Draft/Linklaters/11 August 2004

Final Terms dated 28 November 2007
CAISSE NATIONALE DES CAISSES D’EPARGNE ET DE PREVOYANCE
Euro 30,000,000,000
Euro Medium Term Note Programme
for the issue of Notes
Due from one month from the date of original issue
SERIES NO: 506
TRANCHE NO: 1
Euro 6,000,000 Lock-In Dow Jones Euro Stoxx 50® Index and Nikkei 225 Index Linked Notes
due November 2017
J.P. Morgan Securities Ltd.
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1
PART A – CONTRACTUAL TERMS
Terms used herein shall be deemed to be defined as such for the purposes of the Conditions set forth in
the Base Prospectus dated 30 July 2007 and the Base Prospectus Supplements dated 18 September
2007, 16 October 2007 and 8 November 2007, which constitutes a base prospectus for the purposes of
the Prospectus Directive (Directive 2003/71/EC) (the “Prospectus Directive”). This document
constitutes the Final Terms of the Notes described herein for the purposes of Article 5.4 of the
Prospectus Directive and must be read in conjunction with such Base Prospectus. Full information on
the Issuer and the offer of the Notes is only available on the basis of the combination of these Final
Terms and the Base Prospectus. The Base Prospectus is available for viewing at the office of the Fiscal
Agent or each of the Paying Agents and on the website of the regulated market where the admission to
trading is sought and copies may be obtained from Caisse Nationale des Caisses d’Epargne et de
Prevoyance, 50, avenue Pierre Mendès France - 75201 Paris Cedex 13, France.
1
Issuer:
Caisse Nationale des Caisses d’Epargne et
de Prévoyance
2
(i)
Series Number:
506
(ii)
Tranche Number:
1
3
Specified Currency or Currencies:
4
Aggregate Nominal Amount:
Euro (“€”)
(i)
Series:
€6,000,000
(ii)
Tranche:
€6,000,000
5
Issue Price:
100 per cent. of the Aggregate Nominal
Amount
6
Specified Denomination(s):
€100,000
7
(i)
Issue Date:
30 November 2007
(ii)
Interest Commencement Date
30 November 2007
8
Maturity Date:
The Annual Coupon Payment Date (as
defined in paragraph 1 of Part I of the Annex
hereto) falling on, or nearest to, 30
November 2017
9
Interest Basis:
Index Linked Interest
(further particulars specified below)
10
Redemption/Payment Basis:
Index Linked Redemption
(further particulars specified below)
11
Change of Interest or Redemption/Payment Basis:
Not Applicable
12
Put/Call Options:
Not Applicable
13
(i)
Status of the Notes:
The Notes constituting
Unsubordinated Notes
(ii)
Dates of the corporate authorisations for
issuance of the Notes:
Decisions of the Directoire of the Issuer
dated 12 March 2007 and 11 June 2007 and
the Decision of M. Julien CARMONA,
Member of the Directoire, dated 13
November 2007..
14
Method of distribution:
Non-syndicated
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obligations, are
PROVISIONS RELATING TO INTEREST (IF ANY) PAYABLE
15
Fixed Rate Note Provisions
Not Applicable
16
Floating Rate Provisions
Not Applicable
17
Zero Coupon Note Provisions
Not Applicable
18
Index-Linked Interest Note Provisions
Applicable. See Part I of the Annex hereto
(i) Index
The Indices as defined in paragraph 3
(Definitions) of Part I of the Annex hereto.
(ii) Calculation Agent responsible for calculating
the interest due:
J.P. Morgan Securities Ltd.
125 London Wall
London EC2Y 5AJ
United Kingdom
(iii) Provisions for determining Coupon where
calculated by reference to Index:
See the provisions of paragraph 1 of Part I of
the Annex hereto
(iv) Interest Period(s):
Not Applicable
(v) Provisions for determining Coupon where
calculation by reference to Index and/or
Formula and/or other variable is impossible or
impracticable or otherwise disrupted:
See the provisions of paragraphs 4 and 5 of
Part I of the Annex hereto
(vi) Interest or calculation period(s):
Not Applicable
(vii) Specified Interest Payment Dates:
As set out in paragraph 1 of Part I of the
Annex hereto (“Annual Coupon Payment
Date”) subject to the provisions of paragraph
4 of Part I of the Annex hereto.
(viii) Business Day Convention:
Modified Following
(ix) Business Centre(s):
TARGET, New York and London
(x) Minimum Rate of Interest:
Zero per cent. per annum
(xi) Maximum Rate of Interest:
8.00 per cent. per annum
(xii) Day Count Fraction (Condition 5(a)):
Actual/Actual – ICMA
Dual Currency Note Provisions
Not Applicable
19
PROVISIONS RELATING TO REDEMPTION
20
Call Option
Not Applicable
21
Put Option
Not Applicable
22
Final Redemption Amount of each Note
The Final Redemption Amount in respect of
each Note shall be Index-Linked and
determined in accordance with the
provisions set out in paragraph 2 of Part I of
the Annex hereto.
(i) Index/Formula/variable:
See the provisions set out in paragraph 2 of
Part I of the Annex hereto.
(ii) Calculation Agent responsible for calculating
the Final Redemption Amount:
J.P. Morgan Securities Ltd.
125 London Wall
London EC2Y 5AJ
United Kingdom
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(iii) Provisions for determining Final Redemption
Amount where calculated by reference to
Index and/or Formula and/or other variable:
(iv) Determination Dates:
23
See the provisions set out in paragraph 2 of
Part I of the Annex hereto.
The Valuation Dates as defined in paragraph
3 of Part I of the Annex hereto.
(v) Provisions for determining Final Redemption
Amount where calculation by reference to
Index and/or formula and/or other variable is
impossible or impracticable or otherwise
disputed:
See the provisions set out in paragraph 2 of
Part I of the Annex hereto.
(vi) Payment Date:
Maturity Date.
(vii) Minimum Nominal to be redeemed:
Not Applicable
(viii) Maximum Nominal to be redeemed:
The Specified Denomination of each Note
Early Redemption Amount
Early Redemption Amount(s) of each Note
payable on redemption for taxation reasons
(Condition 6(f)), for illegality (Condition 6(j)) or
an event of default (Condition 9) or other
early redemption and/or the method of
calculating the same (if required or if different
from that set out in the Conditions):
An amount in Euro (rounded to the nearest
two decimal places, 0.005 being rounded
downwards) determined by the Calculation
Agent as being the amount that would on the
relevant date set for redemption have the
effect of preserving for the Noteholders the
economic equivalent of the obligation of the
Issuer to make the payment of the nominal
amount of each Note on the Maturity Date,
including for the avoidance of doubt, any
amount corresponding to accrued interest.
