NOVEMBER 2014
LISTED PRODUCTS
Daily Leverage PRODUCTS
STRIKE WITH 5 TIMES MORE POWER
THIS COMMUNICATION IS DIRECTED AT SOPHISTICATED RETAIL CLIENTS IN THE UK
Risk warning
Contents
3 KEY TERMS YOU WILL COME ACROSS
IN THIS BROCHURE
Who should invest?
Daily Leverage Products are Securitised Derivatives*
suitable for UK sophisticated retail and professional
investors who have a good understanding of the
underlying market and product characteristics. In
particular, it is important that you appreciate at the
outset that these are leveraged products which carry
a high level of risk. You could lose all your invested
capital when investing in these products.
4 Making more from the markets
each day
Counterparty risk
Daily Leverage Products are issued by Societe
Generale Acceptance. If Societe Generale
Acceptance were to fail to make payments due, you
could lose some or all of your investment.
5
INTRODUCING DAILY LEVERAGE PRODUCTS
6
THE POWER OF LEVERAGE
7
DAILY LONG 5s
8
DAILY Short 5s
9
COMPOUNDED DAILY RETURNS
10 RISK MANAGEMENT FEATURES
*A Securitised Derivative (SD) is a security listed on the
11 TRADING DAILY LEVERAGE PRODUCTS
London Stock Exchange and issued by a bank via an
Issuing Programme which is approved by the UK Listing
12 FREQUENTLY ASKED QUESTIONS
Authority. Final Terms are published for each SD detailing
13 WHAT RISKS SHOULD I BE AWARE OF?
its specific characteristics and its pay-off at maturity. The
product features given in the Final Terms are prescribed by
13 SECONDARY MARKET
the approved Base Prospectus.
14 Societe Generale Listed Products
15 Important Information
2 16
Key Terms you will
come across in this brochure
Term
Description
Close-to-Close
performance
The change in closing price on one Trading Day to the closing price the following day.
Costs & Fees
Investors holding their position overnight will incur a Commission and Gap Premium. These will be calculated
daily and deducted from the price of the Daily Leverage Product. See page 11 for more information.
Daily Leverage
Product
A Daily Long 5 or Daily Short 5.
Daily Long 5
A product which is designed for investors looking to gain a return of five times the positive daily performance
of the FTSE 100 TR.
Daily Short 5
A product which is designed for investors looking to gain a return of five times the negative daily
performance of the FTSE 100 TR.
EPIC Code
The unique code you need to quote to your broker to buy or sell the product.
Final Terms
The legal documentation of the Daily Leverage Product.
FTSE 100 TR
The Underlying Indices used for the Daily Leverage Products are linked to the performance of the FTSE 100
TR Index. The composition of the FTSE 100 TR Index is the same as the FTSE 100 Index, except that the
FTSE 100 TR Index automatically re-invests the dividends paid by the constituent companies back into the
index, whereas the FTSE 100 Index does not. See page 12 for more information.
X5 Daily Leveraged
RT FTSE 100 Total
Return Index
The X5 Daily Leveraged RT FTSE 100 Total Return Index is the Underlying Index for the Daily Long 5s, which
is independently calculated by FTSE. As a Net Return Index, dividends are re-invested into the Index minus
any withholding tax.
The X5 Daily Short Strategy RT FTSE 100 Gross TR Index is the Underlying Index for the Daily Short 5s,
X5 Daily Short
Strategy RT FTSE 100 which is independently calculated by FTSE. As a Gross Return Index, dividends are re-invested into the
Index gross without taking into account any withholding tax.
Gross TR Index
Maturity
The date that the Daily Leverage Products will expire. At Expiry investors will automatically receive a payout
based on the final value of the Underlying Index.
Leverage
The amount by which the Daily Leverage Products price moves in relation to a 1% change in the price of the
FTSE 100 TR. For example, if a Daily Leverage Product has a gearing of 5x, a 1% move in the FTSE 100 TR
would result in a 5% move in the price of the Daily Leverage Product before Costs & Fees.
Parity
Parity describes the number of units of a Daily Leverage Product that you would need to buy to gain
exposure to one unit of the Underlying Index. Daily Long 5s have a Parity of 100 and Daily Short 5s have
a Parity of 50. By scaling down the Daily Leverage Product’s exposure to the Underlying Index in this
way we can reduce the minimum investment size to £100 per unit at launch, whilst maintaining the same
performance as the Underlying Index in percentage terms.
Spread (Bid/Offer)
There is always a spread between the buy (Ask) and sell (Bid) price for Daily Leverage Products. As with
shares, investors always buy at the higher price (Ask price) and sell at the lower price (Bid price). Under
normal market conditions, (see Secondary Market), Societe Generale Option Europe provides Bid/Ask
spreads throughout the regular LSE Trading Day to provide liquidity.
Trading Day
The London Stock Exchange (LSE) Trading Day is from 8:00am to 4.30pm. Daily Leverage Products can be
bought or sold at any time during LSE market hours in normal market conditions.
