CROSS ASSET

2012
SOLUTIONS

STRUCTURED CREDIT
SOLUTIONS
 STRUCTURED CREDIT
SOLUTIONS

SOCIETE GENERALE GROUP 4

Well Diversified & Financially Solid
Societe Generales Expertise In Structured Investments

A MAJOR CREDIT PLAYER 5

A world class research service
Trading capacity

CREDIT MARKET OVERVIEW 6

CREDIT DERIVATIVES 7
Credit Default Swaps
CDS Contracts
What happens if a Credit Event occurs?

CREDIT RISK 8
Definition of a Credit Event

RECOVERY VALUE 9
Under Normal Circumstances
In Exceptional Cases

CLIENT DRIVEN INVESTMENT SOLUTIONS 10

Replicating Bonds Via Credit Derivatives

CREDIT LINKED NOTE 11

An Alternative to Vanilla Bonds

FIRST TO DEFAULT 12
Exposure to FTD in a Basket
Correlation is Key

INVESTMENT CHARACTERISTICS 13
Redemption & Coupon Settlement Conditions

BOND LINKED NOTE 14

A Synthetic Bond without Credit Derivatives

FUNDING SUPPORT 17
Funding Support for New Issues
Restructuring Solutions for Existing Products

CREDIT INDICES 18
Overview of Credit Indices

INDEX TRANCHES 20
Exposure to a specific risk segment

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 STRUCTURED CREDIT
SOLUTIONS

SOCIETE GENERALE
GROUP
Well Diversified & Financially Solid
A financial institution relying on solid fundamentals to meet clients needs
Present in 83 countries, 157,000 employees, 128nationalities, over 30 million clients worldwide.

A robust Group
Basel II Tier 1 ratio of 10.7%* and Core Tier 1 ratio of 9.9%*
Net income 2011: EUR 2.38 billion
*

Financial rating*: A (Standard & Poors)

A2 (Moodys)
A+ (Fitch)
A UNIVERSAL BANK REFOCUSED ON 3 PILLARS & 2 BUSINESSES
International French Corporate &
Retail Banking Networks Investment Banking

Specialised Financial Private Banking, Global Investment

Services and Insurance Management and Services

Societe Generales Expertise In Structured Investments

A unique pool of
Client-Driven Advice Structuring Skills Engineering Capabilities

A large range of asset classes available

Credit Equities Interest Rates Inflation Commodities

MutualFunds ImpliedAssets SG Indices Hedge Funds Forex

A diversified set of structuring solutions

Investment Wrappers Dive rs e R ange ofPayoffs Currencies Available
EMTNs, Funds, Swaps, Warrants, From plain vanilla options to exotic G10 Currencies and many
OTCoptions, Third Party Issuers and technically advanced payoffs emergingcurrencies

Best Global Structured

House of the Year, Europe, European Share Equity Derivatives House
Products House
Oct-2010 Leader Credit - 2010 of the Year, Jan-2011
of the Year 2012

* source Societe Generale, as of 31 Dec 2011

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 STRUCTURED CREDIT
SOLUTIONS

A MAJOR CREDIT PLAYER

Extensive flow trading capabilities

Corporates - Europe Financials - Europe Americas E-Trading capabilities

Cash & CDS Cash & CDS A wide trading scope

covering:
High yield coverage: -- Subordinated
-- Cash bonds
-- Investment Grade Cash -- Senior
&CDS -- Fixed -- CDS
-- Non Inv. Grade Cash & CDS -- FRN -- Indices
-- Hybrids

Indices - Europe ABS - Europe US D & GBP

Itraxx RMBS USD and GBP cash

Index tranches CMBS -- Financials
-- Corporates
-- Main, HiVol, X-Over Autos -- High yield GBP
-- Financials
-- Options
Credit card
SME

A world class research service

Research teams based locally in all major financial hubs:
Paris, London, New-York, Hong Kong.

