HORIZONwww.sglistedproducts.co.ukTHE QUARTERLY LISTED PRODUCT MAGAZINE FROM SOCIETE GENERALE ISSUE 1 THIRD QUARTER 2011

SUPER10s: now SUPER RETURnS CAn bE SUPER SIMPlE10 or nothing at Expiry based on whether the FTSE 100 stays above, below or within a range of set barrier levels.

THE ETP ACADEMY SERVICES & EVENTSAn introduction to the new ETP website.

IS IT TIME To RE-THInk oUR APPRoACH To InvESTMEnT?The days of relying on fund managers for diversified returns could be numbered as private investors turn to Index tracking ETFs.

HORIZONISSUE 1 THIRD QUARTER 2011 Alexandre Houpert Head of Listed Products Northern Europe As the Head of Northern Europe Listed Products in the UK, Alexandres role is to develop the banks product offering and increase the awareness of the range.

WELCOME to the very first edition of Horizon; our brand new quarterly magazine designed to keep you up to speed with the dynamic world of Exchange Traded Products. Now, with almost 1000 products listed on the London Stock Exchange, it can be a real challenge to steer your way through our extensive range. This is where Horizon comes in. We created Horizon to help give you a better understanding of the products we offer, and to enable you to assess which ones are suitable for you based on your own investment goals and risk tolerance. Through Horizon, we aim to provide an insightful overview of the markets; the latest product releases; and some useful educational information on how our products can be used within a portfolio. Each edition of Horizon will feature a host of independent analysts or journalists who will provide you with the perspectives of both Socit Gnrale and the wider investment community. As our first guest contributor we have drafted in Stephen Barber, who takes us back to the most basic principles of building an effective portfolio. Stephen puts forward his case against Actively Managed funds and why he thinks that looking for lower cost, passive investment strategies can be an attractive alternative. In much the same way, Andrew McHattie discusses an alternative view for Covered Warrants, focusing on how to use leverage in a more defensive way, and why Covered Warrants can be used to take money out of the market. This quarter the focus is on Super10s which allow you to generate a potentially high return in a simple way. Plus there are some interesting investment strategies that could show that all is not lost if you believe that our illustrious FTSE 100 Index looks range bound. We hope that this quarter will prove to be a profitable one for you. Please do not hesitate to contact us if you have any questions about our range of products. More information is also available on www.sglistedproducts.co.uk.

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IN THIS ISSUE3Is it time to re-think our approach to investment? Stephen Barber discusses the days of relying on fund managers for diversified returns could be numbered as private investors turn to Index tracking ETFs.

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Why Turbos could hold the key to the FX markets FX is a virtually 24-hour-a-day market. We look at why the new FX Turbos can provide a simple, fixed risk way to access them.

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Is our faithful FTSE stuck in a rut? We look at why a range-trading FTSE 100 Index does not have to mean flat returns for your portfolio.

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Super10s: Now super returns can be super simple With the launch of Super10s, now you could make supercharged returns simply by predicting whether the FTSE 100 will stay above, below or within a range of Barrier Levels.

Geopolitics and the oil market Oil prices have captured the attention of many investors this year but we explore one new way to play it.

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Cash extraction: How to think differently about Covered Warrants Andrew McHattie discusses an investment strategy to potentially boost your returns and reduce your overall level of portfolio risk.

The ETP Academy Services & Events An introduction to the new ETP website and an overview of our forthcoming events and seminars.

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Our product list We have almost 1000 products listed on the London Stock Exchange covering a wide range of markets, views and risk profiles.

This magazine is produced with 55% recycled fibre from both pre-consumer and post-consumer sources, together with 45% virgin ECF fibre from sustainable forests.

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The days of relying on fund managers for diversified returns could be numbered as a growing band of private investors decide that beating the market is now less important than joining it. Index tracking ETFs, it seems, satisfy their investment needs says Dr Stephen Barber.here is a compelling case for replacing managed funds in many portfolios with lower cost, efficient and transparent index tracking Exchange Traded Funds. But to do so needs a change in investor mentality from reliance on professional managers to simply selecting and allocating index exposure to meet investment needs. Im convinced that most people who make this leap, wont jump back in a hurry. I dont need to name them. Those big fund management houses have for years dominated the portfolios of investors planning for retirement, childrens education, new home or other life stage priorities. Big, well known unit trusts or open ended investment companies (OEICs) with their comforting advertising

IS IT TIME To RE-THInk oUR APPRoACH To InvESTMEnT?Tspend have long held our attractions. After all, they usually come complete with a media friendly and professional fund manager backed up by an army of analysts and researchers. There are some stellar funds, of course, which have performed well year in and year out. And the managers of these have undoubtedly earned their hefty annual management charge which typically hovers around 1.5%. But not all funds do well. In fact a great number of them put in a rather lacklustre performance. Now funds have different objectives, different risk profiles and mission statements so it is unfair to compare overall performance. It would be like comparing the proverbial apples with pears.

Dr Stephen Barber Dr Stephen Barber is well known to private investors as one of the Four Wise Monkeys and who, before moving into academia, spent many years in the broking industry. He appears regularly in the financial press as well as on television and radio.

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IS IT TIME To RE-THInk oUR APPRoACH To InvESTMEnT? DR STEPHEN BARBER

Nevertheless, one can compare the performance of funds within their respective sectors. And funds will usually benchmark their performance against a market or index such as the FTSE 100 or Dow Jones in the case of equity based lists. This gives a stark measure of the managers effectiveness. Bear in mind that almost all fund managers have a mandate which says they should aim to outperform a given benchmark index. In investment jargon, this is sometimes known as generating alpha. According to the wealth management group SCM Private (a true believer in ETFs if ever there were) a staggering 90% of main Investment Management Association fund sectors underperformed their benchmark between 2005-2010. Similar studies of both bull and bear markets have shown that most of the time a cheaper index tracking ETF will do better than a managed fund. Essentially, the ETF can be thought of as the benchmark and their total expense ratio tends to be in the region of 0.3%. Some of this can be explained by an extensive academic analysis of the fund industry published in 2006 by Petajisto and Cremer. Examining the performance of 2650 funds over a twenty three year period to 2003 they took the view that good, active managers stock pickers or asset allocators can and do outperform their benchmarks. But, they also concluded that the industry is dominated by big funds which do little more than act as inefficient trackers. Indeed, at the time of writing they expressed the belief that only about half of funds which purported to be active could genuinely be described as such. Related to this is the idea that a large proportion of funds underperform because

their strategies are replicated among peers. A glance at the portfolio constituents of actively managed funds within a common sector will show a large degree of duplication. I would urge you to take a look, you might be surprised. This means that either stock selection misjudgements are replicated or there are numerous fund managers chasing value in the same company shares. A third explanation for many a funds underperformance is that beating an index is harder than it looks because frankly it is a moving target. Each quarter, the FTSE 100 relegates its most poorly performing constituents and promotes better performing companies from the top of the FTSE 250. The index, then, remains the strongest stocks by market capitalisation on the market. There has been an argument that says index trackers such as ETFs suit developed, big markets which behave efficiently. In such environments, information and news flow is readily available, the market prices stocks just about right and it becomes harder for even professionals to outperform. So why pay for someone to invest on your behalf when they cannot have significant special advantage or insight? But, they counter, when it comes to more specialist or emerging sectors, stock picking comes into its own. After all, a professional manager can seek value and is not compelled to buy overpriced or unattractive index constituents. It is here, some say, that specialist research teams have access to data, unavailable to armchair investors. While there is, naturally, some truth in this assessment in the short term at least, those of us invested for the longer term can take a different view.

By joining the market rather than trying to beat it, investors can build long-term portfolios with diversified exposure from home and abroad.The fact is that the landscape for private investors has changed over the past decade or so. Sitting at home, we all now have access to data, prices, news, research and information once the preserve of professionals. Successful stock picking produces welcome returns but for many of us it is about accessing the big theme growth stories from across the world. ETFs now offer that access to markets and sectors from the four corners of the globe. The returns derived from market performance are known as beta and it is this that index tracking offers. But using ETFs, investors can generate their own alpha and it comes down to allocating sector weighting. That is, stock selection becomes unimportant but it is possible to mix markets to meet your own investment needs and degree of active or passive involvement. This is the change in mentality which I am describing. By joining the market rather than trying to beat it, investors can build long-term portfolios with diversified exposure from home and abroad. Index tracking Exchange Traded Funds offer a truly different way to build portfolios and potentially outperform many lacklustre professional managers.

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GOLD ETNSTRACKS GOLD WITH CURRENCY PROTECTIONEXCHANGE TRADED PRODUCTSSG ETNs Gold track the performance of the physical gold spot price. They are simple, transparent notes traded on the London Stock Exchange and quoted in GBP and EUR. Gold is normally quoted in USD, while the ETNs are denominated in GBP and EUR. SG eliminates the currency risk by using built-in currency protection called Quanto. The protection results in a percentage move of the underlying being reflected in a similar percentage move of the price of the Quanto ETN regardless of movements in the exchange rate. To obtain currency protection investors will be charged Quanto fees, displayed on a daily basis on the SG website. As ETNs are tracking instruments, investors capital is at risk. Furthermore, the investor still ultimately bears a credit risk on Socit Gnrale. SG ETNs can be held in your ISA or SIPP and, if held directly, should be eligible for Capital Gains Tax* treatment in the UK. There is no minimum size or stamp duty. If you want to know more, call us on the number below.

www.sglistedproducts.co.uk

Euro Listed Epic code: GOLE/ GBP Listed Epic code: GOLG

Email: listedproducts@sgcib.comThis advertisement is issued in the UK by the London Branch of Socit Gnrale. Socit Gnrale is a French credit institution (bank) authorised by the Autorit de Controle Prudentiel (the French Prudential Control Authority). Socit Gnrale is subject to limited regulation by the Financial Services Authority in the UK. Details about the extent of our regulation by the Financial Services Authority are available from us on request. Although information contained herein is from sources believed to be reliable, Socit Gnrale makes no representation or warranty regarding the accuracy of any information. Any reproduction, disclosure or dissemination of these materials is prohibited. Investors should note that holdings in this product will not be covered by the provisions of the Financial Services Compensation Scheme, nor by any similar scheme in Germany. The securities can be neither offered in nor transferred to the United States. The products on this advertisement are issued by Socit Gnrale Effekten, a member of the SOCIETE GENERALE group of companies. Any failure of Socit Gnrale Effekten to perform obligations when due may result in the loss of all or part of an investment. ETNs are tracking instruments: their risk profile is similar to a direct investment in the underlying. Investors capital is at risk, the maximum loss is the investors initial investment. *The tax statement is only a general guide. The tax treatment of investments will depend on an individuals circumstances. If investors are in any doubt as to their tax position, they must consult with an appropriate professional tax adviser. This statement of the UK tax treatment of the product is based on our understanding of the laws and practice in force as of the date of this document and is subject to any changes in law and the interpretation and application thereof, which changes could be made with retroactive effect.