Underlying Index
The Underlying Index for the Daily Long 5 is the X5 Daily Leveraged RT FTSE 100 TR Index.
The Underlying Index for the Daily Short 5 is the X5 Daily Short Strategy RT FTSE 100 Gross TR Index.
3 16
MAKING MORE OF THE
MARKETS EACH DAY
The table below looks at the average daily change in 4 major
indices on a Close-to-Close basis over a 5 year period ending
on November 6th, 2014. For example, the FTSE 100 TR
moved an average of 0.78% in one Trading Day. For day
traders this daily movement of the FTSE 100 TR can provide a
valuable source of profit.
Many investors focus on the long term, building value in their
portfolio by buying and holding a diverse selection of stocks,
funds or commodities. Endless research will confirm the sense
of this strategy. Indeed, looking at the 5 year performance of
the main equity indices in the table below, stock markets have
performed well. However, if we shorten the time horizon to the
past year, we can see a clear problem: equities have traded
somewhat sideways during this period.
Daily Leverage Products provide the opportunity to boost
returns by multiplying the daily performance of the FTSE 100
by a factor of 5. However, the potential for such high returns
does bring a higher level of risk. If the FTSE 100 TR moves
against you, your losses will be multiplied by 5 as well.
This certainly doesn’t mean that markets haven’t moved in
this period, or that buy and hold isn’t the right thing to do long
term. It just means that the bulls have been largely matched
by the bears over the past year, and perhaps investors need
to supplement their portfolio with some shorter, more tactical
trading.
Index
5 year
performance
1 year
performance
Average daily change on a
CLOSE-TO-CLOSE basis
FTSE 100 TR
53.39%
1.42%
0.78%
Eurostoxx 50 TR
10.91%
1.40%
0.90%
S&P 500 TR
89.96%
14.73%
0.76%
MSCI Emerging Markets TR
5.87%
-2.44%
0.79%
Source Bloomberg, November 7th, 2014. FOR ILLUSTRATIVE PURPOSES ONLY. THIS IS NOT A RECOMMENDATION. PAST PERFORMANCE IS NOT A
RELIABLE INDICATOR OF FUTURE RETURNS.
4 16
INTRODUCING DAILY
LEVERAGE PRODUCTS
Daily Leverage Products are designed to multiply the daily
performance of the FTSE 100 TR by a factor of five. They
typically have a maximum Investment Term of 3 years, but
are designed to be traded on an intra-day basis throughout
the Trading Day. In order to provide the amplified returns, a
Daily Leverage Product tracks the performance of a leveraged
Underlying Index. This Index is independently calculated by
FTSE, and aims to multiply the daily return of the FTSE 100 TR
on a Close-to-Close basis by a factor of five. If the FTSE 100 TR
moves by 1% from its closing price the previous day, the value
of the Underlying Index will move by 5%. The price of a Daily
Leverage Product will rise or fall in line with the Underlying Index
that it tracks.
For rising or falling markets
When your time horizon is just a single Trading Day you need
the flexibility to trade both rising and falling markets. With Daily
Leverage Products you can do just that. If you’re a bullish
investor and think that the FTSE 100 TR is set to rise over the
Trading Day you can select a Daily Long 5, which will rise in
value by 5% for every 1% rise in the FTSE 100 TR, subject to
applicable Costs & Fees. See page 11 for more information.
In either case, if you call the markets wrong, your Daily Leverage
Product will amplify losses in the same way as it will profits, and
your entire capital is at risk.
Efficient trading
Because Daily Leverage Products are listed on the London
Stock Exchange (LSE), they trade like a share throughout
LSE market hours in a regular stockbroker Dealing Account,
Individual Savings Account or Self Invested Pension Plan (SIPP).
Compound returns
It is important to note that the Underlying Indices used in the
Daily Leverage Products are re-set daily. This means that the
performance of the Underlying Index on any given day is based
on how far the FTSE 100 TR has risen or fallen from the level it
closed at the day before. The next day, the process starts again
from the new closing level of the FTSE 100 TR the day before.
As a result, over periods of more than one day, profits or losses
are compounded, and the performance of the Underlying Index,
and therefore the Daily Leverage Product will deviate from five
times the actual performance of the FTSE 100 TR. This is why
Daily Leverage Products are best suited to intra-day trading. We
look at this in more detail on page 9.
However, if you’re more bearish and expect the FTSE 100 TR
to fall, you could select a Daily Short 5 which will rise in value by
5% for every 1% fall in the FTSE 100 TR before Costs & Fees.
Rising Market
Falling Market
Daily LONG 5
Daily SHORT 5
5 16
The power of leverage
Markets don’t typically move too far in just one day, so buying
and selling exposure to the FTSE 100 TR directly can be a
limited endeavour unless you are trading in sizeable quantities,
particularly once trading costs are taken into account. For those
with a more modest trading budget, Daily Leverage Products
can provide the opportunity to gear up your exposure by five.