A strong commitment and track record N 1

in Overall Credit Strategy
Top rankings in annual Euromoney investor polls:
Covers and provides fundamental analysis and trade recommendations N 1
on340companies
in Overall Trade Idea

Provides global strategy on debt instruments (bonds, ABS, CDS and derivatives)

Daily
-- Credit Market Wrap Up
-- Asian Credit Wrap
-- Credit News
-- Corporate News
Weekly
-- Weekly ABS snapshot
-- Euro Credit Weekly
-- Weekly sector reviews
Special reports
-- Credit Outlook
-- Credit Strategy Outlook
-- Euro Credit Quarterly

5
 STRUCTURED CREDIT
SOLUTIONS

CREDIT MARKET
OVERVIEW
Bonds and loans have existed for centuries providing basic forms of cash-based credit, but Credit Default
Swaps (CDS) and structured products on CDS emerged in the last decade and have since exploded in
volume outstanding.

The four Pillars of the Credit Market

CREDIT DEFAULT STRUCTURED
LOANS BONDS SWAPS (CDS) SOLUTIONS

MARKET ACCESS

- Over-the-Counter - Regulated - Over-the-Counter - Over-the-Counter

PRIMARY CHARACTERISTICS

- Cash-based - Cash-based - Derivatives - Derivatives

- Illiquid - Flow traded - Flow traded - Bespoke liquidity
- Standardised - Standardised - Tailor made

TYPE OF CREDIT EXPOSURE

- Single name - Single name - Single name - Single name

- Corporations - Corporations - Corporations - Basket
- Governments - Governments - Corporations
- Governments
- Hybrid

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 STRUCTURED CREDIT
SOLUTIONS

CREDIT DERIVATIVES

Credit Default Swaps

The backbone of structured credit solutions
The objective of a CDS is to transfer the Credit Risk of an entity (the Reference Entity) between two parties (the Risk
Seller and the Risk Buyer). Credit Derivatives are also known as protection instruments. Transactions in the market
are usually referred to in terms of either buying or selling protection:
The Protection Seller (taking on credit risk) earns premium: he is the buyer of credit risk
The Protection Buyer (offloading credit risk) pays premium: he is the seller of credit risk
In return for this protection, the Protection Buyer pays a risk premium (the CDS Spread x Nominal) to the Protection Seller

CDS Contracts
CDS contracts are the most basic and popular credit derivative instruments. The two parties of the agreement transfer
the credit risk of the Reference Entity from one to the other without transferring any tangible asset: only the credit risk
is being transferred.
Therefore, a CDS contract is similar to an insurance contract against the credit risk of the third party (i.e. the Reference Entity):
CDS Basic Structure
Credit Risk

Premium
(CDS Spread)
REFERENCE Protection Protection
ENTITY Buyer Seller
Payment contingent upon default:
Loss = (1 Recovery Rate)

Protection

What happens if a Credit Event occurs?

If a Credit Event occurs on the Reference Entity, the Protection Buyer will
Stop paying the premium
Receive an amount from the Protection Seller (cash settlement) equal to the loss incurred:
Loss =(1 Recovery Value) x Notional

1 Reference Entity experiences

a credit event 2 Protection Buyer stops paying
regular premia

CDS Spread (Regular Coupon)

REFERENCE Protection Protection
ENTITY Buyer Seller
Payment = [ 1 Recovery Rate ]

3 Protection Seller pays a cash or

physical settlement to the Protection Buyer

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 STRUCTURED CREDIT
SOLUTIONS

CREDIT RISK
The Credit Risk of a Reference Entity (corporate or government) can be thought of as the risk that it will
experience a Credit Event over a predefined time horizon.

The definition of a Credit Event is standardised across all counterparties in the credit market as per the
terms defined by the International Swaps and Derivatives Association (ISDA).

