companies (hereafter Reference Entities) in the High Yield universe – issuers with a maximum rating of BB+ (S&P) or Ba1 (Moody’s)*. This List corresponds to the selection of the S24 Series of the ITRX XOVER CDSI S24 index. This series, based on liquidity and rating criteria, among others, was created in September 2015 by Markit (the principal supplier of Credit indices in Europe and Asia). * Some issuers are nonetheless Investment Grade, see below.

Source: Bloomberg, 23/02/2016

List of 75 Reference Entities components

Code Bloomberg: ITRX XOVER CDSI S24 5Y

FOCUS ON THE DIVERSIFIED LIST OF 75 EUROPEAN HIGH YIELD COMPANIES

N° Reference Entity S&P

rating Moody's

rating

1 Air France-KLM NR NR

2 Alcatel-Lucent SA B+ B2

3 Altice Finco SA NR B3

4 ArcelorMittal BB Ba2

5 Ardagh Packaging Finance PLC NR Caa1

6 Astaldi SpA B+ B1

7 Beni Stabili SpA SIIQ NR NR

8 Boparan Finance PLC NR B2

9 British Airways PLC BB Ba2

10 Cable & Wireless Ltd BB NR

11 Care UK Health & Social Care P NR Caa2

12 Cerved Group SpA NR NR

13 CNH Industrial NV BB+ Ba1

14 ConvaTec Healthcare E SA NR B3

15 Deutsche Lufthansa AG BBB- Ba1

16 Dry Mix Solutions Investisseme B B1

17 EDP - Energias de Portugal SA BB+ Baa3

18 Synlab Unsecured Bondco PLC B+ B2

19 Fiat Chrysler Automobiles NV BB- B1

20 Financiere Quick SAS B- B3

21 Finmeccanica SpA BB+ Ba1

22 Galapagos Holding SA B B2

23 Galp Energia SGPS SA NR NR

24 Grupo Isolux Corsan Finance BV NR NR

25 HeidelbergCement AG NR Ba1

26 Hellenic Telecommunications Or B+ Caa2

27 Hema Bondco I BV NR NR

28 HOCHTIEF AG NR NR

29 Iceland Bondco PLC NR NR

30 INEOS Group Holdings SA B+ B1

31 International Game Technology BB+ Ba2

32 J Sainsbury PLC NR NR

33 Jaguar Land Rover Automotive P BB Ba2

34 Ladbrokes PLC BB Ba2

35 Lock Lower Holding AS B+ B2

36 Louis Dreyfus Commodities BV NR NR

37 Loxam SAS BB- NR

38 Matalan Finance PLC NR B2

N° Reference Entity S&P

rating Moody's

rating

39 Matterhorn Telecom Holding SA B B2

40 Melia Hotels International SA NR NR

41 Metsa Board OYJ BB Ba2

42 Monitchem HoldCo 3 SA NR B2

43 New Look Senior Issuer PLC NR Caa1

44 Nokia OYJ BB+ Ba2

45 Novafives SAS B+ B1

46 Numericable-SFR SAS B+ B1

47 NXP BV / NXP Funding LLC NR NR

48 Peugeot SA BB- Ba3

49 Pizzaexpress Financing 1 PLC B B3

50 Play Finance 1 SA NR B2

51 Portugal Telecom International NR B1

52 Premier Foods Finance PLC NR B2

53 R&R Ice Cream PLC B B2

54 Rallye SA NR NR

55 Renault SA BBB- Baa3

56 Rexel SA BB Ba2

57 Schaeffler Finance BV NR B1

58 Selecta Group BV B+ B3

59 Stena AB BB Ba3

60 Stonegate Pub Co Financing PLC NR B2

61 Stora Enso OYJ BB Ba2

62 Sunrise Communications Holding BB+ Ba2

63 Techem GmbH BB- Ba3

64 Telecom Italia SpA BB+ Ba1

65 Tesco PLC BB+ Ba1

66 ThyssenKrupp AG BB Ba1

67 Trionista Holdco GmbH NR Ba3

68 TUI AG BB- Ba3

69 Unilabs Subholding AB NR B3