This means that a £1,000 position in a Daily Leverage Product
can provide the same exposure as £5,000 invested directly in
the FTSE 100 TR. We call this ‘Leverage’, and it simply means
that every 1% move in the FTSE 100 TR translates to a 5%
move in the price of your Daily Leverage Product.
The chart below illustrates what this means to your investment
by looking at the daily performance of the FTSE 100 TR over a
5 year period up to November 7th, 2014. The black line shows
the daily performance of the FTSE 100 TR and the brown line
shows this same performance, multiplied by a factor of five.
To give you an example of how these products work, let’s
consider again the fact that the FTSE 100 TR moves on average
0.78% per day*. If you purchased a Daily Long 5 and the FTSE
100 TR rose by 0.78% from the closing value the day before,
you could make a profit of 3.9% on your initial investment.
Know your risk
Obviously, in the event that the markets had moved the other
way, you would have equally made a loss of 3.9% of your
investment. Importantly, unlike other leveraged products such
as CFDs and spread bets, you can never lose more than you
invest, which means you can manage your risk precisely, and
know exactly what you are letting yourself in for.
Daily returns of the FTSE 100 TR and FTSE 100 TR multiplied by 5 (06/11/09 - 07/11/14)
40
30
10
0
-10
-20
FTSE 100 TR x 5
-30
FTSE 100 TR
06/11/2014
06/07/2014
06/03/2014
06/11/2013
06/07/2013
06/03/2013
06/11/2012
06/07/2012
06/03/2012
06/11/2011
06/07/2011
06/03/2011
06/11/2010
06/07/2010
06/03/2010
-40
06/11/2009
Daily % Change in Index
20
Time
Source Bloomberg / Societe GENERALE. FOR ILLUSTRATIVE PURPOSES ONLY. THIS IS NOT A RECOMMENDATION. PAST PERFORMANCE IS
NOT A RELIABLE INDICATOR OF FUTURE RETURNS.
*Source Societe Generale / Bloomberg, NOVEMBER 7TH, 2014.
6 16
DAILY LONG 5s
Daily Long 5s are for the bullish investor who believes that the
FTSE 100 TR is set to rise over the Trading Day, and wants the
opportunity to enhance their returns. As a long investment, a
Daily Long 5 will rise by 5% for every 1% that the FTSE 100 TR
has risen above the previous day’s closing price before Costs
& Fees. It does this by tracking the performance of the X5 Daily
Leveraged RT FTSE 100 NET TR Index (FTSE 100 DL5), which
is created and calculated by FTSE.
Product overview
NAME
Daily Long 5
Issuer
Societe GENERALE
ACCEPTANCE
Underlying Index
The X5 Daily Leveraged RT
FTSE 100 Net TR Index
Benchmark Index
FTSE 100 TR INDEX
Leverage
x5
Maturity
18/09/15
ISSUE price per unit
£100.00
EPIC Code / ISIN
UKL5 / CWN8138Y4548
Parity
100
How does a Daily Long 5 work?
The best way to demonstrate how a Daily Long 5 works is to
look at an example. Let us assume that markets are about to
open on Tuesday. On Monday the FTSE 100 TR closed at a level
of 5,000, the FTSE 100 DL5 closed at a level of 22,000, and
the Daily Long 5 closed at £100 per unit. As you believe that the
FTSE 100 TR is set to rise on Tuesday, you purchase 10 units
of the Daily Long 5 at a total cost of £1,000. You would execute
this trade through your stockbroker in exactly the same way as
you would buy a share.
If later that day the FTSE 100 TR had increased by 1% to a level
of 5,050, the value of the FTSE 100 DL5 would have increased
by 5% (1% x 5) to a level of 23,100. Because the Daily Long 5
simply tracks the FTSE 100 DL5, it too would have risen by 5%
before Costs & Fees. Fees only apply on investments that are
held overnight or longer. See page 11 for a full explanation of the
Costs & Fees associated with trading Daily Leverage Products.
With the potential for such high returns, you also face a high
level of risk. If the FTSE 100 TR was to decrease by 1% in a day,
the value of the Daily Long 5 would also decrease by 5%.
Parity describes the number of units of a Daily Long 5 needed to gain
exposure to one unit of the Underlying Index. This scaling factor allows
us to reduce the minimum investment size to £100 per unit at launch,
whilst maintaining the same performance as the Underlying Index in
percentage terms.
Illustrative returns from a Daily Long 5
The following illustrative returns are for an investment of 10 units of the Daily Long 5, which are bought when the FTSE 100 DL5
Index was trading at 22,000 and sold on the same Trading Day.