Definition of a Credit Event

The Reference Entity is insolvent, Failure, by the Reference Entity,
underliquidation, or has decided tomake part or all of any payment
to make anarrangement for due (interest or capital) for an amount
thebenefit of its creditors. exceeding the minimum threshold
and before the expiration of the grace
periodextension.
Only for corporate entities
A
 pplies to both corporations
and governments

BANKRUPTCY FAILURE TO PAY

Most
Common Credit
Events
REPUDIATION
RESTRUCTURING
& MORATORIUM

Change in the agreement between An authorised officer or a

theReference Entity and the holder governmental authority rejects
of an obligation due to a deterioration thevalidity of an obligation or
in the financial conditions of the imposes amoratorium on payments
Reference Entity, other than in and failure to pay is triggered.
the normal course of business.

Not applicable to North Only for sovereign entities

American entities (1)

The above list of Credit Events is not exhaustive. The definitions given are indicative descriptions; please refer to the
ISDA website (www.isda.org) for the legal definitions.

1. Since April2009; unless specified in the terms of the contract

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 STRUCTURED CREDIT
SOLUTIONS

RECOVERY VALUE
DETERMINING THE RECOVERY VALUE
When a Credit Event occurs, a Recovery Value is determined as per the predefined ISDA process in
order to settle outstanding CDS contracts.

The Recovery Value is the final price of a CDS after a Credit Event has occurred, and is linked to the value
of the Deliverable Bonds of the CDS contract.

Under Normal Circumstances

An auction is held to determine the recovery value

1
Credit Event Notice
A Credit Event Notice is sent to the affected Note holders of the Reference Entity once Societe
Generale has sufficient official evidence to determine that a Credit Event has indeed taken place

2
Settlement Protocol & The Official List
A pool of major dealers organise a Settlement Protocol, supervised by ISDA, forms a list (TheOfficial
List) of Deliverable Obligations of the Reference Entity
The Auction & Recovery Value

3 The dealers hold an auction (monitored by ISDA) to determine the average price of the Deliverable
Obligations. The Recovery Value (R) then corresponds to this average price expressed in %:
R=Average Price

In Exceptional Cases
ISDA might not be able to hold an auction, Societe Generale will then determine
therecovery value

1
Selected Obligation Notice
At least four days before requesting price quotes from dealers, Societe Generale sends out
theSelected Obligation Notice specifying on which obligation(s) the auction will be organised

2
Quotations
Societe Generales trading desk asks for quotes from at least five different dealers on each obligation
listed in the Selected Obligation Notice
Recovery Value

3 The Recovery Value is determined based on the weighted average of the quotations obtained
The Recovery Value (R) then corresponds to this weighted average price in %:
R=WeightedAverage Price

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 STRUCTURED CREDIT
SOLUTIONS

CLIENT DRIVEN
INVESTMENT SOLUTIONS
Replicating Bonds Via Credit Derivatives
Credit Default Swaps provide investors the ability to replicate bonds and gain exposure to specific issuers, including
those that issue little debt in the primary market.
Additionally, investors are able to tailor their exposure in terms of currency, maturity or payoff in ways that may not exist
in the bond market.

Synthetic Re plication
Vanilla Bond
(Credit Linked Note )

Asset Swap Spread

(credit risk premium) CDS Spread
(credit risk premium)

Risk-free Interest Rate

Issuers Funding
(Issuer risk)

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 STRUCTURED CREDIT
SOLUTIONS

CREDIT LINKED NOTE

A Credit Linked Note (CLN) is a security with an embedded CDS issued under an issuance program
which provides the investor the return and the credit risk of both the Issuer of the notes and the Reference
Entity of the CDS.

An Alternative to Vanilla Bonds

A Credit Linked Note (CLN) is a security with an embedded CDS issued under an issuance program which
exposes the investor to the credit risk of both the Issuer of the notes and the Reference Entity of the CDS.
In the illustration below, the investor is the protection seller / credit risk taker

CLN Spread

SOCIETE
INVESTORS CDS MARKET
GENERALE
100 CDS on 100

100 SG Funding

SG FUNDING

On the Issue Date, the investor buys the CLN at par value (the CDS Notional N). As a note holder, he is entitled to
receive the coupons linked to the credit risk of the underlying, depending on the chosen Coupon Settlement Condition.