(ii)
Redemption for taxation reasons permitted
on days others than Interest Payment Dates
(Condition 6(f)):
Redemption for taxation reasons is permitted
at any time, subject to the provisions of
Condition 6(f).
(iii)
Unmatured Coupons to become void upon
early redemption (Materialised Bearer Notes
only) (Condition 7(f)):
Not Applicable
(i)
GENERAL PROVISIONS APPLICABLE TO THE NOTES
24
Form of Notes:
Dematerialised Notes
(i)
Form of Dematerialised Notes:
Bearer dematerialised form (au porteur)
(ii)
Registration Agent:
Not Applicable
(iii)
Temporary Global Certificate:
Not Applicable
(iv)
Applicable TEFRA exemption:
Not Applicable
25
Financial Centre(s) or other special provisions
relating to payment dates:
TARGET, New York and London
26
Talons for future Coupons or Receipts to be
attached to Definitive Notes (and dates on which
such Talons mature):
Not Applicable
27
Details relating to Partly Paid Notes: amount of
each payment comprising the Issue Price and date
on which each payment is to be made and
Not Applicable
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consequences (if any) of failure to pay:
28
Details relating to Instalment Notes: amount of
each instalment, date on which each payment is to
be made:
Not Applicable
29
Redenomination, renominalisation and
reconventioning provisions:
Not Applicable
30
Consolidation provisions:
Not Applicable
31
Masse:
Applicable
The initial Representative will be:
MURACEF
5, rue Masseran, 75007 Paris, France
Represented by its Directeur Général
The alternative Representative will be:
Mr Hervé-Bernard VALLEE
5, rue Masseran, 75007 Paris, France
The representative will not be entitled to any
remuneration
32
Other final terms:
Not Applicable
DISTRIBUTION
33
(i)
If syndicated, names of Managers:
Not Applicable
(ii)
Stabilising Manager (if any):
Not Applicable
(iii)
Dealer’s Commission:
Not Applicable
34
If non-syndicated, name and address of Dealer:
J.P. Morgan Securities Ltd.
125 London Wall
London EC2Y 5AJ
United Kingdom
35
Additional selling restrictions:
Not Applicable
GENERAL
36
The aggregate principal amount of Notes issued
has been translated into Euro at the rate of [●]
producing a sum of:
Not Applicable
PURPOSE OF FINAL TERMS
These Final Terms comprise the final terms required for issue and admission to trading on the
Luxembourg Stock Exchange’s regulated market of the Notes described herein pursuant to the Euro
30,000,000,000 Euro Medium term Note Programme of Caisse Nationale des Caisses d’Epargne et de
Prévoyance.
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PART B – OTHER INFORMATION
1
RISK FACTORS
As set out under “RISK FACTORS - RISKS RELATED TO THE NOTES - 2. Risks related
to the structure of a particular Issue of Notes - Index Linked Notes” in the Base Prospectus.
2
3
LISTING AND ADMISSION TO TRADING
(i)
Admission to trading:
Application has been made by the Issuer (or
on its behalf) for the Notes to be admitted to
trading on the regulated market of the
Luxembourg Stock Exchange with effect from
the Issue Date (30 November 2007)
(ii)
Estimate of total expenses related
to admission to trading:
€ 3,550
RATINGS
Ratings:
The Notes to be issued will not be rated.
4
NOTIFICATION
Not Applicable
5
INTERESTS OF NATURAL AND LEGAL PERSONS INVOLVED IN THE ISSUE
So far as the Issuer is aware, no person involved in the offer of the Notes has an interest
material to the offer.
6
REASONS FOR THE OFFER, ESTIMATED NET PROCEEDS AND TOTAL EXPENSES
(i)
Reasons for the offer:
The net proceeds of the issue will be used for
the Issuer’s general corporate business
(ii)
Estimated net proceeds:
€6,000,000
(iii)
Estimated total expenses
Admission fee € 400
Maintenance fee € 3,150
Indices licence fees € 27,174.33
7
PERFORMANCE OF INDEX/FORMULA/OTHER VARIABLE, EXPLANATION OF
EFFECT ON VALUE OF INVESTMENT AND ASSOCIATED RISKS AND OTHER
INFORMATION CONCERNING THE UNDERLYING
See Paragraph 1 (RISK FACTORS) above of this Part B and Part II of the Annex hereto
In addition:
-
the terms of the Notes provide that interest (if any, equal to the Coupon Amount)
payable on the Notes will be dependent upon the performance of the Index; and
-
the terms of the Notes also provide that the Final Redemption Amount will be
dependent upon the performance of the Index and the Final Redemption Amount of
each Note may, in certain circumstances, be less than its nominal amount (as
described at paragraph 2(c) of Part I of the Annex hereto).
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6
8
OPERATIONAL INFORMATION
ISIN Code:
FR0010546556
Common Code:
033180403
Depositaries:
(i)
Euroclear France to act as Central
Depositary
Yes
(ii)
Common Depositary for Euroclear
and Clearstream Luxembourg
No
Any clearing system(s) other than
Euroclear and Clearstream, Luxembourg
and the relevant identification number(s):
Not Applicable
Delivery:
Delivery free of payment
Names and addresses
Paying Agent(s) (if any):
of
additional
Not Applicable
RESPONSIBILITY
The Issuer accepts responsibility for the information contained in these Final Terms. The information
relating to (i) the Dow Jones Euro Stoxx 50® Index in Part II of the Annex hereto and (ii) the Nikkei 225
Index in Part III of the Annex hereto, in each case, has been derived from publicly available sources. The
Issuer confirms that such information has been accurately reproduced and that, so far as it is aware, and
is able to ascertain from information published by publicly available sources, no facts have been omitted
which would render such reproduced information inaccurate or misleading.