% Change in
CHANGE IN THE
FTSE 100 TR FROM
THE PREVIOUS CLOSE FTSE 100 DL5
Value of the
FTSE 100 DL5
Value of the Daily
Long 5 per unit
TOTAL Profit or
loss (Incl. AMC)
-3.0%
-15.0%
18,700
£85
-£15
-2.0%
-10.0%
19,800
£90
-£10
-1.0%
-5.0%
20,900
£95
-£5
1.0%
5.0%
23,100
£105
£5
2.0%
10.0%
24,200
£110
£10
3.0%
15.0%
25,300
£115
£15
Source: SG Listed PRODUCTS. for illustrative purposes only. This is not a recommendation
7 16
Daily Short 5s
Daily Short 5s are for the bearish investor who believes that the
FTSE 100 TR is set to fall over the Trading Day, and wants the
opportunity to enhance their returns. As a Short investment, a
Daily Short 5 will rise by 5% for every 1% that the FTSE 100 TR
has fallen below the previous day’s closing price before Costs
& Fees. It does this by tracking the performance of the X5 Daily
Short Strategy RT FTSE 100 Gross TR Index (FTSE 100 DS5),
which is created and calculated by FTSE.
Product overview
NAME
Daily Short 5
Issuer
Societe GENERALE
ACCEPTANCE
Underlying Index
The X5 Daily Short
Strategy RT FTSE 100
Gross TR Index
Benchmark Index
FTSE 100 TR Index
Leverage
x5
Maturity
18/09/15
ISSUE price per unit
£100.00
EPIC Code / ISIN
UKS5 / CWN8138Y4704
Parity
50
How does a Daily Short 5 work?
Again, the best way to demonstrate how a Daily Short 5 works
is to look at an example. Let us assume that markets are about
to open on Wednesday. On Tuesday the FTSE 100 TR closed
at a level of 5,000, the FTSE 100 DS5 closed at a level of 1,400
and the Daily Short 5 closed at £100 per unit. As you believe
that the FTSE 100 TR is set to fall on Tuesday, you purchase 10
units of the Daily Short 5 for a total cost of £1,000.
If later that day the FTSE 100 TR had fallen by 1% to a level of
4,950 the value of the FTSE 100 DS5 would have increased by
5% (1% x 5) to a level of 1,470. Again, because the Daily Short
5 simply tracks the performance of the FTSE 100 DS5, it would
also rise by 5% before fees. See page 11 for a full explanation
of the Costs & Fees associated with trading Daily Leverage
Products.
Again, the potential for high returns brings risk. If the FTSE 100
TR were to increase by 1% in a day, the value of the Daily Short
5 would also decrease by 5%.
Parity describes the number of units of a Daily Short 5 needed to gain
exposure to one unit of the Underlying Index. This scaling factor allows
us to reduce the minimum investment size to £100 per unit at launch,
whilst maintaining the same performance as the Underlying Index in
percentage terms.
Illustrative returns from a Daily Short 5
The following illustrative returns are for an investment of 10 units of the Daily Short 5, which are bought when the FTSE 100 DS5
Index was trading at 1,400 and sold on the same Trading Day.
% Change in
CHANGE IN THE
FTSE 100 TR from
the previous close FTSE 100 DS5
VALUE OF THE
FTSE 100 DS5
Value of the Daily
Short 5 per unit
TOTAL PROFIT or
loss (Incl. AMC)
3.0%
-15.0%
1,190
£85
-£15
2.0%
-10.0%
1,260
£90
-£10
1.0%
-5.0%
1,330
£95
-£5
-1.0%
5.0%
1,470
£105
£5
-2.0%
10.0%
1,540
£110
£10
-3.0%
15.0%
1,610
£115
£15
Source: SG Listed Products. for illustrative purposes ONLY. THIS IS NOT A RECOMMENDATION.
8 16
COMPOUNDED DAILY RETURNS
Daily Leverage Products are not designed for investors looking
to buy and hold their position for long periods. This is because
the 5 times leverage is applied to the performance of the FTSE
100 TR over a single Trading Day, so when the markets open
again the following Trading Day, the process starts again. Let’s
assume that we buy a Daily Long 5 when the FTSE DL5 closed
the previous day at a level of 22,000. If on the day of purchase
the FTSE 100 TR closes 2% lower than it had the previous day,
the FTSE DL5 would close 10% lower at a level of 19,800. If the
following day the FTSE 100 TR rallied and closed up 2% on the
previous closing price, the FTSE DL5 would be up 10% at the
end of the day. However, the 10% gain would be based on the
starting level of 9,000. So although over two days the FTSE 100
DL5 had fallen 10% one day and recovered 10% the following
day, the FTSE 100 DL5 would be down 1% at 21,780, equating
to a loss before Costs & Fees of 1% on the Daily Long 5.
The scenarios below demonstrate how this compounding effect
can work for you or against you. In our negative compounding
example below the FTSE 100 TR returns to its starting level after
4 days but the Daily Long 5 is 2.9% down. A continued fall in
the FTSE 100 TR would of course create a larger compound
loss on the Daily Long 5. However, in the positive compounding
case, the compounding effect is positive and the Daily Long 5
returns 5.56 times the performance of the FTSE 100 TR over 4
days (51.8% / 9.3%).