At maturity:

If no Credit Event has occurred since inception, the Notes are redeemed at par value on the maturity date

If a Credit Event has occurred since inception, the Notes are redeemed by paying the Recovery Value (R x N) to
the note holder on a date depending on the chosen Redemption Settlement Condition. The investor bears a loss of
[ (1-R) x N ]. In a worst case scenario, investors could lose their entire investment.

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 STRUCTURED CREDIT
SOLUTIONS

FIRST TO DEFAULT
A First-to-Default (FTD) is a Credit Linked Note where the credit risk is entirely focused on the first Credit
Event to occur among a basket of Reference Entities.

Exposure to FTD in a Basket

FTD Premium
SOCIETE
INVESTORS CDS MARKET
GENERALE
100 Exposure
to FTD
100
SG Funding

SG FUNDING

REFERENCE REFERENCE REFERENCE REFERENCE

ENTITY 1 ENTITY 2 ENTITY 3 ENTITY 4

FTD Risk

FTD Spread
Protection Buyer Protection Seller
Payment contingent upon first default:
1 Recovery Rate (1)
Protection

1. Based on the first entity within the basket to experience a Credit Event

Correlation is Key
High correlation between names means that they are all likely to experience a Credit Event within the same period
of time. Therefore, high correlation means that exposure to the FTD is similar to exposure to the weakest name (i.e.
highest CDS level).
0% Correlation Mild Correlation 100% Correlation

E2 E2 E2
E1 E1
E1

Independent Risks Partly Dependent Risks Highly Dependent Risks

FTD Spread = Sum of Spreads FTD Spread < Sum of Spreads FTD Spread = Max of Spreads

FTD Spread
Sum of Spreads Max of Spreads
+ Return

12
 STRUCTURED CREDIT
SOLUTIONS

INVESTMENT
 HARACTERISTICS
C
Redemption & Coupon Settlement Conditions
Redemption Settlement Conditions Coupon Settlement Conditions
Determine when the redemption is paid Determine how the coupon will be paid
American: The redemption is paid at maturity if Accrued At Default: The coupon stops being accrued
no Credit Event occurs (Redemption = Nominal), when a Credit Event occurs, and the last accrued
otherwise it is paid upon the occurrence of the Credit coupon is paid on the coupon payment date following
Event (Redemption = Nominal x R*) the Credit Event Determination Date
European: The redemption is paid at maturity whether Paid Up To Default: The coupon stops being paid on
or not a Credit Event has occurred. the Coupon Payment Date preceding the Credit Event
(Redemption = Nominal x R* upon the occurrence of Determination Date, therefore no accrued coupon is
a Credit Event) paid to investors thereafter
Paid Always: The coupon is paid until maturity, even
if a Credit Event occurs

PROS & CONS

Advantages Risks
Investment Flexibility: Variety of currencies, No capital guarantee: The capital is not guaranteed.
maturities, coupons and redemption formats The investor may lose the entire invested capital
Funding: Investors benefit from a funding support Credit risk: Investors are exposed to the credit risk of
from Societe Generale the Reference Entity and of the Issuer
Listing: CLN can be listed like any other security Cheapest to Deliver: When a Credit Event occurs,
and if physical settlement applies, the investor may
Diversification: As for CDS, CLN can be created by
referencing companies or countries which rarely issue receive the cheapest deliverable bond
in the bond market Mark-to-Market Volatility: Credit event, credit
spreads and interest rate volatility could strongly affect
the Mark-to-Market value of the Note

* R = Recovery Value
The definitions above are purely indicative. For further information, please
refer to the ISDA rules: www.isda.org
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 STRUCTURED CREDIT
SOLUTIONS

BOND LINKED NOTE

A Bond Linked Note (BLN) is a security issued under an issuance program which provides the investor
the return and the credit risk of both the Issuer of the notes and the Reference Obligation.