Signed on behalf of Caisse Nationale des Caisses d’Epargne et de Prévoyance:
Duly represented by:
Roland CHARBONNEL
Director Liquidity and Capital Management
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Annex
(This Annex forms part of the Final Terms to which it is attached)
PART I
1
Annual Coupon
For the purposes of paragraph 18 of Part A of these Final Terms and with respect to the Annual
Coupon Payment Date relating to each Coupon (“Coupont”) and the corresponding Valuation Date,
each set out in the table below:
(a)
On each of the Annual Coupon Payment Dates relating to Coupon1 and Coupon2, the Issuer
shall pay in respect of each Specified Denomination of Notes the Higher Coupon Amount (as
defined in paragraph 3 below);
(b)
On each Annual Coupon Payment Date relating to Coupon3 (inclusive) to Coupon10
(inclusive):
(i)
if the Valuation Date corresponding to any Annual Coupon Payment Date is the Lock-In
Event Date (as defined in paragraph 3 below), the Issuer shall pay in respect of each
Specified Denomination of Notes the Lower Coupon Amount (as defined in paragraph 3
below) on such Annual Coupon Payment Date and on each following Annual Coupon
Payment Date;
(ii)
If a Lock-In Event has not occurred on or prior to the Valuation Date corresponding to
any Annual Coupon Payment Date, but a Barrier Level Event (as defined in paragraph 3
below) has occurred on such Valuation Date, the Issuer shall pay in respect of each
Specified Denomination of Notes the Lower Coupon Amount (as defined in paragraph 3
below) on such Annual Coupon Payment Date; and
(iii) If neither a Lock-In Event has occurred on or prior to the Valuation date corresponding
to any Annual Coupon Payment Date nor a Barrier Level Event has occurred on such
Valuation Date, then no coupon amount in respect of any Notes shall be payable by the
Issuer on such Annual Coupon Payment Date.
Upon no coupon amount being payable on an Annual Coupon Payment Date pursuant to this
paragraph 1, the Issuer will notify the Paying Agents and the Noteholders thereof as soon as
practicable after the Valuation Date immediately prior to such Annual Coupon Payment Date.
The Annual Coupon Payment Dates with respect to each Coupont and the corresponding Valuation
Date shall be as follows subject, in the case of each Annual Coupon Payment Date and each
Valuation Date, to adjustment in accordance with the Business Day Convention specified in
paragraph 18(viii) of Part A – Contractual Terms of these Final Terms and, in the case of each
Valuation Date, the provisions of the definition of “Valuation Date” below:
Coupont
Valuation Date
Annual Coupon Payment Date
Coupon1
Not Applicable
2 December 2008
Coupon2
Not Applicable
2 December 2009
Coupon3
15 November 2010
2 December 2010
Coupon4
14 November 2011
1 December 2011
Coupon5
13 November 2012
30 November 2012
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Coupon6
13 November 2013
2 December 2013
Coupon7
13 November 2014
2 December 2014
Coupon8
13 November 2015
2 December 2015
Coupon9
14 November 2016
1 December 2016
Coupon10
13 November 2017
30 November 2017
For the avoidance of doubt, the Coupon Amount, if any, payable on any Annual Coupon Payment
Date shall not be adjusted in the event of any adjustment to such Annual Coupon Payment Date as
set out in the table above as a result of any Business Day Convention adjustment.
2
Final Redemption
For the purposes of paragraph 22 of Part A of these Final Terms, the Final Redemption Amount in
respect of each Specified Denomination of Note shall be either the relevant amount as set out in (a)
or (b) below or, as the case may be, an amount in euro as determined by the Calculation Agent in
accordance with the formula set out at (c) below. The Final Redemption Amount shall be notified by
the Calculation Agent to the Issuer and the Paying Agents on, or as soon as practicable after, the
Final Valuation Date.
(a)
If a Lock-In Event has occurred on or prior to the Final Valuation Date, the Final Redemption
Amount in respect of each Specified Denomination of Note shall be €100,000 (being, 100 per
cent. of such Specified Denomination).
(b)
If no Lock-In Event has occurred on or prior to the Final Valuation Date but a Barrier Level
Event has occurred on the Final Valuation Date, the Final Redemption Amount in respect of
each Specified Denomination of Note shall be €100,000 (being, 100 per cent. of the Specified
Denomination).
(c)
If neither a Lock-In Event has occurred on or prior to, nor a Barrier Level Event has occurred
on, the Final Valuation Date, the Final Redemption Amount in respect of each Specified
Denomination of Note shall be an amount, in euro, calculated in accordance with the following
formula (rounded to the nearest two decimal places, 0.005 being rounded downwards):
⎡ SX5E FINAL NKY FINAL ⎤
DN * Minimum ⎢
,
⎥
⎣ SX5E INITIAL NKY INITIAL ⎦
where:
“DN” means the Specified Denomination of each Note;
“NKYFINAL” means the Official Closing Level of the NKY Index on the Final
Valuation Date;
“NKYINITIAL” means the NKY Strike Level (as defined in paragraph 3 below);
“SX5EFINAL” means the Official Closing Level of the SX5E Index on the Final
Valuation Date; and
“SX5EINITIAL” means the SX5E Strike Level (as defined in paragraph 3 below).
3
Definitions
“Barrier Level Event” means, with respect to any Valuation Date, on such date:
(i) the Official Closing Level of the SX5E Index is greater than or equal to the SX5E Barrier Level;
and
(ii) the Official Closing Level of the NKY Index is greater than or equal to the NKY Barrier Level.
“Calculation Agent” means J.P. Morgan Securities Ltd.;
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“Coupon Amount” means the Higher Coupon Amount or the Lower Coupon Amount, as
applicable, in accordance with the provisions of paragraph 1 above;
“Disrupted Day” means, in respect of any Index, any Scheduled Trading Day on which (a) the
relevant Sponsor fails to publish the level of such Index, (b) any Related Exchange fails to open for
trading during its regular trading session or (c) a Market Disruption Event has occurred;
“Early Closure” means the closure on any Exchange Business Day of any relevant Exchange or
any Related Exchange prior to its Scheduled Closing Time unless such earlier closing is announced
by such Exchange or Related Exchange, as the case may be, at least one hour prior to the earlier
of (a) the actual closing time for the regular trading session on such Exchange or Related
Exchange, as the case may be, on such Exchange Business Day and (b) the submission deadline
for orders to be entered into the relevant Exchange or Related Exchange system for execution at
the relevant Valuation Time on such Exchange Business Day;
“Exchange” means, in respect of any Index and in respect of any securities comprised in such
Index, the stock exchange(s) (from time to time) on which, in the determination of the relevant
Sponsor for the purposes of such Index, the securities relevant to such Index are principally listed;
“Exchange Business Day” means, in respect of any Index, any Scheduled Trading Day on which
(a) the relevant Sponsor publishes the level of such Index and (b) each relevant Exchange and
Related Exchange are open for trading during their respective regular trading sessions,
notwithstanding any such Exchange or Related Exchange closing prior to its Scheduled Closing
Time;
“Exchange Disruption” means, in respect of any Index, any event (other than an Early Closure)
that disrupts or impairs (as determined by the Calculation Agent) the ability of market participants in
general to effect transactions in, or obtain market values for (a) any security comprised in the such
Index on any relevant Exchange or (b) futures or options contracts relating to such Index on any
relevant Related Exchange;
“Final Valuation Date” means, subject to the provisions of the definition of “Valuation Date”, 13
November 2017;
“Higher Coupon Amount” means, in respect of each Specified Denomination of Note, €8,000
corresponding to an interest rate of 8.00 per cent. per annum applied to such Specified
Denomination;
“Index” means the SX5E Index or the NKY Index, as applicable;
“Indices” means the SX5E Index and the NKY Index;
“Market Disruption Event” means, in respect of any Index, the occurrence or existence during the
one hour period that ends at the relevant Valuation Time on any Scheduled Trading Day of (i) a
Trading Disruption or (ii) an Exchange Disruption or (iii) an Early Closure which in each case the
Calculation Agent determines is material provided that the securities comprised in such Index in
respect of which an Early Closure, Exchange Disruption and/or Trading Disruption occurs or exists
amount, in the determination of the Calculation Agent, in aggregate to at least 20 per cent. of the
level of such Index.