0800 328 1199

For more information contact us on

IS oUR fAITHfUl fTSE STUCk In A RUT?It might be fair to say that our faithful FTSE has been struck by a turbulent couple of years. Since the spectacular fall which finally bottomed out at 3,259 in March 20091, the FTSE 100 has made a resilient come back, and now rests slightly over 15% below the all time high of 6,732.41. What is interesting though, is that in the last 12 months the FTSE has entered a slowly tightening range of prices.1. Source: Bloomberg 21 June, 2011

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IS oUR fAITHfUl fTSE STUCk In A RUT? ALEXANDRE CHESSE Alexandre Chesse Listed Products Sales UK Alexandre had a key role in developing the range of Exchange Traded Products listed on the LSE. He now focuses on providing a top class service to Retail Investors, Private Wealth Managers and Private Banks in the UK.

I

f we look at the last 12 months for example, the FTSE has traded within 21% of its highest level, which it posted on 8 February 2011 at 6,091.33. If we shorten our focus to the beginning of January this year, that range has narrowed to just over 8%. 5 year performance of the FTSE 100 Index

If the trend is set to continue it doesnt bode well for advocates of delta one products which aim to replicate the performance of the index directly.

7000 6500 6000 5500 5000 4500 4000 3500 3000

Indeed, the charts on the left confirm this, particularly the last 12 months where other than a drop in March 2010, the FTSE has followed quite a consistent trend until the recent falls at the beginning of June. Who knows how long this will last, and there is good reason why we say that past performance is not a reliable guide to future performance, but, what if it does? If the trend is set to continue it doesnt bode well for advocates of delta one products which aim to replicate the performance of the index directly. So how else can investors generate returns if the FTSE is indeed stuck in a rut?

Introducing Autocalls, fixed returns from a flat marketAutocalls come in many guises and many people will know them by their more common name of Kick Outs. Whatever the name the aim is essentially always the same; to provide investors with a way to generate a return when the markets dont seem to be moving. There are three important aspects to consider when evaluating an Autocall. The first is the Target Annual Return, which as you might expect, is the equivalent yearly return that the Autocall aims to generate. The second and perhaps the most important is the Yield Level. This is set when the product is issued and determines whether or not the Target Annual Return is paid each year. To7 08 09 10 6/ /0 2021/03/11

06

/0

6/

/0 6/

6/

06

/0

/0

Source: Bloomberg 21 June, 2011. Past performance is not a reliable indicator of future performance

1 year performance of the FTSE 100 Index6300 6100 5900 5700 5500 5300 5100 4900 4700 4500 21/06/10 21/09/10 21/12/10 21/06/11

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Source: Bloomberg 12 June, 2011. Past performance is not a reliable indicator of future performance

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IS oUR fAITHfUl fTSE STUCk In A RUT? ALEXANDRE CHESSE

generate a payout the underlying asset needs to be above the Yield level on any one of the annual Valuation Dates. If it is, the Autocall will payout the Annual Target Return and expire immediately. If however, the underlying asset is below the Yield Level on the Valuation Date, the Autocall will not generate a payout that year, and will continue until the next Valuation Date where the process is repeated. This will continue until the final Valuation Date when the product has one last chance to generate a payout before expiring. Like most investments, it is not without risk and the last factor that you need to familiarise yourself with is the Protection Level. Capital is at risk if the Underlying Index has never closed above the Yield Level on a Valuation Date during the life of the investment, and is below the Protection Level at Expiry. Therefore the Protection Level is the absolute lowest level that the underlying asset can close at on the final Valuation Date in order to pay back the initial investment at expiry. Plus, if Socit Gnrale was to default, your capital would be lost, with no opportunity for compensation from the Financial Services Compensation Scheme. The best way to demonstrate how an Autocall really works is to look at a live example. So lets have a look at SG92; a Defensive Autocall that can offer a potential 8.5% per year based on the FTSE 100 maintaining a price above 5,900.

of 8.5% plus the initial Issue Price of 100 per unit i.e. 108.50 per unit. Only if it fails to close above the Yield Level on the first Valuation Date will it continue onto the Second Valuation Date. Each year the Defensive Autocall rolls onto the next Valuation Date a further 8.5% is added to the final return, until at expiry on the Final Valuation date, the potential return would be 42.5% (5 x 8.5%). So what makes this defensive? The reason that this is a Defensive Autocall is that on the fifth and final Valuation Date the Yield Level of 5,900 is replaced by a Protection level of 3,700. As long as the FTSE 100 closes above 3,700 on the final Valuation Date, the full return of 142.50 per unit will be paid out. However, should this not happen, and the Index closes below 3,700 (the Protection Level) at the end of the five years, capital is at risk and the investor will suffer a loss in capital, with the return being based on the return of the Index from the Reference Level of 5,900. i.e. if the index closes 40% below the Reference Level at 3,540, investors will suffer a loss of capital of 40%. The investment process As illustrated in the flow diagram on page 9, there are six possible cash settlement amounts depending on the closing level of the Index after 1, 2, 3, 4 and 5 years: 1. On 18 November 2011, if the Index is above 5,900, the Defensive Autocall expires early at 108.50 2. On 16 November 2012, if the Index is above 5,900, the Defensive Autocall expires early at 117 3. On 15 November 2013, if the Index is above 5,900, the Defensive Autocall expires early at 125.50 4. On 14 November 2014, if the Index is above 5,900, the Defensive Autocall expires early at 134

The SG92 Defensive Autocall is a maximum 5-year investment which offers the potential for a Target Return equivalent to 8.5% per year based on the FTSE 100. To achieve the Target Return, the FTSE 100 must close at a level above the Yield Level of 5,900 on any one of the first four Valuation Dates.5. On 13 November 2015 (the Expiration Date), if not redeemed earlier, if the Index is at or above 3,700, the Defensive Autocall expires at 142.50 6. However, on 13 November 2015 (the Expiration Date), if the Index is below the Protection Level of 3,700, the capital is at risk, the Defensive Autocall expires at a value equal to the Issue Price of 100 adjusted for the negative performance of the Index. For example, if the Index has fallen 55% from the Reference Level, the Defensive Autocall redeems at 45% of Issue Price (45), equivalent to a 55% loss for an investor that purchased the Defensive Autocall at the Issue Price. It is important to note that no income is paid during the life of the investment and the total return is capped at a maximum of 8.50 per year for every unit an investor holds of SG92.

SG92 the Defensive AutocallThe SG92 Defensive Autocall is a maximum 5-year investment which offers the potential for a Target Return equivalent to 8.5% per year based on the FTSE 100. To achieve the Target Return, the FTSE 100 must close at a level above the Yield Level of 5,900 on any one of the first four Valuation Dates. The key thing to realise is that should this happen and the FTSE 100 closes at 5,901 or more on the first Valuation Date of 18 November 2011, The Defensive Autocall will terminate at that point and payout the Target Return

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IS oUR fAITHfUl fTSE STUCk In A RUT? ALEXANDRE CHESSE

AFTEr YEAr 1 18 November 11

IS THE FTSE 100 AbOvE 5,900? NO

YES

EArlY EXIT, 8.5% rETurN Defensive Autocall expires early at 108.50

Trading the SG92 Defensive AutocallThe Defensive Autocall is listed on the London Stock Exchange and can be traded like a share at any point during trading hours. You can purchase the Defensive Autocall in units of 101 (as of 14 June 2011) through any UK stockbroker. Importantly, the price you may pay for that 100 unit will rise and fall throughout the life of the investment. This is a reflection of the perceived likelihood of the Yield Level being surpassed on the next Valuation Date. If you purchase the Defensive Autocall for any amount greater than 100 your return will be less than 8.5% per year. This is because all calculations are based on the Issue Price of 100 per unit and therefore the maximum annual return is 8.50 per unit. This also effects your capital protection and repayment of capital at expiry as only 100 per unit will be returned when the product expires reflecting the price of the product at launch.

AFTEr YEAr 2 16 November 12

IS THE FTSE 100 AbOvE 5,900? NO

YES

EArlY EXIT, 17% rETurN Defensive Autocall expires early at 117

AFTEr YEAr 3 15 November 13

IS THE FTSE 100 AbOvE 5,900? NO

YES

EArlY EXIT, 25.5% rETurN Defensive Autocall expires early at 125.50

AFTEr YEAr 4 14 November 14

IS THE FTSE 100 AbOvE 5,900? NO

YES

EArlY EXIT, 34% rETurN Defensive Autocall expires early at 134

AFTEr YEAr 5 13 November 15

IS THE FTSE 100 bElOW 3,700? YES

YES

42.5% rETurN Defensive Autocall expires early at 142.50

NEGATIvE rETurN ACTuAl lOSS. The loss is equal to the fall in the FTSE 100 from 5,900. Each unit of the Defensive Autocall expires at 100* Final Index Level/5,900. For example, if the FTSE has fallen 55% from 5,900 to 2,655, the Defensive Autocall redeems at 45.