Combining the Strengths of a Vanilla Bond with a CLN

A Bond Linked Note is a simple solution combining flexibility with a lower credit risk than a standard CLN using
CDScontracts
BLN offers investors the following benefits:
Yield Enhancement: Higher return than vanilla bonds thanks to the funding of the Issuer
Flexibility: Characteristics such as currency, maturity, coupons can be customized to suit investor needs
Simplicity: No embedded credit derivative, no exposure to ISDA Credit Events

SY NTHE TIC RE PLICATION

Vanilla Bond
(BOND LINKE D NOTE )

Asset Swap Spread of

Asset Swap Spread
(credit risk premium) ReferenceBond
(credit risk premium)

Risk-free Interest Rate

Issuers Funding
(Issuer risk)

14
 STRUCTURED CREDIT
SOLUTIONS

A Synthetic Bond without Credit Derivatives

Asset Swap
BLN Spread
SOCIETE
INVESTORS CREDIT MARKET
GENERALE
100 Credit
exposure

100 SG Funding

SG FUNDING

On the Issue Date, the investor buys the BLN at par value. As a note holder, he is entitled to receive the coupons
linked to the Reference Obligation, depending on the chosen parameters:

At maturity:

If no Bond Event has occurred since inception, the Notes are redeemed at par value on the maturity date

If a Bond Event has occurred since inception, the Notes are redeemed by paying the Recovery Value of the
Reference Bond (R x N) to the note holder on a date depending on the chosen Redemption Settlement Condition.
The investor bears a loss of [ (1-R) x N ]

15

Comparison Between Bonds, CLN and BLN
Bonds
Investors can only purchase
the actual bonds available
in the market, implying a
restricted universe of assets
Investment available
Flexibility
Investors can buy bonds
(long credit exposure), but it
is difficult to short-sell bonds
(short credit exposure)
Exposed to the risk of the
issuer on the specific bond(s)
Credit Risk
purchased
Exposed to the risk of the
specific bond(s) purchased
Credit
E xposure
STRUCTURED CREDIT
SOLUTIONS
CLN BLN
Customisable, offering a Customisable, offering a range
large range of maturity dates, of maturity dates, currencies,
currencies, investment investment timeframes, and
timeframes, and underlying underlying bonds
Reference Entities
Investors can take either Investors can only go long
side of the credit market and credit
can both buy and sell credit
exposure
Exposed to the credit risk of Exposed to the credit risk of
both the Issuer of the CLN and both the Issuer of the BLN and
the Reference Entity the issuer of the Reference
Bond
Exposed to the Reference Exposed to the credit risk of
Entitys credit risk on all the specific Reference Bond of
debt instruments issued or the BLN
guarantees provided by the
Reference Entity
If a Credit Event explicitly
defined by ISDA is triggered,
a recovery value is defined
according to ISDA protocol
16
 STRUCTURED CREDIT
SOLUTIONS

FUNDING SUPPORT

Funding Support for New Issues

Investors can improve the performance potential of structured products with SG by adding credit exposure within SG
funded products.
FUNDING
SUPPORT
STANDARD SG-FUNDING STANDARD SG-FUNDING + 100BPS

Option Typical Structure With Funding Support

Option
SG ZC Credit Derivative + SG ZC
Call Option Call Option
SG Zero
Coupon Capital Guarantee (SG ZC) Capital Guarantee
Bond +
100% at maturity None
Credit
(SG ZC) Derivative
Indexation: 55% Indexation = 100%

Restructuring Solutions for Existing Products

Thanks to Funding Support, investors are able to restructure existing deals that have lost their performance potential
(nil option value) without the need to extend the maturity or inject any new cash. By transforming the funding from a
standard SG ZC Bond to a fully funded Credit Linked Note, the investor can then purchase another option to enhance
the notes future return potential but loses the products initial capital guarantee.
RESTRUCTURING AFTER
INCEPTION
DATE RESTRUCTURING
100%
Option
Option
% of Initial Nominal