For the purpose of determining whether a Market Disruption Event occurs or exists at any time in
relation to an Index or in respect of a security comprised therein, if an event giving rise to a Market
Disruption Event occurs in respect of a security included in such Index at such time, then the
relevant percentage contribution of that security to the level of such Index shall be based on a
comparison of (i) the portion of the level of such Index attributable to that security and (ii) the overall
level of such Index, in each case using the official opening weightings as published by the Sponsor
A08611723
10
as part of the market "opening data" immediately before the occurrence of such Market Disruption
Event;
“Lock-in Event” means, with respect to any Valuation Date, on such date:
(i) the Official Closing Level of the SX5E Index is greater than or equal to the SX5E Index Lock-In
Level; and
(ii) the Official Closing Level of the NKY Index is greater than or equal to the NKY Index Lock-In
Level;
“Lock-In Event Date” means, if any, the first Valuation Date on which a Lock-In Event occurs;
“Lower Coupon Amount” means, in respect of each Specified Denomination of Note, €7,000
corresponding to an interest rate of 7.00 per cent. per annum applied to such Specified
Denomination;
“NKY Barrier Level” means 9,299.74, being 60 per cent. of the NKY Strike Level rounded to the
second decimal place with 0.005 being rounded upwards;
“NKY Index” means the Nikkei 225 Index (Bloomberg Code: “NKY Index”);
“NKY Lock-In Level” means the NKY Strike Level;
“NKY Related Exchange” means the Osaka Securities Exchange, any successor to such
exchange or quotation system or any substitute exchange or quotation system to which trading in
futures or options contracts relating to the NKY Index or the securities relating to the NKY Index has
temporarily relocated (provided that the Calculation Agent has determined that there is comparable
liquidity relative to the futures or options contracts relating to the NKY Index on such temporary
substitute exchange or quotation system as on the original Related Exchange);
“NKY Strike Date” means 14 November 2007;
“NKY Strike Level” means 15,499.56, being the Official Closing Level of the NKY Index on the
NKY Strike Date;
“Official Closing Level” means, in respect of an Index on any day, subject as provided in
paragraph 5 below, the official closing level of such Index as published by the relevant Sponsor on
such day as determined by the Calculation Agent;
“Related Exchange” means the SX5E Related Exchange or the NKY Related Exchange, as
applicable;
“Scheduled Closing Time” means, in respect of an Exchange or Related Exchange and a
Scheduled Trading Day, the scheduled weekday closing time of such Exchange or Related
Exchange on such Scheduled Trading Day, without regard to after hours or any other trading
outside of the regular trading session hours;
“Scheduled Trading Day” means, in respect of any Index, (a) any day on which the relevant
Sponsor is scheduled to publish the level of such Index and (b) any day on which each Related
Exchange is scheduled to be open for trading for its regular trading session;
“Scheduled Valuation Date” means any date that, but for the occurrence of an event causing a
Disrupted Day, would have been the relevant Valuation Date;
“Sponsor” means, in respect of any Index, the corporation or other entity that (a) is responsible for
setting and reviewing the rules and procedures and methods of calculations and adjustments, if any,
related to such Index and (b) announces directly or through an agent the level of such Index on a
regular basis during each Scheduled Trading Day, which as of the Issue Date is:
(i) STOXX Limited for the SX5E Index; and
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11
(ii) the Index Sponsor (as defined in Part II “Description of the Nikkei 225 Index” below) for the NKY
Index;
“SX5E Barrier Level” means 2,587.19, being 60 per cent. of the SX5E Strike Level rounded to the
second decimal place with 0.005 being rounded upwards;
“SX5E Lock-In Level” means the SX5E Strike Level;
“SX5E Index” means the Dow Jones EURO STOXX 50® Index (Bloomberg Code: “SX5E”);
“SX5E Related Exchange” means EUREX (a joint Swiss-German derivatives exchange), any
successor to such exchange or quotation system or any substitute exchange or quotation system to
which trading in futures or options contracts relating to the SX5E Index or the securities relating to
the SX5E Index has temporarily relocated (provided that the Calculation Agent has determined that
there is comparable liquidity relative to the futures or options contracts relating to the SX5E Index
on such temporary substitute exchange or quotation system as on the original Related Exchange);
“SX5E Strike Date” means 13 November 2007;
“SX5E Strike Level” means 4,311.98, being the Official Closing Level of the SX5E Index on the
SX5E Index Strike Date;
“TARGET Business Day” means a day on which the TARGET system is operating;
“Trading Disruption” means, in respect of any Index, any suspension of or limitation imposed on
trading by the relevant Exchange or Related Exchange, as the case may be, or otherwise and
whether by reason of movements in price exceeding limits permitted by the relevant Exchange or
Related Exchange or otherwise (a) relating to any security comprised in such Index on any relevant
Exchange or (b) in futures or options contracts relating to such Index on any relevant Related
Exchange;
“Valuation Date” means, in respect of each Index, each of the dates set out in the column headed
“Valuation Date” in the table set out in paragraph 1 above, provided that if any date is not a
Scheduled Trading Day, such date shall be the next following day which is a Scheduled Trading Day
and subject to adjustment in accordance with the Business Day Convention specified in paragraph
18(viii) of Part A – Contractual Terms of these Final Terms, unless, in the opinion of the Calculation
Agent, any such day is a Disrupted Day in which case the provisions of paragraph 4 below will
apply; and
“Valuation Time” means, in respect of any Index, the time with reference to which the Official
Closing Level of such Index is calculated and published by the relevant Sponsor.