ImPOrTANT INFOrmATIONThe product described in this article is not suitable for everyone. Investors capital is at risk. Investors should not deal in this product unless they understand its nature and the extent of their exposure to risk. The value of the product can go down as well as up and can be subject to volatility due to factors such as price changes in the underlying instrument and interest rates. Autocalls are issued by Socit Gnrale

Acceptance, a member of the SOCIETE GENERALE group of companies. Any failure of Socit Gnrale Acceptance to perform obligations when due may result in the loss of all or part of an investment. The Defensive Autocall is a securitised derivative* suitable for sophisticated retail and professional investors in the UK, who have a good understanding of the underlying market and characteristics of the security. In particular, it is important that an investor appreciates at the outset that they could lose all their capital when

investing in this securitised derivative, even if it is held until the end of its term. *A securitised derivative (SD) is a security listed on the London Stock Exchange and issued by a bank via an Issuing Programme which is approved by the UK Listing Authority. Final Terms are published for each SD which provide investors with its characteristics and its pay-off at maturity. The product features given in the Final Terms are prescribed by the approved Issuing Programme.

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IS IT TIME To RE-THInk oUR APPRoACH To InvESTMEnT? STEPHEN BARBER

GEoPolITICS AND THE OIL MARKETBy Alexandre Houpert

he oil market has been of much interest in recent times, not least due to the political unrest that has dominated the headlines. It is a well known fact that geopolitics tend to be a key driver of the oil market, and so far this year has been no exception. The Middle East and North African (MENA) crisis affected production in Libya and threatened to spread to Saudi Arabia, all of which added to the rising oil price. When we look back at history we can see that crude oil prices have been sensitive to geopolitical events, such as the Iranian Revolution and Gulf War as shown in the chart opposite. Many people believe that rising oil prices are set to continue far into 2011. Although there is a counter opinion that supply disruptions are unlikely to last long even in the face of regime change. This is based on the fact that the oil sector represents 80-90% of exports and government revenues in some Gulf countries, so maintaining stability in both the price and supply of oil is very much in their interest. Which is the correct prediction is for you to decide but lets have a look at how you could gain access to the performance of oil.

T

Oil prices ($/bbl) and geopolitical events

Nominal and real monthly average imported crude oil prices in $/bbl. Real data are based on early 2011 prices. Source: EIA, NBER, SG Cross Asset Research

How can investors access the performance of oil?Institutional investors wanting to gain exposure to the oil price would typically do this via a series of monthly futures contracts, which are financial agreements that obligate a buyer to purchase a determined amount of oil on a specific date at an agreed price. For retail investors however, the story is a little more complicated. The most common way for a retail investor to gain exposure to oil is through an ETF or ETN which is linked to an index such as the GSCI or S&P Oil Index. This is a perfectly reasonable strategy but it does open up a specific problem that equity investors may not have encountered before.

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GEoPolITICS AnD THE oIl MARkET ALEXANDRE HOUPERT

The complication is borne from the fact that most oil indices invest in the current or Front Month futures contract, which gives an accurate representation of the oil price for that month but only lasts a month. Typically, investors want to hold their position for longer than a month so indices such as the GSCI or S&P Oil Index have to simulate a long position by rolling from one Front Month futures contract to the next in order to maintain exposure beyond the end of the first contract, and to avoid taking delivery of the actual oil on the expiry date. Depending on whether the market is in contango or backwardation, an index may underperform or outperform the actual oil price.

underlying market S&P GSCI Crude Oil Index Front Month Oil Futures

5-year Performance -44.18% 74.80%

Source Bloomberg, May 2011. Past performance is not a reliable indicator for future performance

Investing in the oil markets At the time of writing Brent Crude oil is currently heavily backwardated due to short-term supply concerns arising from the geopolitical problems mentioned earlier.1 This is not the case for WTI Crude, however, where supplies from America have been largely uninterrupted, and a more normal state of Contango has been maintained. So if you believe that the geopolitical unrest is likely to continue and that the Brent Crude market will remain in backwardation where futures contracts become cheaper the further out you go, you may be happy to invest in a product that relies on rolling Front Month futures. If, however, you believe that stability will return to the Middle East and a more normal state of Contango will resume, you may be keen to avoid your profits being eroded by negative roll yields. With this in mind the SG Exchange Traded Products Team recently issued the SG96 Tracker which is designed to replicate the performance of a single December 2013 Brent Crude futures contract.1. As of 2 May 2011

Contango vs BackwardationWhen the price of a futures contract is higher in the distant delivery months than it is for the Front Month, the market is said to be in Contango. Contango poses a real risk to investors as any profit that may have been generated by a rising oil price may be eroded by the increased cost of rolling the position into a more expensive contract. Over time the higher longer-term futures price will converge with the actual market (Spot) price of oil as it nears expiry. This is often referred to as a negative roll yield. Alternatively, the market is said to be in Backwardation when the price of a futures contract near to expiry is higher than the next futures contract which has longer to go until it expires. Holding Backwardation is a strategy often used by Hedge funds as it generally has a positive impact on index values, as the position profits from selling at the higher price and buying at the lower price when it rolls to the next contract. Over time the lower long-term futures price will converge with the Spot Price. This is often referred to as positive roll yield. An Illustration of Contango and backwardationSell Ro

The five year performance of brent Crude Oil$160.00 $140.00 $120.00 $100.00 $80.00 $60.00 $40.00 $20.00

ll

$More information about the roll and the 8 7 006 200 200 6/ indices/0is2 found on1/the S&P website. 06/ 06/ 1 1 11/ 1

11/

06/

200

9 11/

06/

201

0 11/

06/

201

1

Buy Price Backwardation Contango BuyRo ll

Source Bloomberg, June 2011. Past performance is not a reliable indicator for future performance

Sell 1st available nearby 2nd nearby 3rd nearby 4th nearby Future contract maturity

The December 2013 Crude Oil Tracker (The Tracker) is linked to the performance of the December 2013 futures contracts, which represents the consensus view of where the price of Brent Crude will be in December 2013. By linking to just one Futures contract, The Tracker eliminates the need to roll contracts each month as they near expiry, and the potential for experiencing negative roll yields if the next futures contract is more expensive. Instead the Trackers allow investors to gain precise exposure to the oil price on a given date without tracking error.

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GEoPolITICS AnD THE oIl MARkET ALEXANDRE HOUPERT

How does the Tracker work?These Trackers are designed for sophisticated investors looking for a short to medium term exposure to the Brent Crude December 2013 contract. Like a regular ETF or ETN, the Tracker aims to replicate the performance of the December 2013 contract on a one-for-one basis. This means that it will rise or fall in line with the underlying market. If the December 2013 Brent Crude Oil contract has fallen in value by the time the Tracker expires, or you decide to sell it early when the price is lower than when you bought it, your capital is at risk. Another key point that you need to realise is that you are taking 100% credit risk with Socit Gnrale, and if Socit Gnrale were to default you would lose your initial investment. Another traditional problem with investing in the oil markets is the issue of currency risk. As Brent Crude Oil is denominated in US Dollars (USD), investing in a product listed in Great British Pounds (GBP) puts your money at the mercy of the GBP/USD exchange rate. Even if your product is in profit, you could still lose money if GBP has strengthened against the USD as effectively the product has been devalued. To get around this problem SG96 uses a currency hedging feature called Quanto which eliminates the currency risk by replicating the performance of the December 2013 Brent Crude Oil contract in percentage terms rather than the real value. This way, investors can accurately replicate the performance of oil and the payout upon Expiry is simply determined by the prevailing oil price at that time. For example, if at Expiry, the value of December 2013 Crude Oil Future is $80.50, the payout of the Tracker will be equal to 80.50. There is a fee called the Quanto fee which is charged for this feature and details of what that fee is can be found online at www.sglistedproducts.co.uk at any time. It is important to note, however, that the value of the Tracker can vary significantly in the Secondary Market. An illustration of the payout for SG 96

When the price of a futures contract is higher in the distant delivery months than it is for the Front Month, the market is said to be in Contango.

ImPOrTANT INFOrmATIONThe product described in this article is not suitable for everyone. Investors capital is at risk. Investors should not deal in this product unless they understand its nature and the extent of their exposure to risk. The value of the product can go down as well as up and can be subject to volatility due to factors such as price changes in the underlying instrument and interest rates. SG 96 is issued by Socit Gnrale Acceptance, a member of the SOCIETE GENERALE group of companies. Any failure of Socit Gnrale Acceptance to perform obligations when due may result in the loss of all or part of an investment. SG 96 is a securitised derivative* suitable for sophisticated retail and professional investors in the UK, who have a good understanding of the underlying market and characteristics of the security. In particular, it is important that an investor appreciates at the outset that they could lose all their capital when investing in this securitised derivative, even if it is held until the end of its term. *A securitised derivative (SD) is a security listed on the London Stock Exchange and issued by a bank via an Issuing Programme which is approved by the UK Listing Authority. Final Terms are published for each SD which provide investors with its characteristics and its pay-off at maturity. The product features given in the Final Terms are prescribed by the approved Issuing Programme.

Tracker Value

Payout At Expiry

90.10

80.50

$80.50For illustrative purposes only. Source Socit Gnrale, May 2011

$90.10

December 2013 Crude Oil Future

Prior to Expiry, the Tracker can be traded live on the London Stock Exchange with pricing roughly in line with oil price futures (December 2013). The Tracker is issued by Socit Gnrale Acceptance and listed on the London Stock Exchange, on which bid/offer prices are published intra-day throughout the life of the product under normal conditions. This allows for liquidity, transparency and access to an otherwise difficult market to enter. For full details on the Tracker, refer to the Term Sheet available on our website www.sglistedproducts.co.uk.