Illustrative compounded returns
POSITIVE COMPOUNDING
NEGATIVE COMPOUNDING
FTSE 100 TR
Daily Long 5
5,000
DAY 1
FTSE 100 TR
100
5,000
+1%
+5%
DAY 2
5,050
84
5,000
DAY 4
97.1
+3.13%
+15.65%
115
+10%
5,253
DAY 3
126.5
5,463.1
DAY 4
151.8
+4%
+20%
+9.3%
-2.9%
+0.0%
DAY 2
+2%
-20%
DAY 3
+15%
5,150
-4%
100
DAY 1
+3%
105
4,848
Daily Long 5
Over 3 days the FTSE 100 TR returns
0% but the Daily Long 5 is down 2.9%
+51.8%
Over 3 days the FTSE 100 TR returns
9.3% but the Daily Long 5 is up 51.8%
For illustration purposes only. The FTSE 100 TR indicative levels and UKL5 indicative prices are rounded to the closest integer.
Negative compounding: illustrative performance
of FTSE 100 TR Vs Daily Long 5
Positive compounding: illustrative performance
of FTSE 100 TR Vs Daily Long 5
110
160
140
100
120
90
100
FTSE 100 TR
Daily Long 5
FTSE 100 TR
80
DAY 1
Daily Long 5
80
DAY 2
DAY 3
DAY 4
DAY 1
DAY 2
DAY 3
DAY 4
FOR ILLUSTRATIVE PURPOSES ONLY. THE DATA HAS BEEN REBASED TO 100 TO ENABLE COMPARISON BETWEEN THE FTSE 100 TR AND THE DAILY LONG 5.
9 16
RISK MANAGEMENT FEATURES
the Index is now based on the new level of 5,500. Therefore, if
the FTSE 100 TR was to fall another 5% from 5,500 when the
markets closed, the loss to the FTSE 100 DL5 would be 25%
of 5,500, meaning it would close at a level of 4,125. Without
the Air Bag, the additional 5% fall in the FTSE 100 TR would
have left the FTSE 100 DL5 and the Daily Long 5 worthless.
This is because the total loss on the FTSE 100 TR of 20%
would equate to a 100% loss on the FTSE 100 DL5.
As we have already seen, Daily Leverage Products multiply
the daily rise or fall of the FTSE 100 TR by a factor of five. This
does mean that both profits and losses are amplified by five.
To offer some protection against extreme movements, Daily
Leverage Products include two important features; an Air Bag
mechanism to slow the rate of loss during the day, and a Gap
Premium which limits your risk overnight.
The Air Bag mechanism
Gap Premium
Both the Long and Short Leveraged Indices include an Air
Bag mechanism, which is designed to slow the rate of loss on
the Index in extreme market conditions. The Air Bag comes
into effect if the Underlying Index loses 75% of its value in one
Trading Day. If this does occur, the Air Bag triggers an intraday re-set of the Underlying Index. The reset takes place over
a one minute period. Following the reset, the performance of
the Underlying Index is based on the level that the FTSE 100
TR was trading at when the Air Bag was triggered. This is
designed to reduce the impact of any subsequent fall.
Although the Air Bag mechanism can slow the rate of loss
dramatically during the day, it cannot protect you from market
close on one day, to market open the following day. This is
why Daily Leverage Products include a Gap Premium, which
is essentially like a form of insurance that is embedded in the
price of the product to limit your risk from extreme market
movements overnight. Without the Gap Premium, if the FTSE
100 TR was to open more than 20% against you, you could
lose more than your initial investment as the product would
lose more than 100% of its value. However, because of the
hedging paid for by the Gap Premium, the worst that can
happen is that your Daily Leverage Product is worth nothing.
You cannot lose more than you invest. The Gap Premium is
a cost that is calculated daily and deducted from the product
at market close. If you trade out before the end of the day no
Gap Premium is paid.
To illustrate how this works, let’s assume that you bought a
Daily Long 5 on Tuesday and the FTSE 100 TR had closed on
the Monday at a level of 5,000. If on Tuesday, by 11:00 am,
the FTSE 100 TR had dropped 15% this would translate into
a 75% loss on the FTSE 100 DL5 Index, leaving it at a level of
5,500. At this point the Index is reset and the performance of
An illustration of the Air Bag mechanism on the FTSE 100 DL5 Index
26,400
Index Level
22,000
FTSE 100 DL5 Index
17,600
FTSE 100 DL5 Index without the Air Bag
13,200
8,800
4,400
4,125
0.0
5,500
0
-4,400
-8,800
Market open
11:00am
Source Societe Generale. For illustrative purposes only.