70 Unitymedia GmbH BB- B1

71 UPC Holding BV BB- Ba3

72 Virgin Media Finance PLC BB- B2

73 Vougeot Bidco PLC B B2

74 Wind Acquisition Finance SA NR Caa1

75 Ziggo Bond Finance BV NR NR


10

List breakdown

Bloomberg code: ITRX XOVER CDSI S24 5Y

Reference Entities by sector

Reference Entities by rating

Source: Bloomberg, 23/02/2016. All calculations were made in good faith and for information only.

Source: Bloomberg, 23/02/2016. All calculations were made in good faith and for information only.

Average rating: BB-* *The average rating is calculated by Exane Derivatives on 81.3% of the List, based on S&P ratings when they exist, otherwise Moody’s and failing which Fitch. 18.7% of the List is not rated.

FOCUS ON THE DIVERSIFIED LIST OF 75 EUROPEAN HIGH YIELD COMPANIES


8.0%

21.3%

28.0%

17.3%

1.3% 1.3%

2.7%

17.3%

1.3% 1.3% Basic Materials

Communications

Consumer, Cyclical

Consumer, Non-cyclical

Diversified

Energy

Financial

Industrial

Technology

Utilities

2.7%

12.0% 13.3%

12.0%

14.7% 16.0%

5.3% 4.0%

1.3%

18.7%

0%

5%

10%

15%

20%

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FOCUS ON CREDIT EVENTS IN EARLIER SERIES

Source: Bloomberg 23/02/2016 Data refer to past years and past performance is not a reliable indicator of future performance.

Historically, 9 reference entities of the various series of the iTraxx Crossover index have experienced a Credit Event since its creation in 2003: - LyondellBasell Industries AF SCA - Thomson (2 Credit Events) - Hellas Telecommunications (Luxembourg) II - Truvo Subsidiary Corp - Seat PagineGialle S.P.A. - ERC Ireland Finance Limited - Eircom Ltd - Codere - Abengoa

These credit events affected the following series


REFERENCE ENTITY CREDIT EVENT DATE CREDIT EVENT TYPE ITRAXX

CROSSOVER SERIES AFFECTED

LyondellBasell Industries AF SCA 19-Mar-2009 Failure to Pay From 4 to 10

Thomson 15-Jun-2009 Restructuring From 8 to 11

Hellas Telecommunications (Luxembourg) II 17-Nov-2009 Bankruptcy From 7 to 9

Thomson 30-Nov-2009 Bankruptcy From 8 to 11

Truvo Subsidiary Corp 1-Jul-2010 Bankruptcy From 3 to 10

Seat PagineGialle S.P.A. 30-Nov-2011 Failure to Pay From 1 to 14

ERC Ireland Finance Limited 16-Mar-2012 Failure to Pay From 6 to 14

Eircom Ltd 2-Apr-2012 Bankruptcy From 1 to 5

Codere 9-Oct-2013 Failure to Pay From 7 to 19

Abengoa 11-Dec-2015 Failure to Pay From 21 to 23

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CREDIT RISK

* Average rating: BB-* *The average rating is calculated by Exane Derivatives on 81.3% of the List, based on S&P ratings when they exist, otherwise Moody’s and failing which Fitch. 18.7% of the List is not rated.

Issuer guarantor rating (S&P)

AAA Default BBB CCC

BBB+

List average rating *

AAA Default BBB CCC

BB-

Type: Debt security under French law showing a risk of loss in capital during the product lifetime and at maturity.