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CASH EXTRACTIon: How To THInk DIffEREnTlY AboUT CovERED wARRAnTS.Mention covered warrants to a financial adviser, and youre likely to be met with a sharp intake of breath and a risk warning. The high level of risk associated with covered warrants is most likely one of the first things you ever learned about them. Their leverage can exacerbate losses, and their value can fall to zero. Those warnings are entirely valid, ignored at your peril, and should leave you in little doubt that covered warrants are inherently risky. 13

CASH EXTRACTIon ANDREW MCHATTIE Andrew McHattie, an independent Covered Warrants specialist, with more than 20 years of experience and a representative of the McHattie Group.

et there is a little-known way of using covered warrants to actually reduce your overall level of portfolio risk. A strategy called cash extraction can be very sensible in uncertain markets as a way of potentially boosting your returns and reducing your potential maximum loss at the same time. The majority of investors who employ covered warrants tend to use them aggressively in the quest for enhanced returns. Simple directional trading, using the gearing of covered warrants to enhance the degree of movement, can of course work very well, but a lot depends on skill and timing when employing such an aggressive plan. Few investors appreciate that covered warrants can be used for far more conservative strategies, actually drawing on the advantage of gearing in an entirely different way. Gearing the ability of warrants to achieve greater exposure for your money is usually considered as a way of achieving far more exposure for the same investment unit. This is gearing up. It is also possible, though, to gear down by using covered warrants to achieve an equivalent exposure to a direct investment with far less capital. While few investors think about covered warrants in this way, gearing down can be a very sensible policy to maintain an interest in the stockmarket with a lower overall investment.

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Heres how it works. Lets say an investor has a portfolio of FTSE 100 stocks, held largely as a legacy of an earlier investment period. The portfolio ties up a lot of capital lets say 50,000 for this example and the investor is worried about losing this sum if the UK equity market crashes. It would also be useful to have some of that cash for other purposes, but the investor is reluctant to sell and miss out on the potential for future gains. One solution is cash extraction. The idea here is to sell the shares and loosely replicate the portfolio by buying FTSE 100 Index call covered warrants, obtaining a similar level of exposure for far less money and releasing the balance for other uses. There is one calculation to work out how many call warrants are needed to provide similarly equivalent exposure to the share portfolio. The formula is to divide the number of shares held by the delta of the covered warrants, and then to multiply that answer by the parity ratio. Now, you might have two problems with this formula. The first is that we are postulating a strategy here to replace a basket of shares with an index warrant, so the number of shares needs to be adjusted first. The second issue is that the delta and parity may be unfamiliar terms, and may be slightly daunting initially. In practice though, neither of these objections are too difficult to overcome.

The idea here is to sell the shares and loosely replicate the portfolio by buying FTSE 100 Index call covered warrants, obtaining a similar level of exposure for far less money and releasing the balance for other uses.Returning to our practical example, we need to think of our 50,000 basket of shares as units of the FTSE 100 Index instead. If we assume the index is 6,000, then our 50,000 might buy 8.333 indices (simply 50,000/6,000). That is the first part of the calculation complete. Next, we need to choose a call covered warrant, preferably one with a reasonable amount of time to run and a good chance of finishing with value at the end of its life. In this case we might choose the call covered warrants with the ticker code SE74, with a strike price of 5,200 and an expiry date of 16 December 2011. On the product detail page on the SG website you can easily find the delta (71.0%) and the

The following example is given for illustrative purposes and does not constitute a recommendation to purchase the product referred to.

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CASH EXTRACTIon ANDREW MCHATTIE

parity, the number of warrants required for you to gain exposure to one unit of the underlying asset (1,000). This data is readily available for every covered warrant, so you do not need to calculate it yourself. The calculation now becomes 8.333 divided by the delta (expressed as a fraction of one) of 0.71, and then multiplied by the parity of 1,000. We arrive at a figure of 11,737, which is the number of warrants required in this case to replicate the 50,000 basket of shares.

This need not be a great problem though, as the cash extracted can of course be used to generate an income perhaps even a higher income if it is used in a focused way. Second, there is one scenario under which the cash extraction strategy fails to work at all successfully. If prices do not move, cash extraction will reduce your returns. Direct holdings would not fall in value, but a covered warrant holding would fall due to the loss of time value. For this reason, the cash extraction strategy is best used when some movement is expected and this seems a decent assumption in todays volatile markets. Third, in practice this policy is unlikely to work as neatly and perfectly as the calculations suggest. One problem is that the delta is not a static indicator. It is always changing, and this means that unless the holding is rebalanced frequently incurring extra dealing charges each time then it will likely be less accurate at replicating the movements of an underlying holding as time passes. There are caveats then, but even so, a margin of inaccuracy seems a small price to pay in many respects for the benefits. Taking more specific risk with a covered warrant holding can be a way of reducing your overall risk, and the calamity risk in particular. In the example we have used, the potential calamity loss in the event of a market crash is reduced from 50,000 to a maximum of 7,863.79. And whereas once upon a time, investors may have scoffed at the idea of blue-chip investments losing all of their value, there have been a sufficient number of high-profile disasters over recent years to remove any such complacency. Cash extraction may be an approximate methodology at best, but it seems entirely legitimate to consider gearing down in highly uncertain market conditions. As all car drivers will know, gears are intended not just for acceleration, but to help you put the brakes on as well.

In practice, there are some complications. First of all, covered warrants are not eligible for any dividend payments declared by underlying investments, so if the income stream from an asset is important, this will need to be factored into any calculations.

As of 22 June SE74 covered warrants can be bought for approximately 67p, meaning that the investment required in the covered warrants is 7,863.79. This is much less than the 50,000 invested in the shares, allowing 42,136.21 to be taken out this is the all-important cash extraction which can now be used for other purposes. The money can be kept safe, it can be used for other investments, it can be used to generate income, to pay off debt, or simply to meet other expenditure requirements. Does this much smaller investment really work to generate similar returns? We can test it with a scenario. If we assume the market rises by 10%, then we would assume the 50,000 share basket would generate a profit of 5,000 in response. The level of the FTSE 100 Index, meanwhile, might rise by 10% i.e. 600 points, multiplied by the delta of 0.71 and divided by the parity of 1,000, working out at 42.6p. This would take the price of the covered warrants to 109.6p, making the holding of 11,736 warrants worth a total of 12,863.75, or 4,999.96 more than the purchase price. That is an equivalent gain, in theory, from a geared down position with much less capital at risk. In practice, there are some complications. First of all, covered warrants are not eligible for any dividend payments declared by underlying investments, so if the income stream from an asset is important, this will need to be factored into any calculations.

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As perhaps the most dynamic of all financial markets, Foreign Exchange, or FX can offer the active trader the ability to trade virtually 24 hours a day. As one market closes, another opens, which explains why it holds the fascination of both professional and private investors. The most recent 2010 triennial survey from the Bank for International Settlements for example, showed the FX market had grown a further 20% since April 2007, making it one of the largest financial markets in the world with $4 trillion turnover on average each day, which is 12 times the average of the global equity markets1.

wHY TURboS CoUlD HolD THE kEY To THE fX MARkETSthat the most traded currencies are USD, EUR, JPY and GBP, and all the top 4 traded currency pairs include the US Dollar. With the end of the US Treasuries $650bn programme of Quantitative Easing 2, continuing unrest in the Middle East and North Africa region, and a widespread threat of inflation in both the emerging and developed market countries, currencies are likely to continue to be a key focus for both political and economic agendas.By Alexandre Chesse

T

he big FX markets are the United States and United Kingdom which account for 50% of global trading according to the Bank for International Settlements survey. Its no surprise then

market share of the main currency pairsPair EUR/USD USD/JPY GBP/USD AUD/USD USD/CAD USD/CHF EUR/JPY EUR/GBP EUR/CHF Other TOTAl market Share 28% 14% 9% 6% 5% 4% 3% 3% 2% 26% 100%

Trading the FX marketsThe FX markets can be fast moving and often experience sharp and dramatic price movements. This was well demonstrated by the earthquakes in Japan where the Yen (JPY), the Japanese currency, fell by 5.00% from the 9-17 March, and then recovered 9.67% by 6 April2. Year GbP YEN Exchange rate141 139 137 135 133 131 129 127

Source: Bank for International Settlements April, 2010

125

10

11

20 1

20 1

/2 0

6/

2/

/2 0

/0 9

21 /0

21 /1

/0 3

Nonfinancial customers 13%

2. Source Bloomberg, 21 June 2011. Past performance is not a reliable indicator for future performance.

Reporting dealers 39%

Financial Institutions 48%

Investors looking for leveraged exposure to the FX markets often use CFDs or Spread Bets to amplify their exposure to an underlying asset by 10, 20 or 30 times, by trading on margin. This can make for a big profit, or a big loss to your portfolio if the market does not go your way. Certainly, in the case of both CFDs and Spreadbets, without a stop loss in place, investors could have found that the 5.00% drop generated a loss that exceeded the initial investment, and that additional funds known as a margin call would have to be deposited in order to cover the loss. Not a nice position to be in. Even if investors did have a stop loss in place, they would have missed out when the market subsequently re-bounded.1. About $320 billion World Federation of Exchanges aggregate 2009.

Source: Bank for International Settlements April, 2010

21 /0

21

21

6/

20 1

main users of the FX markets

0

0

1

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wHY TURboS CoUlD HolD THE kEY To THE fX MARkETS ALEXANDRE CHESSE

Turbos, an alternative way to trade the FX markets Unlike CFDs and Spread betting, Turbos offer investors a straight forward way to gain leveraged exposure and potentially amplify the performance of a currency pair, without putting more than your initial investment at risk. When you are trading a volatile market like currencies, it can be good to know that your maximum loss is fixed. The fixed risk nature of Turbos is made possible by the use of a Knock Out Barrier Level, which is effectively like a stop loss in the fact the Turbo expires early with very little or no redemption value if the underlying asset ever hits this level. The final redemption value will depend on the trading conditions when the Turbo knocks out but can be nil in the worst case. This means you cant lose more than you invest, but it does also mean that your entire capital is at risk. Turbos are financial instruments which are listed on the London Stock Exchange and traded through a UK stockbroker in the same way as you would buy or sell a share. The price is provided by Socit Gnrale who aims to provide continuous two-way quotes under normal market conditions. They have a limited life period (usually less than six months) and can be linked to the performance of a global index or currency pair. Through Long and Short Turbos, investors can gain leveraged exposure to either the upward (LONG) or downward (SHORT) trend of a selected underlying asset at a fraction of the cost of purchasing the asset itself.

