symbol:SE91

Call FTSE 100 8,000.00 21/12/2018 SE91

Émetteur default : SGA SOCIETE GENERALE ACCEPTANCE NV

FTSE 100 : 7,431.66 at 28/06/2017 11:22:16

Secondary Market Data

Updated at 28/06/2017 11:22:06

Quantity	Bid	Ask	Quantity
65,000	£ 0.2307	£ 0.2327	65,000

Open	£ 0.2187
Previous close	£ 0.2309

Day high	£ 0.2360
Day low	£ 0.2151

Variable data

Updated at 28/06/2017 11:22:06

Daily Product Performance	+0.35%
Current Underlying Asset Level	7,431.66
Daily Underlying Asset Performance	-0.03%
Delta	28.90%
Gearing	9.23
Implied Volatility	15.50%
Theta / day	£-0.0007

This data is constantly changing, Indicative Information, Source Société Générale.

Risk Level

Risk 3 – High

Warrants are suitable to harness a strong upward (CALL Warrants) or downward (PUT warrants) movement for the underlying short term. They have high leverage with high exposure to factors such as time decay and implied volatility. Warrants are for an investor with a high risk profile. These Warrants are for sophisticated investors as they require monitoring daily.

Risk Data

Effective Gearing	Yes
Capital at Risk	Yes
Currency Risk	No
Counterparty Risk	Yes

Pricer

Underlying

Spot :
Var % Spot : %

Volatility

Annual value
Level %

Observation duration

To 21 December 18

Warrant

Spot : £ 0.2319
Variation : 0.52%

Attention: The Pricer indicatively calculates the selected Covered Warrant's price sensitivity to three variables; volatility, time to expiry and performance of the underlying asset. This tool is designed to only give an estimation of the Covered Warrants price and the difference from the real price may be greater for Warrants out of the money or close to expiry.

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Legal Documents

Final Terms
Prospectus

See all legal documents

Product literature

Educational materials

Educational guide

Static data

EPIC	SE91
ISIN	CWN8142E2136
Type	Call
Legal Form	Securitised Derivative Option
Underlying Asset	FTSE 100
Strike	8,000.00
Expiry	21 December 18
Parity (product/underlying)	1000/1
Currency	GBP
Under. Currency	GBP
Listing Date	20 February 14
Intended Eligibility	SIPP
Intended Tax treatment	CGT

Performances

Export data

	Day before	1 week	1 month	6 months	From to
Product	+0.35%	-4.92%	-17.31%	-15.10%	--
Underlying	-0.03%	-0.38%	-1.50%	+4.57%	--

Indicative information only. This past performance is not a reliable indicator of future performance and is not taking into account potential brokerage fees. It has to be considered as a Gross Performance. These results are not based on and do not refer to simulated past performance, and are based on reasonable assumptions.

Technical comments

Investors' capital is at risk. On 21 December 18, for the Covered Warrant SE91, should the Final value of FTSE 100 be below 8,000.00, the final value of the Call covered warrant would be nil with the result of the entire capital being lost. The liability is limited to the initial investment.
Covered Warrants have a limited life, as denoted by the expiry date of each issue. After 21 December 18, the Covered Warrant SE91 can no longer be traded or exercised.
Delta is the sensitivity of a covered warrant's theoretical value to a change in the price of the underlying security. For example, without taking into account other parameters, 1 unit move in FTSE 100 would result to GBP2.89 for the covered warrant value, i.e delta/parity.
The Effective gearing of SE91 is 9.23 as of 28/06/2017 11:22:06. This represents the ratio between a 1% change in the underlying and the resulting percentage change in the product's price. This means that should FTSE 100 move by 1%, SE91 will approximately move by 9.23 x 1% and all other parameters remain unchanged. A major advantage of covered warrants is the Gearing effect but this can also work against investors. This is why covered warrant investors should be aware that, if the underlying instrument moves in the opposite direction to that anticipated, the losses incurred by the covered warrant will be greater in percentage terms than those incurred by the underlying itself.
Before expiry, investors should note that covered warrants experience time decay (erosion of their value over time, time value) throughout their life. The rate of this decay accelerates as covered warrants near expiry and warrants may expire worthless. This time decay is symbolised by Theta i.e £-0.0007/day for Covered Warrant SE91 as at 28/06/2017 11:22:06.

The above description is indicative only. Please refer to the Final Terms / Prospectus / Term Sheet in the ‘Materials’ section above for a full description of the specific product terms.