Issuer: Exane Finance

Guarantor: Exane Derivatives (Moody’s: Baa2, S&P: BBB+)

Currency: SEK

Denomination: SEK 1,000,000

Issue price: 43% x Denomination

Trade date: 21 January 2016

Issue date: 4 March 2016

Final Fixing date: 21 December 2020

Maturity date : 22 December 2020

Underlying: Diversified list of 75 European High Yield companies (Bloomberg Code ITRX XOVER CDSI S24 5Y)

MAIN FINANCIAL CHARACTERISTICS (please refer to final terms and conditions available on request)


PARIS Exane S.A. - Exane Derivatives Exane Asset Management 16 avenue Matignon 75008 Paris France Tel: (+33) 1 44 95 40 00 LONDON Exane Ltd Subsidiary of Exane S.A. 1 Hanover Street London W1S 1YZ UK Tel: (+44) 207 039 9400 FRANKFURT Branch of Exane S.A. Europa-Allee 12, 3rd floor D-60327 Frankfurt Germany Tel: (+49) 69 42 72 97300 GENEVA Branches of Exane Derivatives and Exane S.A Rue du Rhône 80 1204 Geneva Switzerland Tel: (+41) 22 718 65 65 LUXEMBOURG Exane Ltd Subsidiary of Exane AM 14 rue Aldringen L-1118 Luxembourg Tel : (+352) 27 00 62 80 MADRID Branch of Exane S.A. Calle Serrano, 73, 5th floor Madrid 28006 Spain Tel: (+34) 91 114 83 00 MILAN Branches of Exane Derivatives and Exane S.A. Via dei Bossi 4 20121 Milan Italy Tel: (+39) 02 89 63 17 00 STOCKHOLM Representative office of Exane S.A. Nybrokajen 111 48 Stockholm Sweden Tel: (+46) 8 5629 3500 NEW YORK Exane Inc Subsidiary of Exane S.A. 640 Fifth Avenue, 15th Floor New York, NY 10019 USA Tel: (+1) 21 2634 4990 SHANGHAI Representative office of Exane Limited 9/F, Eco Ciy, 1788 Nanjing West Road Shanghai, 200040 China Tel : (+86) 21 2231 0333 SINGAPORE Branch of Exane Ltd 20 Collyer Quay #07-02 049909 Singapore Tel: (+65) 6212 9059