Trading the FX markets with TurbosThe first step to trading the currency markets is to choose your underlying currency pair. This is slightly more complicated than it would be for an index Turbo as you have to understand the way the currency pair is quoted. In our earlier example of Japan, investors would be looking at the GBP/Yen Long Turbo (FX03) which is suitable for investors that believe that GBP is likely to strengthen against the Yen, and want the ability to profit from this. Once you have chosen the currency pair that you wish to gain exposure to, it is important to check the Strike Level as this dictates the level at which the underlying exchange rate must be above in order to generate a payout at expiry if not redeemed earlier. In the case of FX03, the Strike Level is 115, which is significantly below the current rate of 130 recorded on 21 June. This means that FX03 is currently on track to payout at expiry but anything can happen. As mentioned earlier, the Knock-Out barrier level provides the essential safety net which stops you losing more than you invest. However, it is essential that you are comfortable with the Knock-Out barrier level for the product that you select as you are effectively relying on it never being hit. The closer the Knock-Out barrier level is to the current exchange rate of your underlying currency pair, the more significant the gearing effect and the more risky the position is. The last issue is the Expiry Date. As Turbos have a fixed life it is important to make sure that the Expiry Date fits your view i.e. do you think that the Expiry Date is far enough away for the market to move in your favour? On the Expiry Date the exchange rate for your chosen currency pair must be above The Strike Level and have never hit the Knock out Barrier level in order to generate a payout.

The big FX markets are the United States and United Kingdom which account for 50% of global trading according to the Bank for International Settlements survey.

Amplified ExposureTurbos are geared instruments, their price is lower than the underlying asset but moves on a similar basis. As a direct consequence, small price movements in the exchange rate translate into higher percentage changes in the value of the Turbo. However, it is important to remember that you do not hold the underlying asset itself. For example, investors who believe that the EURO is likely to fall against GBP may select the FX01 Short Turbo, which will increase in value as the Euro falls in value against GBP. As of 7 June, this would cost a little under 8.5p per Turbo and would give you exposure to the EURO/GBP exchange rate below the Strike Level of 0.96.

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wHY TURboS CoUlD HolD THE kEY To THE fX MARkETS ALEXANDRE CHESSE

Although an investor would only be paying approximately 8.5p per Turbo1. They are exposed to the full value of the exchange rate below the Strike Level of 0.96. So if the EUR/GBP rate closes 25% below the Strike Level at 0.72 at Expiry, the Turbo will provide a payout of 24p per Turbo, a 182% return on your investment. This leverage effect can work against the investor should the market not go in their favour. Unlike Covered Warrants, there is limited Time Value to consider so the payout is much easier to calculate. For our EUR/GBP currency pair it is simply the current Strike Level minus the current exchange rate. E.g. 0.96-0.72 = 24p.1 As of the 7th June 2011

Scenario 1: The GbP/uSD exchange rate hits the Knock-Out barrier level As discussed earlier, Turbos have a built in Knock-Out barrier level which will limit the downside risk so that you cant lose more than your original capital. In the case of our example, the Knock-Out barrier level is $1.47. If the GBP/USD exchange rate hits this level at any point in the life of the Turbo, the portfolio of 8000 Turbos might expire worthless immediately and the 1,000.00 investment could be lost depending on the trading position at the time of the Knock-Out event. Scenario 2: The GbP/uSD exchange rate does not hit the Knock-Out barrier level As long as the Knock-Out barrier level has never been hit, the product will continue until the Expiry date. When the product expires on 21 December 2011 the investor will receive a payout depending on how far the Exchange Rate is above the Strike Level of $1.45. The payout that they would receive is calculated as: lONG Turbo Payout = (Exchange rate Strike level)/Exchange rate SHOrT Turbo Payout = (Strike level Exchange rate)/Exchange rate If we take an example where the GBP/USD rate has risen to $1.80 by the Expiry Date, our investor would have made a profit as they purchased the Turbos when the exchange rate was $1.63 and the price was 12.50p. The payout would be calculated: (1.80 1.45)/1.80 = 0.1944 (19.44p) per Turbo As our investor bought 8000 Turbos for a total cost of 1,000.00, their total payout is 1,555.20, a total profit of 555.20. (0.1944 x 8000) 1,000.00 = 555.20

Current range of FX TurbosCurrency EUR/GBP GBP/JPY GBP/USD Product SHORT Turbos LONG Turbos LONG Turbos To suit market view GBP to rise / EUR to fall GBP to rise / JPY to fall GBP to rise / USD to fall Strike level 0.96 115 1.45 barrier level 0.94 117 1.47 Expiry 22/12/11 22/12/11 22/12/11 EPIC Code FX01 FX03 FX04

An example trade: GbP/uSDExample: long Index Turbo Investors market view Current Exchange Rate (As of the 7 June 2011) Selected Turbo Strike Level Knock-Out Level Amount invested Expiry Date Current Turbo price (As of the 7 June 2011) Number of Turbos to buy long FX Turbo Rise in GBP vs USD $1.63 FX04 1.45 $1.47 1,000.00 22 December 2011 0.1250 (12.5p) (1,000.00/0.1250) = 8000 Turbos

The following example is given for illustrative purposes and does not constitute a recommendation to purchase the product referred to. The example is based on an investor with a market view that GBP will rise against the USD and therefore the GBP/USD rate will be above the Strike Level of $1.45 by 22 December. On the basis that our investor is comfortable with the risk that if the GBP/USD rate could hit the Knock-Out barrier level of $1.47, and that their capital would be lost, they proceed to purchase 1,000.00 worth of FX04, a long Turbo linked to the performance of the GBP/USD exchange rate. There are then two possible outcomes that our theoretical investor could face.

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wHY TURboS CoUlD HolD THE kEY To THE fX MARkETS ALEXANDRE CHESSE

GbP/uSD Exchange rate $1.45 $1.50 $1.55 $1.60 $1.65 $1.70 $1.75 $1.80 $1.85 $1.90 $1.95 $2.00

Payout Per Turbo () 0.0000 0.0333 0.0645 0.0938 0.1212 0.1471 0.1714 0.1944 0.2162 0.2368 0.2564 0.2750

% Profit/ loss on Turbo -100.0 -73.3 -48.4 -25.0 -3.0 17.6 37.1 55.6 73.0 89.5 105.1 120.0

Just remember to ask yourself five important questions when choosing your Turbo: 1. Which market are you interested in? Select from a number of currencies or indices. 2. Will it rise or fall? Based on your market view you would have to decide whether the market is going to rise or fall. For rising markets you would be looking at LONG Turbos, whereas for a falling trend you would look at SHORT Turbos. 3. When do you think it will happen? Choose a Turbo with an Expiry Date that suits your view as to how long you think it will take for your market view to play out. 4. How confident are you? The closer the Strike Level is to the Underlying Asset Price, the cheaper the Turbo, but the less likely you are to profit as the risk would be greater of the underlying moving against you at expiry. 5. Whats the worst that could happen? Make sure that the Knock-Out barrier level provides enough scope for the underlying asset to move without hitting this level, otherwise your capital will be lost. In the case of Index Turbos it is important to note that if the KnockOut barrier level is breached, the payout value is always zero.

Trading a TurboIn reality, the investor would have to pay their broker a fee to transact the trade, which is typically between 12-16 per trade. This would have to be taken into account in the final profit calculation. However, our example does show that a relatively small change in the underlying exchange rate can lead to a proportionally much higher return on the product. The table above shows other potential returns that an investor may have achieved depending on the level of the GBP/USD exchange rate at expiry. more than just currencies It is not just the currency markets that you can trade through the range of SG Turbos. In indices, there are both Long and Short Turbos linked to the performance of the FTSE 100, DAX or EuroStoxx 50 Indices with a multitude of different Strike Levels, Knock-Out barrier levels and Expiry dates for you to choose from. Like all our exchange traded products, Turbos are listed on the London Stock Exchange and trade like a share through your UK stockbroker. You can research our full range of Turbos on our website www.sglistedproducts.co.uk. When you find a product that you wish to purchase, simply quote the EPIC code to your stockbroker. They will then make the purchase for you. You can buy or sell Turbos at any point during trading hours. Although, if you sell at a price lower than you purchased your Turbo, you will make a loss.

ImPOrTANT INFOrmATIONThe products described in this article are not suitable for everyone. Investors capital is at risk. Investors should not deal in this product unless they understand its nature and the extent of their exposure to risk. The value of the product can go down as well as up and can be subject to volatility due to factors such as price changes in the underlying instrument and interest rates. Socit Gnrale is the sole issuer in the UK market and its range of Turbos is updated on a regular basis depending on market conditions with products offered on several equity indices. Turbos are issued by Socit Gnrale Acceptance, a member of the SOCIETE GENERALE group of companies. Any failure of Socit Gnrale Acceptance to perform obligations when due may result in the loss of all or part of an investment.