SG Zero
SG Zero SG Zero Coupon
Coupon Coupon Bond
Bond Bond +
Credit
Derivative

0%
The investor purchases a Due to adverse market
standard SG capital conditions the option loses
guaranteed product most of its value
The investor believes that
the market will rise again but
not beyond the option strike
The product receives a
new and lower strike, but is
now exposed to additional
credit risk and no longer
enjoys a capital guarantee

The figures used in this example are given for purely indicative purposes, the objective is to describe the mechanism of the product. It allows an
understanding of how the product would have performed at different market stages over previous years, but is no guarantee as to future returns
and has no contractual value.

17
 STRUCTURED CREDIT
SOLUTIONS

CREDIT INDICES

Overview of Credit Indices

Credit indices have expanded dramatically over the years to now reach a mature size that ensures sufficient liquidity,
narrow trading costs and a growing visibility across financial markets.
Index components are selected by the index sponsor based on specific criteria: liquidity, trading volumes, rating,
representativeness of a given credit market

A Sample of Credit Indices

iTraxx Main (Europe) 125 European investment-grade entities

iTraxx xOver (Europe) 50 Most liquid sub-investment grade European entities

iTraxx SovX WE
15Sovereign names from the Euro area plus Denmark,
Norway, Sweden, and the UK

iTraxx Asia Pacific 40 Asia ex-Japan investment-grade entities

CDX North America 125 North American investment-grade entities

Advantages of Credit Indices

Credit indices offer investors major benefits:
Liquidity: Very liquid in comparison to most single name CDS contracts, with tight bid/offer spreads
Tradability: Can be traded and priced as easily as a basket of cash bond indices or single name CDS
Transparency: Rules, constituents and daily prices are all fully transparent and publicly available

Prospective investors should bear in mind some restrictive features, such as:
Standard Maturities: Similar to any bond, credit index investors do not choose the maturity of their investment.
They can choose among existing maturities (for example: 3, 5, 7 or 10 years for the iTraxx Main index)
Given Portfolio: Credit index investors do not choose the names composing the index

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 STRUCTURED CREDIT
SOLUTIONS

iTraxx Indices: Roll & Initial Allocation

Every six months, a new series with updated constituents is issued but all previous series continue to be traded for
several years. These biannual roll dates generally occur on March 20th and September 20th of each year.
The initial allocation of the indices is determined by the index sponsor and a committee of dealers on the roll date.

Impact After a Credit Event

Index Composition Changes
A new version of the index is published, assigning a zero percent weight to the relevant entity
The notional amount of the index is reduced by the full weight of the name in the index and a cash payment
occurs representing the Loss (i.e. 1 - Recovery Value) of the impacted name

Investor Money Flows

Investors long the index receive: (1-R) x Entity Weight x Nominal
Investors short the index pay: (1-R) x Entity Weight x Nominal

Quotation
Unlike equity indices, credit indices are not calculated they are quoted
A credit index is an OTC instrument (ruled by ISDA) quoted by market makers who give bid/ask prices. Therefore,
there is neither a clearing house nor an exchange.
The indices can also be bought directly. If the investor is long the index, he will pay the spread and get the loss payment
in the occurrence of a Credit Event.

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 STRUCTURED CREDIT
SOLUTIONS

INDEX TRANCHES
Tranches allow investors to gain exposure to a specific part of the loss distribution of an index, offering
protection in exchange for premia linked to different tranches.

Exposure to a specific risk segment

Tranches split the loss distribution resulting from defaulting entities in the portfolio and enable an investor in a superior
tranche not to be affected by the first Credit Events.
Each tranche is defined by its attachment and detachment point (see below), with typical tranches being 0-3%, 3-6%,
6-9%, 9-12%, 12-22%, and 22%-100%.