4
Disrupted Days
If, in respect of any Index, the day which would otherwise be the relevant Valuation Date is a
Disrupted Day then the relevant Valuation Date shall be the first succeeding Scheduled Trading Day
that is not a Disrupted Day, unless each of the five Scheduled Trading Days immediately following
the relevant Scheduled Valuation Date is a Disrupted Day. In that case (a) that fifth Scheduled
Trading Day shall be deemed to be the relevant Valuation Date (notwithstanding the fact that such
day is a Disrupted Day) in respect of such Index and (b) the Calculation Agent shall determine the
level of such Index as of the Valuation Time on that fifth Scheduled Trading Day in accordance with
the formula for and method of calculating such Index last in effect prior to the occurrence of the first
Disrupted Day using the Exchange traded or quoted price as of the Valuation Time on that fifth
Scheduled Trading Day of each security comprised in such Index (or, if an event giving rise to a
Disrupted Day has occurred in respect of the relevant security on that fifth Scheduled Trading Day,
its good faith estimate of the value for the relevant security as of the Valuation Time on that fifth
Scheduled Trading Day); provided always that the relevant Valuation Date will not be later than the
third TARGET Business Day prior to the relevant Annual Coupon Payment Date and/or, as the case
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12
may be, the Maturity Date and if the fifth Scheduled Trading Day would be later than the third
TARGET Business Day prior to the relevant Annual Coupon Payment Date and/or, as the case may
be, the Maturity Date, references to the fifth Scheduled Trading Day shall be deemed to be such
third TARGET Business Day prior to the relevant Annual Coupon Payment Date and/or, as the case
may be, the Maturity Date.
The Calculation Agent shall, as soon as reasonably practicable, notify the Issuer of the existence or
occurrence of a Disrupted Day, in respect of any Index, on any day that but for the occurrence or
existence of a Disrupted Day would have been the relevant Valuation Date in respect of such Index.
Without limiting the obligation of the Calculation Agent to give notice to the Issuer as set forth in the
preceding sentence, failure by the Calculation Agent to notify the Issuer of the occurrence of a
Disrupted Day shall not affect the validity of the occurrence and effect of such Disrupted Day.
5
Adjustment to an Index
5.1
If an Index:
(a)
is not calculated and published by the relevant Sponsor but is calculated and
announced by a successor to such Sponsor acceptable to the Calculation Agent; or
(b)
is replaced by a successor index using, in the determination of the Calculation Agent,
the same or a substantially similar formula for and method of calculating such Index,
then, in each case, that index (the “Successor Index”) will be deemed to be relevant Index.
5.2
If, in respect of any Index:
(a)
on or prior to any Valuation Date or any other relevant date, the relevant Sponsor
announces that it will make a material change in the formula for or the method of
calculating such Index or in any other way materially modifies such Index (other than a
modification prescribed in that formula or method to maintain such Index in the event
of changes in constituent stock and capitalisation and other routine events) (an “Index
Modification”); or
(b)
on or prior to any Valuation Date, the relevant Sponsor permanently cancels such
Index and no Successor Index exists (an “Index Cancellation”); or
(c)
on any Valuation Date, the Sponsor fails to calculate and announce such Index (an
“Index Disruption” and, together with an Index Modification and an Index
Cancellation, each an “Index Adjustment Event”),
then the Calculation Agent shall in its sole and absolute discretion, determine if such Index
Adjustment Event is of a material nature and, if so, either (i) the Calculation Agent will
calculate the Official Closing Level using, in lieu of a published level for such Index, the level
for such Index as at the Valuation Time on the relevant Valuation Date as determined by the
Calculation Agent in accordance with the formula for and method of calculating such Index
last in effect prior to that change, failure or cancellation but using only those securities that
comprised such Index immediately prior to that Index Adjustment Event or (ii) the Calculation
Agent will substitute such Index with a replacement index using the same or a substantially
similar method of calculation as used in the calculation of such Index.
5.3
If the level of an Index in relation to any Valuation Date used or to be used by the Calculation
Agent to determine the relevant Interest Amount and/or, as the case may be, the Final
Redemption Amount is subsequently corrected and such correction is published by the
relevant Sponsor no later than the third TARGET Business Day prior to the relevant Annual
Coupon Payment Date and/or, as the case may be, Maturity Date and in any such case the
Calculation Agent has notified the Issuer within that time, then the level of such Index for the
relevant Valuation Date shall be the level of such Index as so corrected.
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5.4
6
The Calculation Agent shall, as soon as reasonably practicable under the circumstances,
notify the Issuer and the Paying Agent of any adjustment or determination made by it
pursuant to sub-paragraphs 5.1, 5.2 and/or 5.3 above and the Fiscal Agent shall, as soon as
reasonably practicable, notify the Noteholders of such information in accordance with
Condition 15 (Notices).
Calculations and Determinations
The Calculation Agent shall not have any obligation towards or any relationship of agency with the
Noteholders. All determinations made by the Calculation Agent in relation to the Notes shall (save in
the case of manifest error) be final and binding on the Issuer, the Paying Agents and the
Noteholders. None of the Issuer, the Paying Agent or the Calculation Agent shall have any
responsibility to any person for any errors or omissions in (a) the calculation by the Calculation
Agent of any amount due in respect of the Notes or (b) any determination made by the Calculation
Agent in relation to the Notes.
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PART II
1. DESCRIPTION OF THE DOW JONES EURO STOXX 50® INDEX
(for the purposes of this Part II of the Annex, the “Index”)
The material included in this Annex with respect to the Index is of limited scope and consists only of
extracts from, or summaries of, documents which are publicly available and assumed to be reliable.
However, this information is provided to prospective investors for their convenience only and none
of the Issuer, J.P. Morgan Securities Ltd. and any of its affiliates accepts any responsibility for the
accuracy or completeness of the information concerning the Index or for the occurrence of any
event which would affect the accuracy or completeness of such information. In deciding whether to
purchase any Notes, prospective investors should form their own view of the merits of investing in
any Notes based upon their own investigation, including consultation with their own professional
advisers as they may consider appropriate, and not in reliance upon the information in this Annex.
General
Deutsche Börse, Dow Jones and Co. Inc., SBF-Bourse de Paris and Schweizer Börse have
together founded a new company, named STOXX LIMITED (STOXX), and created a new family of
indices. They consist of four major indices and various sector and regional indices calculated for
Western Europe and the Euro zone.
The four major indices are:
Dow Jones STOXX®, the European broad index 1 (which duplicates the Dow Jones Global Indexes
Europe index);
Dow Jones STOXX 50®, the European blue-chip index (a 50-stock index derived from Dow Jones
STOXX®);
Dow Jones EURO STOXX®, the Euro broad 2 index (Dow Jones STOXX excluding those countries
not participating in European Economic and Monetary Union); and
Dow Jones EURO STOXX 50®, the Euro blue-chip index (a 50-stock index derived from Dow Jones
EURO STOXX®) (the "Dow Jones EURO STOXX 50®").