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By Ben Thompson

SUPER10s: now SUPER RETURnS CAn bE SUPER SIMPlEAt the end of the Investment Term (The Expiry) when the Super10 expires, it will generate a fixed payout of 10 per unit, just as long as the chosen Underlying Asset has never touched a predefined Barrier Level.s any investor knows, markets can rise or fall with little notice or explanation, and correctly predicting which way they might go next can be a hard task for even the most experienced investor. Even more tricky perhaps is when markets arent really moving, and even the most diligent Technical or Fundamental analyst is struggling to find a valuable trade. At this point many investors will turn to leveraged products such as CFDs or Spreadbets with the hope of turning small market movements into profits. This can be a great strategy but its not for everyone. For one, you need to be confident about which way the market will go, and you need to time your entry and exit points to perfection to get the best possible profit. But more importantly, as many failed spreadbetters will know, if you are wrong in your view, and the market goes against you, you can lose significantly more than you invest. So does that mean flat markets mean stale profits if you cant see a clear rising or falling trend to back? Not necessarily. With Socit Gnrales new Super10s you could make an attractive return without putting more than your initial capital at risk. And the only thing you need to decide is whether the Underlying Asset is going to stay above, below or between a set of Barrier Levels throughout the Investment Term. Like all Exchange Traded Products from Socit Gnrale, Super10s are listed on the London Stock Exchange and trade like a share through a UK stockbroker. This gives you the added flexibility of being able to sell back your Super10 during trading hours at the prevailing price at any time throughout the Investment Term. 10 at Expiry or nothing at all, its as simple as that Super10s have a fixed Investment Term of between 1 and 6 months. At the end of the Investment Term (The Expiry) when the Super10 expires, it will generate a fixed payout of 10 per unit, just as long as the chosen Underlying Asset has never touched a pre-defined Barrier Level. If the Barrier Level is touched at any point, the Super10 simply terminates worthless and you will lose your

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SUPER RETURnS DonT HAvE To bE SUPER CoMPlEX! BEN THOMPSON

initial investment, so its 10 or nothing easy! It is also important to know that you are exposed to Socit Gnrale credit risk. If Socit Gnrale was to default you would lose some or all of your investment. A Super10 for all conditions There is no secret formula we can provide to help you make money in the markets but we can make the decision making process easier. Now with Super10s there is no need to predict the next Bull Run or time your entry and exit to perfection. You simply need to decide whether you expect your chosen Underlying Asset to stay high, stay low or stay within a range. And thats exactly how you choose which Super10 is right for you. Stay Low Super10s are designed for investors who believe that the Underlying Asset will stay low throughout the Investment Term. Think of it like a football which needs to remain below the cross bar in order to score a goal. If it goes too high, i.e. above the Upper Barrier Level, the Stay Low Super10 will terminate immediately and you will lose your investment outright. However, as the examples to the right demonstrate, if you get it right and the Barrier Level remains untouched, you can make a profit of up to 48.15% in just 6 months, depending on the product you chose and the price you pay. As you may expect, to achieve the higher returns you have to take more risk. Typically, the longer the Investment Term, or the closer the Underlying Asset price is to the Barrier level, the higher the risk you take, and the higher the potential return. Stay High Super10s Stay High Super10s are designed for those with a bullish view. In the same way as that the Stay Low Super10 can be thought of in football terms, we think of Stay High Super10 as a rugby ball which needs to stay above the posts to score. If it goes too low, i.e. below the Lower Barrier Level, the

product will terminate immediately and you will lose your investment outright. If not, you will receive 10 per unit at Expiry, a potential profit of up to 207.69% if you bought the 5600 December 2011 Stay High Super10 at the Issue Price of 3.25 per unit. This does throw up another important point. The price of each Super10 will rise or fall on a daily basis and the price you pay may be higher or lower than the Issue Price. If you pay more than the issue price, your return will be reduced in percentage terms as the payout is fixed at 10.

Example products for Stay low Super10sEPIC Code SU24 SU21 SU31 SU30 SU29 SU28 SU27 underlying asset FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 Cost per unit at issue 9.22 7.87 9.95 9.49 8.74 7.75 6.75 barrier level 6150 6050 6550 6450 6350 6250 6150 Expiry Date 23-Sep-11 23-Sep-11 23-Dec-11 23-Dec-11 23-Dec-11 23-Dec-11 23-Dec-11 Payout at Expiry 10.00 10.00 10.00 10.00 10.00 10.00 10.00 Potential return 8.46% 27.06% 0.50% 5.37% 14.42% 29.03% 48.15% maximum loss per unit 9.22 7.87 9.95 9.49 8.74 7.75 6.75

Source: SG Exchange Traded Products, 21 June 2011. Prices are based on a FTSE 100 index level of 5,734

Example products for Stay High Super10sEPIC Code SU16 SU15 SU20 SU19 SU18 SU17 underlying asset FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 Cost per unit at issue 7.18 4.26 8.15 7.03 5.71 3.25 barrier level 5400 5600 5000 5200 5400 5600 Expiry Date 23-Sep-11 23-Sep-11 23-Dec-11 23-Dec-11 23-Dec-11 23-Dec-11 Payout at Expiry 10.00 10.00 10.00 10.00 10.00 10.00 Potential return 39.28% 134.74% 22.70% 42.25% 75.13% 207.69% maximum loss per unit 7.18 4.26 8.15 7.03 5.71 3.25

Source: SG Exchange Traded Products, 21 June 2011. Prices are based on a FTSE 100 index level of 5,734

range Super10s Range Super10s are designed for those who expect markets to stay range bound. To continue the sport analogy, we like to think of the Range Super10 as a bowling ball which needs to stay straight in the lane to score. If it goes too low, i.e. below the Lower Barrier Level, or it goes too high, i.e. above the Upper Barrier Level, the Super10 will terminate immediately and you will lose your investment outright. Again, on the next page are some example products based on the FTSE 100.

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SUPER RETURnS DonT HAvE To bE SUPER CoMPlEX! BEN THOMPSON

Example products for range Super10sEPIC Code SU05 SU07 SU02 SU04 SU01 SU06 SU03 SU13 SU09 SU11 SU12 SU08 underlying asset FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 Cost per unit at issue 7.12 8.25 4.21 6.69 3.73 7.09 5.61 6.19 3.27 4.72 4.93 2.81 lower barrier level 5400 5200 5600 5400 5600 5200 5400 5200 5600 5400 5200 5600 upper barrier level 6600 6400 6800 6400 6400 6200 6200 6600 6800 6600 6400 6600 Expiry Date 23-Sep-11 23-Sep-11 23-Sep-11 23-Sep-11 23-Sep-11 23-Sep-11 23-Sep-11 23-Dec-11 23-Dec-11 23-Dec-11 23-Dec-11 23-Dec-11 Payout at Expiry 10.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00 Potential return 40.45% 21.21% 137.53% 49.48% 168.10% 41.04% 78.25% 61.55% 205.81% 111.86% 102.84% 255.87% maximum loss per unit 7.12 8.25 4.21 6.69 3.73 7.09 5.61 6.19 3.27 4.72 4.93 2.81

ImPOrTANT INFOrmATIONThe products described within this article are not suitable for everyone. Your capital is at risk. You should not deal in this product unless you understand its nature and the extent of your exposure to risk. The value of the product can go down as well as up and can be subject to fluctuation due to factors such as price changes in the underlying instrument and interest rates. Super10s are issued by Socit Gnrale Acceptance N.V., a member of the SOCIETE GENERALE group of companies. Any failure by Socit Gnrale Acceptance N.V. as Issuer, or by Socit Gnrale as Guarantor, to make payments due under the Super10 may result in the loss of all or part of your investment. You will have no claim for compensation from the Financial Services Compensation Scheme or any other scheme.

Source: SG Exchange Traded Products, 21 June 2011. Prices are based on a FTSE 100 index level of 5,734

4 Steps to choosing your Super10 Super10s are designed to be simple and you can make an informed choice in just 4 quick steps:Step 1: Which market are you interested in? Super10s will be available on a wide range of Underlying Assets such as commodities, indices and single stocks with varying Expiry Dates and Barrier Levels. The first step is to decide which Underlying Asset you believe will behave the way you need it to. Step 2: Which Super10 are you interested in? Depending on your view as to what the Underlying Asset is likely to do, you can select which Super10 to invest in. For example, if you feel the market will remain flat for your chosen Underlying Asset, a Range Super10 could provide good investment potential.

Step 3: How confident are you? After you have chosen which Underlying Asset and Super10 you would like to invest in, in many cases, you will have a selection of Barrier Levels to choose from. The closer the Barrier Levels are to the prevailing level of the Underlying Asset, the higher the risk of the product hitting that Barrier Level. You need to make your decision based on your own views on risk and reward. Step 4: How long will the trend last? In the same way as you choose the Barrier Level, you may be able to select from a number of different Expiry dates. The further away the Expiry date, the higher the risk as the product has more time to hit the Barrier Level. Trading Super10s Super10s are listed on the London Stock Exchange (LSE) and trade like a share through a

regular UK stockbroker account. Bid/offer prices are published during trading hours under normal market conditions, and as a result, Super10s can be bought and sold at any time during market hours from 8.15am to 4.30pm. The value of the Super10 will vary on an intraday basis. Socit Gnrale is however, the only market maker and therefore the only party providing prices for these Products. Trading prices will only be available in normal market conditions. You can sell a Super10 before the end of its Investment Term but may get back less than you invested irrespective of the performance of the Underlying Asset. Super10s are eligible for inclusion in a Self Invested Pension Plan but not an Independent Savings Account (ISA). They are subject to Capital Gains Tax but no stamp duty is to be paid*.

*The tax statement is only a general guide. The tax treatment of investments will depend on an individuals circumstances. If investors are in any doubt as to their tax position, they must consult with an appropriate professional tax adviser. This statement of the UK tax treatment of the product is based on our understanding of the laws and practice in force as of the date of this document and is subject to any changes in law and the interpretation and application thereof, which changes could be made with retroactive effect.

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THE ETP ACADEMY BEN THOMPSON

As well as the launch of Horizon Magazine, our big news of 2011 has been the launch of a much anticipated new ETP website. Our aim for this new website was simple; to bring the entire range of Exchange Traded Products together in one place. There is no need for you to navigate your way through three separate sites; now you can research almost 1000 products from Socit Gnrale and Lyxor in one place.