This document is issued by Exane Derivatives SNC (“Exane Derivatives”). Exane Derivatives is a member of the Exane Group (Exane SA and all its direct and indirect subsidiaries) and is an entity authorized by the Autorité de Contrôle Prudentiel et de Résolution as specialized credit institution, investment service provider, and regulated by the Autorité des Marchés Financiers and the Autorité de Contrôle Prudentiel et de Résolution. Exane Derivatives Paris, Geneva Branch, is an entity authorized as foreign securities dealer to the Swiss Financial Market Supervisory Authority (FINMA). The Milan Branch of Exane Derivatives is also authorized by the Autorité de Contrôle Prudentiel et de Résolution and by the Bank of Italy to provide certain investment service in freedom of establishment. This document is provided solely for the information of eligible counterparties or professional investors. The contents of this document are for information purposes only. This document should not be used for the purpose of any kind of valuation and does not constitute a solicitation, offer, investment advice or recommendation to buy or sell any investment instrument and should not be considered as such. All information contained in this document has been compiled from sources believed to be reliable although its accuracy cannot be guaranteed. This document does not in any way intend to provide a comprehensive analysis of the securities, markets and trends described. The opinions and other information in this document can be amended without prior warning and Exane Derivatives is under no obligation to update them. The financial product described in this document is a certificate issued by Exane Finance, for which the Base Prospectus was approved by the Commission de Surveillance du Secteur Financier (“CSSF”) on 24 june 2015 as supplemented. The Base Prospectus is available on the website of the issuer (www.exane.com/exaneissues) and on the website of “Bourse du Luxembourg” (www.bourse.lu). Unless otherwise stated into the terms and conditions, the financial product described in this document should only be distributed in the context of private placements. Investors are invited to refer to the risk factors detailed in the Base Prospectus (issuer and guarantor credit risks, risk of loss in capital, risk linked to market fluctuations, liquidity risk linked to the financial product and risk linked to changes in the underlyings) and the section entitled “Subscription, Purchase and Selling Restrictions" in the Base Prospectus This financial product is a structured product and, as such, this investment can involve risks. Investors are invited to make their own independent decision as to whether a financial instrument or whether investing in the financial instruments described herein is proper, suitable or appropriate based on their own judgment and upon the advice of any relevant and independent advisors they have consulted (including legal, tax, accounting or other specialist advisors). The information contained in this document does not take into account the specific needs of certain persons. Exane Derivatives cannot be held responsible for any damages or losses resulting from the use of this information or part thereof. Figures included in this document may relate to past performances. Past performance is not a reliable indicator of future performance. Fluctuations in foreign exchange rates can have a negative impact on the value, price and returns of the products discussed in this report. Recipients should be aware that Exane Derivatives and/or any entity of the Exane Group can hold, or have held, interests, or long or short positions in the financial instruments described in this document and, at any time, can buy and/or sell these instruments for its own account or for third parties, or can make, or have acted in a market with respect to the securities mentioned in the report. In addition, Exane Derivatives and/or any entity of the Exane Group can have, or have had, a business relationship with the companies mentioned, or supply and have supplied services such as corporate financing, capital markets or other types of services. The contents of this document cannot be reproduced, in full or in part, or distributed to third parties, without prior written approval of Exane Derivatives. Those persons who come into possession of the present document are to comply with, all the applicable rules and regulations relating to the possession or distribution of informational documents of this type. This document is a marketing communication. This document has not been prepared in accordance with regulatory provisions designed to promote the independence of investment research, and Exane Derivatives is not subject to the ban on entering into transactions in the instrument in question prior to the release of the marketing communication. The Markit iTraxx Europe Crossover index (the “Index”) referenced herein is the property of Markit Indices Limited (“Index Sponsor”) and has been licensed for use in connection with this Certificate. It is acknowledged and agreed that this Certificate is not sponsored, endorsed or promoted by the Index Sponsor. The Index Sponsor makes no representation whatsoever, whether express or implied, and hereby expressly disclaims all warranties (including, without limitation, those of merchantability or fitness for a particular purpose or use), with respect to the Index or any data included therein or relating thereto, and in particular disclaims any warranty either as to the quality, accuracy and/or completeness of the Index or any data included therein, the results obtained from the use of the Index and/or the composition of the Index at any particular time on any particular date or otherwise and/or the creditworthiness of any entity, or the likelihood of the occurrence of a credit event or similar event (however defined) with respect to an obligation, in the Index at any particular time on any particular date or otherwise. The Index Sponsor shall not be liable (whether in negligence or otherwise) to the parties or any other person for any error in the Index, and the Index Sponsor is under no obligation to advise the parties or any person of any error therein. The Index Sponsor makes no representation whatsoever, whether express or implied, as to the advisability of purchasing this Certificate, the ability of the Index to track relevant markets’ performances, or otherwise relating to the Index or any transaction or product with respect thereto, or of assuming any risks in connection therewith. The Index Sponsor has no obligation to take the needs of any party into consideration in determining, composing or calculating the Index. The Exane group, nor the Index Sponsor, shall have any liability to any party for any act or failure to act by the Index Sponsor in connection with the determination, adjustment, calculation or maintenance of the Index. EXANE DERIVATIVES - 16 avenue Matignon - 75008 Paris. Specialised credit institution – Partnership with a share capital of EUR17,248,320 - RCS Paris 491 294 567

Documents

SEK FX HEDGED 250% LEVERAGED ITRAXX XOVER S24 CREDIT … · 2017-05-13 · credit event affects the Outstanding Nominal by 250% x (100% / 75) = 3.33%. More generally, the Outstanding