The name of the Dow Jones EURO STOXX 50® is a service mark of DOW JONES & COMPANY,
INC. and has been licensed for use for certain purposes by the Issuer. The Index is available under
Reuters RIC Code “STOXX50E”.
The Index is available under Bloomberg code "SX5E Index".
Calculation of the Dow Jones EURO STOXX 50®
The Dow Jones EURO STOXX 50® is capitalisation-weighted and is calculated on both a price- and
total-return basis. For the purpose of the determination of the Final Redemption Amount, the pricereturn based index only is relevant. It is calculated in euro in real-time and is currently disseminated
every 15 seconds from 9.00 a.m. to 5.45 p.m. (Central European Time).
1
The European broad index covers companies from Austria, Belgium, Denmark, Finland, France, Germany, Greece, Italy,
Ireland, The Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom. Luxembourg will be added
when a continuous data feed becomes available. Other European countries may be added to the European broad index in the
future.
2
The Euro broad index covers companies from Austria, Belgium, Finland, France, Germany, Italy, Ireland, The Netherlands,
Portugal and Spain. Luxembourg will be added when a continuous data feed becomes available. Other countries may be added
in the future.
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The Dow Jones EURO STOXX 50® is computed on the basis of last prices; a traded price on
various exchanges listed below will trigger the calculation of the Dow Jones EURO STOXX 50®
after the opening trade of a component stock is received.
In the event of a suspension of the quotation during the trading session, the last traded price is
used for all subsequent computations. If a quotation is suspended before the trading begins, the
adjusted closing price from the previous day is taken for the calculation of the Dow Jones EURO
STOXX 50®. If there is a stock exchange holiday in one or more countries, the last available stock
prices from this exchange will be used for the Dow Jones EURO STOXX 50® calculation.
The Dow Jones EURO STOXX 50® is based on 31 December, 1991. The base value of the Dow
Jones EURO STOXX 50® was set at 1,000.
Relevant Stock Exchange Markets
The following countries and exchange/trading systems are currently used as a source for stock
prices for the Dow Jones EURO STOXX 50®:
Country
Stock Exchange/Trading System
Austria
Vienna Stock Exchange
Belgium
Brussels Stock Exchange
Finland
Helsinki Stock Exchange
France
Paris Bourse and Nouveau Marché
Germany
Xetra
Greece
Athens
Ireland
Irish Stock Exchange
Italy
Italian Stock Exchange
Netherlands
Amsterdam Stock Exchange
Portugal
Lisbon Stock Exchange
Spain
SIBE
Index Composition
Securities are selected for Dow Jones STOXX 50® so as to represent the largest and most liquid
stocks in the market.
Dow Jones EURO STOXX® is a subset of Dow Jones STOXX®. Only companies from countries that
are part of the European Monetary Union are included in Dow Jones EURO STOXX®.
The Dow Jones EURO STOXX 50® is a subset of the stocks of 50 companies of the Dow Jones
EURO STOXX® index with the intent of reflecting the sector leaders.
Periodic and Ongoing Reviews
Currently the composition of the Dow Jones EURO STOXX 50® is reviewed annually, and changes
are implemented on the third Friday in September, using market data from the end of July as the
basis for the review process.
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In addition, the Dow Jones EURO STOXX 50® is continually reviewed for changes to the Index
composition necessitated, e.g., by extraordinary corporate actions affecting the component
companies.
A deleted stock is replaced immediately to maintain the fixed number of stocks in the Index. The
replacement is based on the largest non-blue chip component on the Index selection list. Changes
are announced immediately, implemented two trading days later and effective the next trading day
after implementation.
The review dates for the Index are selected in line with the settlement dates for index-based
derivatives.
The monthly selection list for Dow Jones EURO STOXX 50® indicates possible changes to its
composition at the next annual review and determines replacements for any stocks deleted from
that index due to corporate actions. The selection list for the Dow Jones EURO STOXX 50® is
produced from the Dow Jones EURO STOXX®.
Decision-Making Bodies
STOXX’s Advisory Committee advises the Supervisory Board on matters relating to the Dow Jones
EURO STOXX 50®. This committee proposes changes of the composition to the Supervisory Board.
It makes recommendations with respect to the accuracy and transparency of the Dow Jones EURO
STOXX 50® computation. Decisions on the composition and changes in the Dow Jones EURO
STOXX 50® are reserved to the Supervisory Board.
Performance of the Dow Jones EURO STOXX 50®
The high and low closing values (price-return) for the Dow Jones EURO STOXX 50® for 2004,
2005, and 2006 are set out below:
Year ended
31 December,
2006
Year ended 31
December,
2004
Year ended 31
December,
2005
High
2,959.71
3,616.89
4140.66
Low
2,580.04
2,924.01
3408.02
Source: Sponsor's website: www.stoxx.com
The high and low official closing values (price return) of the Dow Jones EURO STOXX 50® from
October 2004 to October 2007 are set out below:
The recent historical performance of the Dow Jones EURO STOXX 50 ® should not be taken as an
indication of future performance.
Month Ended
2004
2005
High
Low
October
2,834.62
2,734.37
November
2,922.24
2,834.03
December
2,955.11
2,888.02
January
2,984.59
2,924.01
February
3,086.95
3,008.85
March
3,114.54
3,032.13
April
3,090.72
2,930.1
May
3,096.54
2,949.09
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2006
2007
June
3,190.8
3,099.2
July
3,333.05
3,170.06
August
3,370.84
3,224.10
September
3,429.42
3,274.42
October
3,464.23
3,241.14
November
3,471.43
3,312.45
December
3,616.33
3,499.40
January
3,691.41
3,532.68
February
3,840.62
3,637.93
March
3,874.61
3,727.96
April
3,888.46
3,770.79
May
3,890.94
3,539.77
June
3,648.92
3,408.02
July
3,710.60
3,492.11
August
3,817.86
3,640.60
September
3,899.41
3,739.70
October
4,027.29
3,880.14
November
4,109.81
3,974.62
December
4140.66
3932.09
January
4195.22
4090.88
February
4272.32
4087.12
March
4191.58
3906.15
April
4416.79
4189.55
May
4512.62
4391.87
June
4556.97
4376.42
July
4557.57
4239.18
August
4364.22
4062.33
September
4389.33
4136.45
October
4489.79
4356.24
The Official Closing Level of the Dow Jones EURO STOXX 50® on 23 November 2007 was
4,268.53.