THE ETP ACADEMY SERVICES & EVENTSThe whole world really is in your hands with our new websiteWhy we created the SG listed Products website: To build an integrated platform for Turbos, Covered Warrants, Lyxor ETFs, ETNs and our full range of Investment Strategies To highlight the risks associated with all SG and Lyxor products, and to assist users to assess whether the products are suitable investments for them To create a more user-friendly environment which can be navigated more easily and with clearer product information To provide an educational platform that gives users access to the latest news, investment ideas and technical information they need to fully understand the products.

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THE ETP ACADEMY BEN THOMPSON Ben Thompson Director, Marketing & Partnerships, ETPs UK Formerly the Head of Marketing for the UK Structured Products business at The Royal Bank of Scotland, Ben joined the SG team in December 2010 to build on the marketing and partnership program for professional and retail investors in the UK.

Transparency and understanding

Create your own world

A key focus for everything that we do at SG is transparency, and making sure that our products are not only highly relevant for market conditions, but also easily understood. Behind this drive for a more open and clear product proposition is a desire to make sure our investors can fully understand the risks associated with their chosen investment. As such, we have created a risk icon system which is used throughout the website to ensure the consistent delivery of risk information on all products.

The My profile page allows you to register and create your profile online so that you can access your Favourites list as well as being able to subscribe to our range of free educational materials. My favourites option enables you to monitor the products that you want to keep as favourites which allows you to track their prices and performance. You can add or delete the products on this list at any time. To see for yourself log on to www.sglistedproducts.co.ukIntroducing Prcis, the weekly ETP newsletter

i!

Information Displays how to use a specific function of the website

risk Warning Describes the risks that investors take on when investing in this product

%

Tax Treatment States what investors must understand with regards to tax

If you want to make sure youre up to date with the latest market trends, product releases and educational materials from SG, sign up to the new Prcis weekly e-newsletter. You will be able to hear the latest thoughts from covered warrants expert Andrew McHattie as he reports it, and be the first to hear about any new products that we launch. You can sign up to Prcis online at www.sglistedproducts.co.ukSeminars & events

Suitability/Audience Informs visitors to the website who the products are suitable for.

market news and information

The News page enables you to keep up to speed with whats happening in the markets and all the new products that we release to help you capitalise on it. Here you can find news about the latest product issues, technical analysis from Market Dynamics and the views of our panel of independent analysts such as Covered Warrants expert Andrew McHattie, and FT journalist David Stevenson. Content from David Stevenson and Andrew McHattie is reviewed by Socit Gnrale to ensure that it is suitable for retail investors. Plus, in addition to the market news, our Education Section will host all of our latest guides, seminars and information to help guide you through everything from investment theory to technical product information.

All seminars and events are listed on our website on the education page. As well as a monthly seminar series at our head office in London, we hope to bring our independent analysts and SG product specialists to a number of cities across the UK. Keep an eye on the website for more information.

NEXT EvENTS

Take a look online for our latest list of monthly seminars with FT Journalist David Stevenson and other specialist product seminars. www.sglistedproducts.co.uk

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Free Investment semInarsWIth the FInancIal tImes journalIst DavID stevensonExchangE TradEd Funds & currEncy MarkETs

ExchangE TradEd Funds in-dEpTh workshop 14Th July 2011, 12.00pM - 4.00pM join us on 14th july for a joint afternoon workshop with tD Waterhouse where you will have the opportunity to listen to the london stock exchange, socit Gnrales exchange traded Products team and Ft journalist, David stevenson talk about exchange traded Funds. venue: sG house 41 tower hill london ec3n 4sG currEncy MarkETs in-dEpTh sEMinar - 19Th July 2011, 6.00pM - 7.30pM listen to David stevenson share his insights on the currency markets, including what impacts them and how they react to economic issues. the sG team will also show you how to access these markets with exchange traded Products. venue: sG house 41 tower hill london ec3n 4sG To sign up to these events, visit our website sglistedproducts.co.uk/education

0800 328 5111 For more information contact us on 020 7762 1199 email: listedproducts@sgcib.comthis advertisement is issued in the uK by the london Branch of socit Gnrale. socit Gnrale is a French credit institution (bank) authorised by the autorit de contrle Prudentiel (the French Prudential control authority). socit Gnrale is subject to limited regulation by the Financial services authority in the uK. Details of the extent of our regulation by the Financial services authority are available from us on request. Investors capital is at risk. Investors should not deal in this product unless they understand its nature and the extent of their exposure to risk. We recommend that retail investors consult their own independent professional advisers. exchange traded Funds and exchange traded notes are issued by socit Gnrale acceptance, a member of the socIete Generale group of companies. any failure of socit Gnrale acceptance to perform obligations when due may result in the loss of all or part of an investment.

THE ETP ACADEMY SERVICES & EVENTS

Please refer to sglistedproducts.co.uk to discover the full range of Covered Warrants. lEvErAGE PrODuCTS Covered WarrantsAsset Class Commodities underlying Asset ALUMINIUM 06/2011 ALUMINIUM 12/2011 BRENT 12/2011 BRENT 12/2015 BRENT FUTURE CONTRACT COCOA 06/2011 COPPER 06/2011 COPPERL 12/2011 CORN 10/2011 CORN 12/2011 GOLD PALLADIUM PLATINUM S&P GS AGRI ER S&P GSCI CRD OIL SILVER SOYBEAN FUTURE JAN WHEAT 07/2011 WHEAT 12/2011 Currencies GBP/CAD CAD GBP/CHF CHF GBP/EUR GBP/JPY GBP/USD USD/JPY Equities 3I GROUP AMEC ANGLO AMERICAN ANTOFAGASTA APPLE ASTRAZENECA AVIVA BARCLAYS BG GROUP BHP BILLITON BP PLC BRITISH AIRWAYS BRITISH LAND BRITISH TELECOM CAIRN ENERGY CENTRICA CITIGROUP COMPASS DIAGEO Puts? Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Calls? Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Indices

oUR CoMPlETE PRoDUCT lISTInGSCovered WarrantsAsset Class underlying Asset EASYJET GKN PLC GLAXOSMITHKLINE GOOGLE HOME RETAIL HSBC IMPERIAL TOBACCO ITV JP MORGAN LEGAL & GENERAL LLOYDS LONMIN MAN GROUP MORRISSON MOTHERCARE NATIONAL GRID PRUDENTIAL RBS RECKITT BENCKISER RENTOKIL INITIAL RIO TINTO SHELL (RDSB) STANDARD CHARTERED STANDARD LIFE TESCO TULLOW UNILEVER VODAFONE WHITBREAD WILLIAM HILL WPP Plc XSTRATA CAC 40 DOW JONES EURO STOXX 50 FTSE 100 FTSE 250 HANG SENG CEI MSCI EMF Index NASDAQ 100 NIKKEI 225 S&P 500 STOXX600 Basic Resources Index STOXX600 Oil & Gas Index Puts? Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Calls? Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes

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oUR CoMPlETE PRoDUCT lISTInGS

range Super10sEPIC Code SU05 SU07 SU02 SU04 SU01 SU06 SU03 SU13 SU09 SU11 SU12 SU08 SU10 ISIN Code CWN8132B4509 CWN8132B4764 CWN8132B4277 CWN8132B4434 CWN8132B4194 CWN8132B4681 CWN8132B4350 CWN8132B5340 CWN8132B4921 CWN8132B5183 CWN8132B5266 CWN8132B4848 CWN8132B5001 underlying Asset FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 Expiry Date 23-Sep-11 23-Sep-11 23-Sep-11 23-Sep-11 23-Sep-11 23-Sep-11 23-Sep-11 23-Dec-11 23-Dec-11 23-Dec-11 23-Dec-11 23-Dec-11 23-Dec-11 lower barrier level 5400 5200 5600 5400 5600 5200 5400 5200 5600 5400 5200 5600 5400 upper barrier level 6600 6400 6800 6400 6400 6200 6200 6600 6800 6600 6400 6600 6400 Payout at expiry 10.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00

Stay low Super10sEPIC Code SU26 SU25 SU24 SU21 SU31 SU30 SU29 SU28 SU27 underlying Asset FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 barrier level 6350 6250 6150 6050 6550 6450 6350 6250 6150 Expiry Date 23-Sep-11 23-Sep-11 23-Sep-11 23-Sep-11 23-Dec-11 23-Dec-11 23-Dec-11 23-Dec-11 23-Dec-11 Payout at Expiry 10.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00

Stay High Super10sEPIC Code SU16 SU15 SU14 SU20 SU19 SU18 SU17 underlying Asset FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 barrier level 5400 5600 5800 5000 5200 5400 5600 Expiry Date 23-Sep-11 23-Sep-11 23-Sep-11 23-Dec-11 23-Dec-11 23-Dec-11 23-Dec-11 Payout at Expiry 10.00 10.00 10.00 10.00 10.00 10.00 10.00