Time
4:00pm
LEVEL OF THE
FTSE 100 TR
% CHANGE IN
THE FTSE 100 TR
FROM PREVIOUS
CLOSE
% CHANGE
IN THE
FTSE 100 DL5
LEVEL OF THE
FtsE 100 DL5
LEVEL OF THE
FTSE 100 DL5
(NO AIR BAG)
Market CLOSE DAY 1:
5,000
0%
0%
22,000
22,000
MARKET OPEN DAY 2:
5,000
0%
0%
22,000
22,000
11:00 AM
4,250
-15%
-75%
5,500
5,500
4:00 PM
4,037.5
-5%
-25%
4,125
0
10 16
TRADING DAILY LEVERAGE PRODUCTS
One of the key points about Daily Leverage Products, and any
other Listed Product for that matter, is that you are buying an
actual investment product. That product is listed with live pricing
publicly available on the LSE and trades in a similar way to a
share in your existing stockbroker account, ISA or SIPP. This
means that you are seeing the same price as any other investor,
whether they are a private trader, or a financial institution. It also
gives you the flexibility to buy or sell at any time during LSE
market hours (8:00am to 4.30pm).
Highly regulated trading
Gap Premium is also incurred by investors wishing to hold
their position over night. It is calculated daily according
to the prevailing level of volatility, and displayed on the
product pages of each Daily Leverage Product at www.
sglistedproducts.co.uk. Gap Premium is essentially a form of
insurance that is embedded in the price of the product to limit
your risk from extreme market movements overnight. Without
the Gap Premium, if the FTSE 100 TR was to open more
than 20% against you, you could lose more than your initial
investment as the product would lose more than 100% of its
value. If you trade intra-day no Gap Premium is paid.
Transparency and flexibility are not the only benefits to trading
an LSE listed product. These products are also governed by
the rules of the LSE, which include:
„„Live prices must be provided throughout the Trading Day in
normal market conditions on the LSE. All investors see the
same price
„„Minimum tradable volumes to ensure liquidity
„„Maximum Bid (the price at which you can sell) / Ask (the
price at which you buy) spread of 2 pence or 10% of
the Ask price to ensure that trading costs are kept to a
minimum. At Societe Generale we aim to maintain the
spread of the Underlying Asset to keep costs to a minimum
The impact of Costs & Fees
Over time the combined cost of the Commission and Gap
Premium will affect the relationship between a change in price
of the Underlying Index, and the resulting change in the Daily
Leverage Product. We call this relationship the ‘Ratio’. When
a new Daily Leverage Product is launched the Ratio is one.
However, over time the Gap Premium and Commission will
together erode the value of the product. This combined with
a fall in value of the Underlying Index can lead to a scenario
where the Commission and Gap Premium account for more
than 20% of the value of the Daily Leverage Product. In
this scenario the Daily Leverage Product will not effectively
replicate the performance of the Underlying Index. Should this
occur, Societe Generale will adjust the Ratio to ensure that the
Daily Leverage Product can maintain the same performance
as the Underlying Index.
The result of this double layer of regulation by the FCA and the
LSE is that you can trade more confidently, knowing that you
are buying and selling a real investment product, which must
comply to strict trading standards set to protect the interests
of investors, and ensure robust, consistent and sustainable
trading conditions.
Trading Costs & Fees
Investors trading in and out of a Daily Leverage Product in
the same day will simply pay a dealing commission to their
broker, and a small spread on the Bid & Ask prices, i.e. a
small difference between the price at which you could buy the `Ask’ price, and the price at which you could sell - the `Bid’
price.
However, Investors who wish to hold their position over night
will incur a Commission of 0.50% per year in the same way
as they would in a fund. The Commission is charged daily
and taken from the value of the product at a pro-rated rate of
0.0013% per day.
11 16
FREQUENTLY ASKED QUESTIONS
Who are Daily Leverage Products suited to?
How are the leveraged returns created?
Daily Leverage Products are designed for the sophisticated
investor who is looking for the potential to make enhanced
returns from the daily movement of the FTSE 100 TR.
Daily Leverage Products carry a high degree of risk and
it is important to fully understand your exposure to risk
before investing. See page 13 for more information. Prior to
trading you will need to complete a Complex Instruments
Appropriateness Assessment.
Daily Leverage Products are linked to the performance of
the X5 Daily Leveraged RT FTSE 100 TR Index series (Daily
Leveraged Indices). These Daily Leveraged Indices aim to
multiply the daily performance of the FTSE 100 TR Index by
a factor of 5. As Total Return Indices, corporate actions and
dividends are reflected in the Daily Leveraged Index as they
occur and as they are captured in the FTSE 100 TR Index. The
X5 Daily Leveraged RT FTSE 100 Net TR Index used in the
Daily Long 5 is a Net Return Index, which means that dividends
are re-invested in the Index minus any withholding tax. The X5
Daily Short Strategy RT FTSE 100 Gross TR Index used in the
Daily Short 5s is a Gross Return Index. This means that the
Index capitalises the dividend.
How might I use Daily Leverage Products?