Source: Sponsor's website: www.stoxx.com and Bloomberg
Disclaimer
The Notes are not in any way sponsored, endorsed, sold or promoted by STOXX LIMITED
(STOXX) or Dow Jones & Company, Inc. (Dow Jones), and neither STOXX nor Dow Jones makes
any representation or warranty whatsoever, expressly or impliedly, to the Noteholders or any
member of the public regarding the advisability of investing in securities generally or in the Notes
particularly. The Dow Jones EURO STOXX 50® is determined, composed and calculated by STOXX
without regard to the Issuer or the Notes. Neither STOXX nor Dow Jones is responsible for or has
participated in the determination or calculation of the Final Redemption Amount. Neither STOXX nor
A08611723
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Dow Jones has any obligations or liabilities in connection with the administration, marketing or
trading of the Notes.
NEITHER STOXX NOR DOW JONES GUARANTEES THE ACCURACY AND/OR THE
COMPLETENESS OF THE DOW JONES EURO STOXX 50® OR ANY DATA INCLUDED THEREIN
AND NEITHER SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR
INTERRUPTIONS THEREIN. NEITHER STOXX NOR DOW JONES MAKES ANY WARRANTY
WHATSOEVER, EXPRESSLY OR IMPLIEDLY, AS TO RESULTS TO BE OBTAINED BY THE
ISSUER, A HOLDER OF THE NOTES OR ANY OTHER PERSON OR ENTITY FROM THE USE
OF THE DOW JONES EURO STOXX 50® OR ANY DATA INCLUDED THEREIN. NEITHER STOXX
NOR DOW JONES MAKES ANY EXPRESS OR IMPLIED WARRANTIES AND EACH EXPRESSLY
DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR
PURPOSE OR USE WITH RESPECT TO THE DOW JONES EURO STOXX 50® OR ANY DATA
INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL
EITHER STOXX OR DOW JONES HAVE ANY LIABILITY FOR ANY LOST PROFITS OR
INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES EVEN IF NOTIFIED OF THE
POSSIBILITY THEREOF. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY
AGREEMENTS OR ARRANGEMENTS BETWEEN STOXX AND THE ISSUER.
The Dow Jones EURO STOXX 50® is owned by STOXX. The name of Dow Jones EURO STOXX
50® is a service mark of Dow Jones and has been licensed for certain purposes by the Issuer.
Neither STOXX nor Dow Jones gives any assurance regarding any modification or change in any
methodology used in calculating the Dow Jones EURO STOXX 50® and neither STOXX nor Dow
Jones is under any obligation to continue the calculation, publication and dissemination of the Dow
Jones EURO STOXX 50®.
Disclaimer
STOXX and Dow Jones have no relationship to the Issuer, J.P. Morgan Securities Limited or their
affiliates (together "JPMorgan"), other than the licensing of Dow Jones EuroSTOXX 50 and Dow Jones
EuroSTOXX Select Dividend 30 Index and the related trademarks for use in connection with the Notes
described herein.
STOXX and Dow Jones do not:
•
sponsor, endorse, sell or promote the Notes.
•
recommend that any person invest in the Notes or any other securities.
•
have any responsibility or liability for or make any decisions about the timing, amount or pricing of
the Notes.
•
have any responsibility or liability for the administration, management or marketing of the Notes.
•
consider the needs of the Notes or the owners of the Notes in determining, composing or calculating
the Index or have any obligation to do so.
STOXX and Dow Jones will not have any liability in connection with the Notes.
Specifically,
STOXX and Dow Jones do not make any warranty, express or implied, and disclaim any and all
warranty about:
•
The results to be obtained by the Notes, the owner of the Notes or any other person in
connection with the use of the Index and the data included in any Index;
A08611723
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•
The accuracy or completeness of any Index and its data;
•
The merchantability and the fitness for a particular purpose or use of any Index and its data;
STOXX and Dow Jones will have no liability for any errors, omissions or interruptions in the
Index or its data;
Under no circumstances will STOXX or Dow Jones be liable for any lost profits or indirect,
punitive, special or consequential damages or losses, even if STOXX or Dow Jones knows that
they may occur.
The licensing agreement between the Issuer and STOXX is solely for their benefit and not for the
benefit of the owners of the Notes or any other third parties.
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PART II
2. DESCRIPTION OF THE NIKKEI 225 INDEX
(for the purposes of this Part II of the Annex, the “Index”)
General Description
Unless otherwise stated, all information herein relating to the Nikkei 225 has been derived from
publicly available sources. Such information reflects the policies of the Index Sponsor (as defined in
the paragraph headed ‘Disclaimer’ below) as of the date hereof as stated in such sources. Such
policies are subject to change at the discretion of the Index Sponsor.
The Nikkei 225 is a stock Nikkei 225 calculated, published and disseminated by the Index Sponsor
that measures the composite price performance of selected Japanese stocks. The Nikkei 225 is
currently based on 225 highly capitalised underlying stocks trading on the Tokyo Stock Exchange
(the “TSE”) representing a broad cross-section of Japanese industries. All 225 underlying stocks are
stocks listed in the First Section of the TSE. Stocks listed in the First Section are among the most
actively traded stocks on the TSE.
While the Index Sponsor currently employs the following methodology to calculate the Nikkei 225,
no assurance can be given that the Index Sponsor will not modify or change such methodology in a
manner that may affect any amount payable in respect of the Notes.
The Nikkei 225 is a modified, price-weighted Nikkei 225 (i.e., an underlying stock’s weight in the
Nikkei 225 is based on its price per share rather than the total market capitalisation of the issuer)
which is calculated by (i) multiplying the per share price of each underlying stock by the
corresponding weighting factor for such underlying stock (a “Weight Factor”), (ii) calculating the
sum of all these products and (iii) dividing such sum by a divisor (the “Divisor”). The Divisor, initially
set in 1949 at 225, was 24.14 as of 7 March 2006 and is subject to adjustments as set forth below.
Each Weight Factor is computed by dividing yen 50 by the par value of the relevant underlying
stock, so that the share price of each underlying stock when multiplied by its Weight Factor
corresponds to a share price based on a uniform par value of yen 50. The par value stock system
was abolished with effect as of 1 October 2001. The presumed par value of each underlying stock
in use as of 30th September, 2001 was set at the par value of such stock as of such date. The stock
prices used in the calculation of the Nikkei 225 are those reported by a primary market for the
underlying stocks (currently the TSE). The Level of the Nikkei 225 is calculated once per minute
during TSE trading hours.