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Turbosunderlying DAX DAX DAX DAX EURO STOXX 50 EURO STOXX 50 EURO STOXX 50 EURO STOXX 50 EURO STOXX 50 EURO STOXX 50 EURO STOXX 50 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 GBP/EUR GBP/JPY GBP/USD Type Long Long Short Short Long Long Long Long Long Short Short Long Long Long Long Long Long Long Long Long Long Short Short Long Long Short Short Short Short Long Long Expiry 17Jun11 16Dec11 16Dec11 16Dec11 17Jun11 17Jun11 17Jun11 16Dec11 16Dec11 16Dec11 16Dec11 17Jun11 17Jun11 17Jun11 17Jun11 17Jun11 17Jun11 17Jun11 17Jun11 17Jun11 17Jun11 17Jun11 17Jun11 16Dec11 16Dec11 16Dec11 16Dec11 16Dec11 22Dec11 22Dec11 22Dec11 Strike 5,700 6,300 7,500 7,800 2,200 2,400 2,500 2,300 2,700 3,200 3,500 4,500 4,700 4,800 4,900 5,000 5,100 5,200 5,300 5,400 5,500 6,300 6,400 5,500 5,700 6,200 6,400 6,500 0.96 115 1.45 Parity (product/underlying) 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1,000/1 1/1 1/1 1/1 EPIC T313 T328 T331 T332 T299 T300 T315 T344 T343 T335 T345 T307 T308 T310 T311 T312 T319 T320 T321 T322 T323 T291 T292 T340 T341 T326 T342 T327 FX01 FX03 FX04 ISIN ANN8136H5111 ANN8136X5087 ANN8136X5327 ANN8136X5400 ANN8136G8280 ANN8136G8363 ANN8136H5376 CWN8138F8286 CWN8138F7783 ANN8136X5731 CWN8138F8369 ANN8136H3215 ANN8136H3397 ANN8136H4874 ANN8136H4957 ANN8136H5038 ANN8136K4499 ANN8136K4564 ANN8136K4648 ANN8136T2833 ANN8136T2916 ANN8136F6483 ANN8136F6558 CWN8138F7452 CWN8138F7528 ANN8136X4825 CWN8138F7601 ANN8136X4908 CWN8138F7866 CWN8138F8021 CWN8138F8104

Call Put Spreadunderlying Asset EURO STOXX 50 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 FTSE 100 NIKKEI 225 S&P 500 Type Call Spread Call Spread Call Spread Call Spread Call Spread Call Spread Call Spread Put Spread Put Spread Put Spread Put Spread Put Spread Put Spread Call Spread Call Spread Call Spread Expiry 17Jun16 17Jun11 17Jun11 17Jun11 16Dec11 16Dec11 16Dec11 17Jun11 17Jun11 17Jun11 16Dec11 16Dec11 16Dec11 17Jun16 10Jun16 17Jun16 upper level 3,600.00 6,000.00 6,500.00 7,000.00 6,000.00 6,500.00 7,000.00 6,500.00 5,500.00 5,000.00 6,000.00 5,500.00 5,000.00 7,200.00 12,000.00 1,560.00 lower level 3,000.00 5,500.00 6,000.00 6,500.00 5,500.00 6,000.00 6,500.00 6,000.00 5,000.00 4,000.00 5,500.00 5,000.00 4,000.00 6,000.00 10,000.00 1,300.00 EPIC CS15 CS01 CS02 CS03 CS04 CS05 CS06 CS07 CS08 CS09 CS10 CS11 CS12 CS13 CS14 CS16 ISIN CWN8138G1801 ANN8136X5814 ANN8136X5996 ANN8136X6077 ANN8136X6150 ANN8136X6234 ANN8136X6317 ANN8136X6499 ANN8136X6564 ANN8136X6648 ANN8136X6721 ANN8136X6804 ANN8136X6986 CWN8138G1645 CWN8138G1728 CWN8138G1983 last update 02/06/2011 16:59:42 02/06/2011 16:59:53 02/06/2011 16:59:53 02/06/2011 16:59:53 02/06/2011 16:59:53 02/06/2011 16:59:53 02/06/2011 16:59:53 02/06/2011 16:59:53 02/06/2011 16:59:53 02/06/2011 16:59:53 02/06/2011 16:59:53 02/06/2011 16:59:53 02/06/2011 16:59:53 02/06/2011 16:59:53 02/06/2011 16:59:16 02/06/2011 16:59:50

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rEPlICATION ETFsunderlying iBoxx Gilts CECE Eur DOW JONES EURO STOXX 50 Dividend Points Futures EURO STOXX 50 Dividend Points Futures Euro STOXX 50 Net Return Euro STOXX 50 Net Return FTSE 100 FTSE 100 FTSE 250 FTSE 250 FTSE All-Share FTSE All-Share FTSE Coast Kuwait 40 FTSE JSE TOP 40 Total Return HANG SENG CEI IBOVESPA MSCI AC Asia EX Japan Consumer Staples (TR) MSCI AC Asia Ex Japan Financials (TR) MSCI AC Asia Ex Japan Infrastructure Capped (TR) MSCI AC Asia Ex Japan Infrastructure Capped (TR) MSCI AC Asia Ex Japan Materials (TR) MSCI AC Asia ex Japan Information Technology (TR) MSCI Emerging Mkts MSCI Latin America MSCI USA MSCI World MSCI World Consumer Discretionary (TR) MSCI World Consumer Staples (TR) MSCI World Energy (TR) MSCI World Financials (TR) MSCI World Health Care (TR) MSCI World Industrials (TR) MSCI World Information Technology (TR) MSCI World Materials (TR) MSCI World Telecommunication Services (TR) MSCI World Utilities (TR) Markit iBoxx EUR Liquid High Yield 30 Markit iBoxx UK Gilt Inflation-Linked Markit iBoxx Liquid Corporates Long Dated R/J CRB Non Energy R/J CRB Total Return S&P 500 S&P ASX 200 S&P CNX NIFTY India S&P TSX 60 TOPIX WORLD WATER cw Index Parity (product/ underlying) 1/0 1/1 1/1 1/1 1/1 1/1 1/1 1/1 1/1 1/1 1/1 1/1 1/1 1/1 1/1 1/1 1/1 10/1 0.1/1 100/1 0.01/1 0.1/1 0.1/1 1/1 1/1 1/1 1/1 1/1 1/1 1/1 1/1 1/1 1/1 1/1 1/1 1/1 1/1 1/0 1/0 1/0 1/1 1/1 1/1 1/1 1/1 1/1 1/1 1/1 Total Expense ratio (TEr) p.a. 0.18 0.50 0.50 0.70 0.70 0.25 0.25 0.25 0.30 0.30 0.35 0.35 0.40 0.65 0.65 0.65 0.65 0.65 0.65 0.65 0.65 0.65 0.65 0.65 0.65 0.35 0.45 0.40 0.40 0.40 0.40 0.40 0.40 0.40 0.40 0.40 0.40 0.45 0.22 0.20 0.35 0.35 0.20 0.40 0.85 0.40 0.50 0.60 underlying Currency GBP EUR USD EUR EUR EUR EUR GBP GBP GBP GBP GBP GBP KWD ZAR HKD BRL EUR GBP GBP USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD AUD INR CAD JPY EUR Currency risk Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Distributed Income Total Return Total Return Total Return Total Return Total Return Total Return Total Return Detached Annually Total Return Detached Annually Total Return Detached Annually Total Return Detached Annually Total Return Total Return Detached Annually Total Return Total Return Total Return Total Return Total Return Total Return Total Return Total Return Total Return Total Return Total Return Total Return Total Return Total Return Total Return Total Return Total Return Total Return Total Return Total Return Total Return Total Return Total Return Total Return Total Return Detached Annually Detached Annually Detached Annually Detached Annually Total Return Total Return EPIC GILS LEEU LIND LDIV DIV MSET MSEG LYUK L100 250F L250 FTAS LFAS LKUW LSAF LCHN LBRZ COSG FNLG IFRG IFRA MTLG IFNG LEME LLAT LMUS LWOR DISG STAG NRGG FING HLTG INUG TNOG MATG TELG UTIG YIEL GILI COUK LCNE LCTY LSPX LAUS LNFT LCAN LTPX LWAT ISIN FR0010961029 FR0010542043 FR0010551622 FR0010869529 FR0010869529 LU0533031968 LU0533031968 LU0410617236 FR0010438127 LU0410620297 FR0010438135 LU0410625502 FR0010438150 FR0010614834 FR0010465633 FR0010499749 FR0010499731 FR0010934877 FR0010934323 FR0010934570 FR0010934570 FR0010934588 FR0010934562 FR0010526780 FR0010526764 FR0010551630 FR0010551648 LU0533032180 LU0533032347 LU0533032776 LU0533033071 LU0533033311 LU0533033584 LU0533033741 LU0533034046 LU0533034392 LU0533034632 FR0010975771 FR0010961045 FR0010961037 FR0010455493 FR0010455485 LU0496786657 LU0496787036 FR0010465609 LU0496786814 FR0010489450 FR0010542134

Lyxor and Lyxor ETFs are names used by Socit Gnrale to promote the products of Lyxor Asset Management.

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ETNsunderlying BIOX BRENT 12/2013 BRENT 12/2013 BRENT 12/2013 CORN 12/2012 CORN 12/2012 RENEWABLE ENERGY RENEWABLE ENERGY EURO STOXX 50 GOLD GOLD LIBOR Dec 11 LIBOR Dec 12 MSCI Japan Total Return Index PLATINUM PLATINUM PLATINUM S&P 500 S&P GS AGRI ER S&P GS AGRI ER S&P GS AGRI ER S&P GSCI COPPER INDEX EXCESS RETURN S&P GSCI COPPER INDEX EXCESS RETURN S&P GSCI COPPER INDEX EXCESS RETURN S&P GSCI CRD OIL S&P GSCI CRD OIL S&P GSCI CRD OIL SG Football 2010 Basket SILVER SILVER SILVER SOYBEANS 11/2012 SOYBEANS 11/2012 SOYBEANS 9/2011 SP GSCI ZINC OFFICIAL CLOSE INDEX ER SP GSCI ZINC OFFICIAL CLOSE INDEX ER SP GSCI ZINC OFFICIAL CLOSE INDEX ER SPGC Corn ER SPGC Corn ER SPGC Corn ER SPGC Natural Gas ER SPGC Natural Gas ER SPGC Natural Gas ER SPGC Nickel ER SPGC Nickel ER SPGC Nickel ER SPGC Soybean ER SPGC Soybean ER SPGC Soybean ER SPGC Wheat ER SPGC Wheat ER SPGC Wheat ER maturity 27Jul15 11Nov13 11Nov13 11Nov13 8Oct12 8Oct12 17Jun16 17Jun16 Open