Daily Leverage Products can compliment a portfolio by
offering enhanced returns over a shorter time frame. You can
take advantage of daily market news and in light of expected
economic events. Provided that the markets go the right way
for you, these magnified returns can be an effective way to
boost the overall return of your portfolio. The capital required
is also significantly reduced as the same exposure is achieved
without the need for the full pound-for-pound investment,
possibly freeing up funds for other assets to be added to the
portfolio.
How can I trade Daily Leverage Products?
The Daily Leverage Product range, like all our listed products,
is listed on the LSE and can be traded like a share through a
stockbroker in a regular dealing account, ISA or SIPP. Societe
Generale are acting as market maker through Societe Generale
Option Europe and provide investors with a price for each Daily
Leverage Product (a bid/offer spread) during LSE market hours,
between (8:00am to 4.30pm).
What is the FTSE 100 TR?
This index comprises the 100 most highly capitalised blue
chip companies, representing approximately 81% of the UK
market. The FTSE 100 TR Index is different to the better known
FTSE 100 Index and has a separate value. This is because the
FTSE 100 Index is a price return index which does not include
dividends in the performance of the index. The FTSE 100 TR
however is a Total Return Index, and as such, dividends are
automatically re-invested in the FTSE 100 TR. The Bloomberg
code for the FTSE 100 TR is TUKXG.
5 year performance of the FTSE 100 TR Vs the FTSE 100
7000
FTSE 100
Where can I access product prices?
You can access live prices from your UK stockbroker, the LSE,
or the Societe Generale website www.sglistedproducts.co.uk.
Societe Generale Option Europe, in conjunction with the LSE,
displays prices in Pounds and not in Pence.
Is my invested capital at risk?
Your invested capital is fully at risk. Before trading you should
ensure that you understand the nature of Daily Leverage
Products and the extent of your exposure to risk.
What is the tax treatment?
FTSE 100 TR
6000
Investments made outside of a tax efficient wrapper will be
subject to Capital Gains Tax*. Unlike a UK share purchase, you
will not be charged the 0.5% Stamp Duty usually incurred*.
5000
What happens at Maturity?
Daily Leverage Products have a limited life, and will expire at
Maturity. At Maturity the final redemption value of the Daily
Leverage Product is calculated and automatically paid to
investors. The calculation for the final redemption value is as
follows: (Final Index Value / Parity) minus Costs & Fees.
4000
3000
2000
06/11/2009 06/11/2010 06/11/2011 06/11/2012 06/11/2013 06/11/2014
Source: Bloomberg November 7th, 2014. Past performance is not a
reliable indicator of future returns.
Do I face counterparty risk?
Yes, these products are issued by Societe Generale
Acceptance, a member of the Societe Generale group of
companies. Any failure of Societe Generale Acceptance to
perform obligations when due may result in the loss of all or
part of an investment.
*Any statement in relation to tax, where made, is generic and non-exhaustive and 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 practice and the interpretation and application thereof, which changes
could be made with retroactive effect. Any such statement must not be construed as tax advice and must not be relied upon. The tax treatment of
investments will, inter alia, depend on an individual’s circumstances. Investors must consult with an appropriate professional tax adviser to ascertain
for themselves the taxation consequences of acquiring, holding and/or disposing of any investments mentioned in this document.
12 16
WHAT RISKS SHOULD I BE AWARE OF?
Capital at Risk
Underlying Risk
Capital is fully at risk, we recommend that you consult your
independent professional advisor before investing.
The value of the product will depend on the value of the X5
Daily Leveraged RT FTSE 100 TR Index series, which are
linked to the FTSE 100 TR. The FTSE 100 TR can be volatile
and may move in the opposite direction to that which you
anticipated.
Leveraged returns
Leveraged returns are a major advantage of Daily Leverage
Products but can also work against you. You should be aware
that, if the FTSE 100 TR moves in the opposite direction to
that which you anticipated, the losses incurred by the Daily
Leverage Product will be greater in percentage terms than
those incurred by a direct investment in the FTSE 100 TR
itself. The price of a Daily Leverage Product can therefore
be volatile.
Counterparty Risk
Daily Leverage Products are issued by Societe Generale
Acceptance, a member of the SOCIETE GENERALE group of
companies. At any point during the life of the investment, any
failure of Societe Generale Acceptance to perform obligations
when due may result in the loss of all or part of an investment.
Investors should note that holdings in these products will
not be covered by the provisions of the Financial Services
Compensation Scheme, nor by any similar scheme.
Compound returns
As the product is reset on a daily basis, your capital could
erode very quickly following a continued succession of
positive (Daily Short 5) or negative (Daily Long 5) performance
of the FTSE 100 TR (See the compounded daily return section
on page 9 for further information about this risk factor).
Liquidity Risk
Societe Generale is the only market-maker and therefore the
only liquidity provider for these products. Liquidity will only be
available in normal market conditions. You can find out more
about the risks of trading Listed Products on the Secondary
Market below.