In order to maintain continuity in the Level of the Nikkei 225 in the event of certain changes due to
non-market factors affecting the underlying stocks, such as the addition or deletion of stocks,
substitution of stocks, stock dividends, stock splits or distributions of assets to stockholders, the
Divisor used in calculating the Nikkei 225 is adjusted in a manner designed to prevent any
instantaneous change or discontinuity in the Level of the Nikkei 225. Thereafter, the Divisor remains
at the new value until a further adjustment is necessary as the result of another change. As a result
of such change affecting any underlying stock, the Divisor is adjusted in such a way that the sum of
all share prices immediately after such change multiplied by the applicable Weight Factor and
divided by the new Divisor (i.e., the Level of the Nikkei 225 immediately after such change) will
equal the Level of the Nikkei 225 immediately prior to the change.
Underlying stocks may be deleted or added by the Index Sponsor. The underlying stocks shall be,
in general, reconsidered once a year, on the first business day of October, pursuant to the periodic
reconsideration standard set up by the Index Sponsor. There is no upper limit to the number of
stocks to be replaced under the periodic reconsideration. Further, other than the periodic
reconsideration, any stock becoming ineligible for listing in the First Section of the TSE due to any
of the following reasons will be deleted from the underlying stocks: (i) bankruptcy of the issuer, (ii)
merger of the issuer with, or acquisition of the issuer by, another company, (iii) de-listing of such
A08611723
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stock, (iv) transfer of such stock to the "Seiri-Post" because of excess debt of the issuer or because
of any other reason or (v) transfer of such stock to the Second Section. Any underlying stock which
is transferred to the "Kanri-Post" because of the high likelihood that it will become de-listed or
because the stock is undergoing an inspection for the application for de-listing is in principle a
candidate for deletion; however, the actual deletion of such stock will be decided after taking into
account the possibility of continuance of business of the issuer or the likelihood of de-listing, etc.
Upon deletion of a stock from the underlying stocks, the Index Sponsor will select a suitable
replacement for such deleted underlying stock in accordance with certain criteria. As a general rule,
in each case, the number of stocks to be deleted from and the number of replacement stocks to be
added to the underlying stocks shall be the same and such replacement will be made on the same
day to maintain the number of the underlying stocks at 225. However, under special circumstances
the Nikkei 225 may be calculated with less than 225 underlying stocks for a limited period of time
between the deletion of a stock and the addition of a replacement stock. During this period the
continuity in the Nikkei 225 value of the Nikkei 225 will be maintained by adjusting the Weight
Factor each time upon addition, deletion or substitution of the underlying stock(s).
Historical Data on the Nikkei 225
The following table sets forth the value of the Nikkei 225 at the end of each month in the periods
indicated. This historical data on the Nikkei 225 is not indicative of the future performance of the
Nikkei 225 or what the value of the Notes may be. Any historical upward or downward trend in the
value of the Nikkei 225 during any period set forth below is not any indication that the Nikkei 225 is
more or less likely to increase or decrease at any time during the term of the Notes.
2002
2003
2004
2005
2006
2007
January
9,997.80
8,339.94
10,783.61
11,387.59
16,649.82
17,383.42
February
10,587.83
8,363.04
11,041.92
11,740.60
16,205.43
17,604.12
March
11,024.94
7,972.71
11,715.39
11,668.95
17,059.66
17,287.65
April
11,492.54
7,831.42
11,761.79
11,008.90
16,906.23
17,400.41
May
11,763.70
8,424.51
11,236.37
11,276.59
15,467.33
17,875.75
June
10,621.84
9,083.11
11,858.87
11,584.01
15,505.18
18,138.36
July
9,877.94
9,563.21
11,325.78
11,899.60
15,456.81
17,248.89
August
9,619.30
10,343.55
11,081.79
12,413.60
16,140.76
16,569.09
September
9,383.29
10,219.05
10,823.57
13,574.301
16,127.58
16,785.69
October
8,640.48
10,559.59
10,771.42
13,606.501
16,399.39
16,737.63
November
9,215.56
10,100.57
10,899.25
14,872.15
16,274.33
December
8,578.95
10,676.64
11,488.76
16,111.43
17,225.83
The closing value of the Nikkei 225 on 22 November 2007 was 14,888.77.
Source: Bloomberg
The Tokyo Stock Exchange
The Tokyo Stock Exchange (the “TSE”) is one of the world’s largest securities exchanges in terms
of market capitalisation. The TSE is a two-way, continuous, pure auction market. Trading hours are
currently from 9:00 a.m. to 11:00 a.m. and from 12:30 p.m. to 3:00 p.m., Tokyo time, Monday
through Friday.
The TSE has adopted certain measures intended to prevent any extreme short-term price
fluctuations resulting from order imbalances. These include daily price floors and ceilings intended
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to prevent extreme fluctuations in individual stock prices. In general, any stocks listed on the TSE
cannot be traded at a price outside of these limits, which are stated in terms of absolute amounts of
Japanese yen, and not percentage changes from the closing price of the stock on the previous day.
In addition, when there is a major order imbalance in a listed stock, the TSE posts a "special bid
quote" or a "special asked quote" for that stock at a specified higher or lower price level than the
stock’s last sale price in order to solicit counter orders and balance supply and demand for stock.
Investors should also be aware that the TSE may suspend the trading of individual stocks in certain
limited and extraordinary circumstances including, for example, unusual trading activity in that
stock. As a result, variations in the Nikkei 225 may be limited by price limitations, or by suspension
of trading, on individual stocks which comprise the Nikkei 225 which may, in turn, adversely affect
the value of the Notes under certain circumstances.
Disclaimer
The Nikkei Stock Average is an intellectual property of Nikkei Inc. (formerly known as Nihon Keizai
Shimbum, Inc. prior to 1 January 1 2007) "Nikkei", "Nikkei Stock Average", and "Nikkei 225" are the
service marks of Nikkei Inc. Nikkei Inc. reserves all the rights, including copyright, to the index.
Nikkei Digital Media, Inc., a wholly owned subsidiary of Nikkei Inc. calculates and dessiminates the
Index under exclusive agreement with Nikkei Inc. Nikkei Inc. and Nikkei Digital Media Inc. are
collectively the “Index Sponsor”.
The Notes are not in any way index sponsored, endorsed or promoted by the Index Sponsor. The
Index Sponsor does not make any warranty or representation whatsoever, express or implied, either
as to the results to be obtained as to the use of the Index or the figure as which the Index stands at
any particular day or otherwise. The Index is compiled and calculated solely by the Index Sponsor.
However, the Index Sponsor shall not be liable to any person for any error in the Index and the
Index Sponsor shall not be under any obligation to advise any person, including a purchase or
vendor of the Products, of any error therein.
In addition, the Index Sponsor gives no assurance regarding any modification or change in any
methodology used in calculating the Index and is under no obligation to continue the calculation,
publication and dissemination of the Index.
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