Twin Win Certificates

What are Twin Win Certificates?

Twin Win Certificates are financial instruments belonging to the category of Conditional Digital Capital Protection Certificates that allow for investment in an underlying financial asset such as a share, a stock index, a currency, a commodity or an interest rate. One of their main features allows investors, at maturity and within certain limits set at the time the Certificate was issued, to participate in the performance, in absolute value, of the underlying asset, whether positive or negative and favourably for the investor. The extent of this participation in the performance of the underlying financial asset is fixed at the time the Certificate is issued. The condition is that the underlying at maturity is worth more than the level set when the Certificate was issued. This threshold level is called the Barrier level and breaching this Barrier causes the loss of the capital protection, resulting in a decrease of the investment value for the holder of the Certificate.

Who are Twin Win Certificate suitable for?

According to their features, Twin Win Certificate are financial instruments that may be suitable for investors with a high propensity to risk, without expectations of development in the value of the underlying financial asset. This is suitable for Investors who want to protect their investment, within certain levels specified when the Certificate was issued, and achieve returns even in the event of a moderate negative performance of the underlying.

Investment products that give the possibility to obtain a gain in both case: positive or negative performance of the underlying

Listing and trading of the Twin Win Certificate

Twin Win Certificates are financial instruments that can be bought or sold, in Italy, either on SeDeX or EuroTLX, Multilateral Trading Facilities of the Italian Exchange. Methods and trading hours of such multilateral trading facilities are specified in the relevant Rule books, available on the website of the Italian Exchange. For example, trading in the continuous phase may take place on the open market days from 9:05am to 5:30pm on SeDeX and from 9:00am to 5:30pm on EuroTLX.

Features of the Twin Win Certificate

UNDERLYING: a share, share index currency, commodity or any other real or financial asset upon which the value of the Certificate is dependent
INITIAL EVALUATION VALUE: the initial evaluation price of the underlying asset on the date fixed at the time the Certificate is issued
BARRIER LEVEL: the value of the Underlying under which the investor loses capital protection on the certificate
MATURITY: the date on which the Certificate ceases to exist or 'matures';
ISSUER: the financial institution issuing the Certificate;
MINIMUM LOT: the minimum number of Certificates that can be bought and sold;
ISIN: the alphanumeric code that uniquely identifies the financial instrument
UPWARD PARTICIPATION FACTOR: Expressed in percentage terms, it is the multiplicative value of the performance of the underlying asset at maturity which the investor is paid (in the event of a rise in the underlying);
DOWNWARD PARTICIPATION RATE: Expressed in percentage terms, it is the participation level in the performance of the underlying at maturity, in the event of a possible negative performance of the underlying asset .

How do Twin Win Certificates work

Twin Win are Certificates suited to take advantage of the uncertainty in the financial markets. At maturity they may benefit from:

any positive performance by the underlying asset, participating in them with a predetermined participation rate;
a negative performance of the underlying financial asset by converting it in gain, using a predetermined weighted participation rate, until the Barrier level.

The ability to benefit from the movements in the underlying, both in the event of fall or a rise, until the Barrier level is reached. In this case the Certificate loses capital protection and the investor receives at maturity a loss commensurate to that he would have had by investing directly in the underlying at the initial evaluation date of the Certificate. The Certificate's participation in the movement of the underlying asset may be less, equal to or greater depending on the participation factor set by the issuer at the time the Certificate was issued.

Example of how they operate

Assuming a Twin Win Certificates based on an index issued on July 21, 2014. The Certificate, with an issue price of 100 euros, has a term of two years and expires July 21, 2016. The initial evaluation of the underlying index of the Certificate has been fixed at the time of issue at 1.800 points. The upward participation rate is of 120%, the downward participation rate is 70%. The Barrier level at the time of issue was set at 50% of the initial evaluation value, i.e. 900 points. On maturity of the Certificate the value of the underlying financial asset is paid. There are three possible scenarios the investor may encounter:

The final evaluation level is greater than or equal to the initial evaluation level:
The performance gained of the underlying over the lifetime of the Certificate is multiplied by the participation rate upwards and is paid to the investor in addition to the issue price of the Certificate. Assuming the index value at maturity of 2.000 points (+11,1%), the redemption value of the Certificate would amount to 113,3 Eur (+ 13,3%);
The final evaluation level is below the initial evaluation level, but higher or equal to the Barrier level:
The negative performance of the underlying over the lifetime of the Certificate is multiplied by the participation rate downward and is paid to the investor, in addition to the issue price of the Certificate. Assuming the index value at maturity of 1.000 points (-44,4%), the redemption value of the Certificate would amount to 131,1 Eur (+ 31,1%);
The final level is below the Barrier level
The investor gets a settlement amount at maturity commensurate with the negative performance of the Certificate over its lifetime and, for each instrument held, collects less than the issue price of the Certificate. Assuming a value of the index at maturity of 700 points (-61,1%), the redemption value of the Certificate would amount to 38,8 Eur (-61,1%).

Chart showing the payoff of Twin Win Certificates

For further information on the terms you can consult the appropriate section GLOSSARY

In order to have access to the documentation and the information included herein relating to the financial instruments (the "Securities"), please represent, warrant and accept without reserve or exception the entire Terms of Use and confirm what follows.

The offer of the Securities (the "Offer") is made to the general public in a specific jurisdiction and any offer, solicitation of an offer, distribution of marketing material relating to the Securities will not be made in the United States of America, Canada, Australia, Japan or any other country where such acts are forbidden without specific exemptions or authorizations from the relevant competent authorities (the "Other Countries").

No Offer may be made in the United States of America, or to any citizen, resident, taxable person in the United States of America ("U.S. Person" or "United States Person" within the meaning of U.S. Securities Laws or other relevant local regulations, a US Person) and no distribution of any documents relating to the Offer may be made in the United States of America. The Securities have not been and will not be registered nor under the United States Securities Act of 1993, as from time to time amended, neither under any financial rules applicable in the United States of America. Neither the Securities and Exchange Commission ("SEC") nor any other supervisory authorities in the United States of America has approved or has not approved the issuance and/or the Offer of the Securities or has taken any position as to the accuracy or inaccuracy of the Prospectus and/or the Final Terms/Condizioni Definitive of the Securities. According to the provisions of the United States Commodity Exchange Act, trading in the Securities has not been approved by the United States Commodity Futures Trading Commission ("CFTC").

The Securities have not been and will not be registered under the existing Securities rules applicable in Canada, Japan, Australia or in the Other Countries, and therefore they may not be, directly or indirectly, offered, sold or otherwise delivered in Canada, Japan, Australia and in the Other Countries or to any citizen, resident, taxable person in Canada, Japan, Australia and the Other Countries and the documentation relating to the Offer may not be distributed in Canada, Japan, Australia and the Other Countries. In any event no person, being US Person under the US Securities Laws or under any other local applicable rule or resident in Canada, Japan, Australia and the Other Countries, may join the Offer.
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I hereby declare that I have read and fully understood and that I agree to comply with the above selling restrictions and undertake not to transmit, directly or indirectly, any document relating to the Offer of the Securities in the United States of America, Canada, Australia, Japan or in the Other Countries.

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