SECONDARY MARKET
„„The Underlying is suspended or not tradable
Societe Generale is the only market-maker, and therefore
the only liquidity provider for Daily Leverage Products. This
means we are governed by LSE rules to buy back and sell
our products at the prevailing market price between (8:00am
to 4.30pm). By investing in a Daily Leverage Product you can
be assured that Societe Generale will buy back your product
at any time during market hours. However, during abnormal
market conditions, there is no guarantee that liquidity or live
prices will be available on the secondary market. Instances of
abnormal market conditions include:
„„There is a period of extreme volatility in any of the
Underlying Asset Classes
„„There is a failure in the LSE or Societe Generale systems.
This means that you may find it difficult or impossible in certain
circumstances to sell the Daily Leverage Product or may be
offered a price less than you paid for it.
13 16
Societe Generale LISTED PRODUCTS
About Societe Generale Listed Products
Societe Generale Corporate and Investment Bank, the investment
banking division of Societe Generale, is the world’s largest listed
products issuer by volume, with more than a 25 year track record
of providing an outstanding trading service. With more than 750
products listed on the LSE, Societe Generale has the depth of
product offering to help virtually any kind of investor to meet their
investment objectives.
Tracking Products
The aim of Tracking Products (Lyxor ETFs and SG ETNs) is
simple: to replicate as closely as possible the performance of an
index, a selection of stocks or a physical commodity. This is a
straightforward unleveraged exposure. These products enable
you to diversify a portfolio in one single trade and gain exposure
to markets potentially difficult to enter.
Structured Products
Structured Products (Synthetic Zeros, Autocalls, Twin Wins...)
provide an innovative, dynamic and flexible range of products
designed to fit your market view. Structured Products enable you
to access to a wide range of Underlying Assets with the benefit
of some capital protection, and a fixed or an enhanced payout
profile. Structured Products are listed and actively traded on the
LSE with continuous quoted bid-offer prices provided by Societe
Generale under normal market conditions.
Leverage Products
In addition to the Daily Leverage Product range, Societe Generale
offer Covered Warrants, Infinite Turbos and Turbos, which offer
leveraged performance over different time frames and directions.
Find out more at www.sglistedproducts.co.uk
Recent Awards
Best in the UK
Structured Products
Europe Awards 2013
Best Structured Products &
Warrants 2013
14 16
Covered Warrants
Provider of the year
Investors Chronicle
Important Information
This communication is directed at professional clients
and sophisticated retail clients in the UK.
This document is issued in the U.K. by the London Branch of
Societe Generale. Societe Generale is a French credit institution
(bank) authorised by the Autorité de Contrôle Prudentiel et
de Résolution (the French Prudential Control and Resolution
Authority) and the Prudential Regulation Authority and subject
to limited regulation by the Financial Conduct Authority and
Prudential Regulation Authority. Details about the extent of
our authorisation and regulation by the Prudential Regulation
Authority, and regulation by the Financial Conduct Authority are
available from us on request.
Although information contained herein is from sources believed
to be reliable, Societe Generale makes no representation
or warranty regarding the accuracy of any information. Any
reproduction, disclosure or dissemination of these materials
is prohibited.
The products described within this document 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.
Prior to any investment in this product, investors should make
their own appraisal of the risks from a financial, legal and tax
perspective, without relying exclusively on the information
provided by us, both in this document and the Final Terms of
the product available on the website www.sglistedproducts.
co.uk. We recommend that you consult your own independent
professional advisers.
Any statement in relation to tax, where made, is generic and
non-exhaustive and 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 practice and the
interpretation and application thereof, which changes could
be made with retroactive effect. Any such statement must
not be construed as tax advice and must not be relied upon.
The tax treatment of investments will, inter alia, depend on
an individual’s circumstances. Investors must consult with an
appropriate professional tax adviser to ascertain for themselves
the taxation consequences of acquiring, holding and/or
disposing of any investments mentioned in this document.
For more information: see the Terms and Conditions available
on our website www.sglistedproducts.co.uk
Index Disclaimer
All rights in the Index vest in FTSE International Limited (“FTSE”).
“FTSE®” is a trade mark of the London Stock Exchange Group
companies and is used by FTSE under licence.
This product (the “Product”) has been developed solely by
Societe Generale. The Index is calculated by FTSE or its agent.
FTSE and its licensors are not connected to and do
not sponsor, advise, recommend, endorse or promote the
Product and do not accept any liability whatsoever to any
person arising out of (a) the use of, reliance on or any error in
the Index or (b) investment in or operation of the Product.
FTSE makes no claim, prediction, warranty or representation
either as to the results to be obtained from the Product or the
suitability of the Index for the purpose to which it is being put
by Societe Generale.
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 the
country where the Issuer is domiciled.
The securities can be neither offered in nor transferred to the
United States.
15 16
CONTACT
For further information on the range of SG Listed Products, go to www.sglistedproducts.co.uk
Alternatively, call the Freephone line 0800 328 1199 or email [email protected]
Telephone calls may be recorded and/or monitored for training and quality purposes.