100%

Super
senior
..
.
Basket of
Equally
Weighted
CDS Senior

6% Detachment Point
Mezzanine
3% Attachment Point
Equity Subordination
0%
(Protection)

The payoff profile of a tranche investment is similar to that of a put spread on losses

Tranche
100%
Payoff

0%
0% 3% 6%
Cumulative Loss

20
 STRUCTURED CREDIT
SOLUTIONS

Example: iTraxx Mezzanine Tranche

Investing in a product consisting of an exposure to an 100%
iTraxx mezzanine tranche enables investors to receive
attractive annual coupons through a diversified exposure

Cumulative Loss
to the European credit market. Protection
Investors are exposed to a tranche on the iTraxx (from 3%
to 6% for example), with annual coupons and the nominal
protected from the first few potential Credit Events in

Tranche
6% 100%
the index thanks to the initial protective cushion (3% in

Loss
Exposure
thisinstance). 3% 0%
Protection
0%

Tranche Loss Calculation: a 3-Step Process

1 2 3
REAL LOSS PER CUMULATIVE LOSS
TRANCHE LOSS
CREDIT EVENT OF THE INDEX

100% 100%

Recovery
Value
Real
Loss
6%
3%
0% 0%

Real Loss = 1 Recovery Value Cumulative Loss* = 4.5% Tranche Loss** = 50%

The figures used in this example are given for purely indicative purposes, the objective is to describe the mechanism of the product. It allows an
understanding of how the product would have performed at different market stages over previous years, but is no guarantee as to future returns
and has no contractual value.

* Sum of the Real Losses of the Index

** Percentage of the Tranche Consumed

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 STRUCTURED CREDIT
SOLUTIONS

IMPORTANT INFORMATION
The contents of this document are given for purely indicative
purposes and have no contractual value.

Credit risk: By acquiring the product, the investor takes a credit risk on the issuer and potentially the guarantor, i.e. the issuers and
potentially the guarantors insolvency may result in the partial or total loss of the invested amount.

For credit derivative transactions or credit linked notes, investors will also be exposed to the credit risk of the reference entity(ies) mentioned
in such product, i.e. the reference entity(ies)s insolvency may result in the partial or total loss of the invested amount.

Market risk: The product may at any time be subject to significant price movement, which may in certain cases lead to the loss of the entire
amount invested.

Liquidity risk: Certain exceptional market circumstances may have a negative effect on the liquidity of the product, and even render the
product entirely illiquid, which may make it impossible to sell the product and result in the partial or total loss of the invested amount.

Risks relating to unfavourable market conditions: The fluctuations in the marked-to-market value of the product may require the investor
to make provisions or resell the product in whole or in part before maturity, in order to enable the investor to comply with its contractual or
regulatory obligations. As a consequence, the investor may have to liquidate the product under unfavourable market conditions, which may
result in the partial or total loss of the invested amount. This risk will be even higher if the product includes leverage.

Authorisation: Socit Gnrale is a French credit institution (bank) authorised by the Autorit de Contrle Prudentiel (the French Prudential
Control Authority).

No offer to contract: This document does not constitute an offer, or an invitation to make an offer, from Socit Gnrale to purchase or
sell a product.

Prior to investing in the product, investors should seek independent financial, tax, accounting and legal advice.

Information on data and/or figures drawn from external sources: The accuracy, completeness or relevance of the information which has
been drawn from external sources is not guaranteed although it is drawn from sources reasonably believed to be reliable. Subject to any
applicable law, Socit Gnrale shall not assume any liability in this respect.

Market information: The market information displayed in this document is based on data at a given moment and may change from time
totime.

iTraxx is a registered trade mark of International Index Company Limited (IICL) and has been licensed for the use by Societe Generale.
IICL does not approve, endorse or recommend Societe Generale or iTraxx derivatives products. iTraxx derivatives products are
derived from a source considered reliable, but neither IICL nor any of its employees, suppliers, subcontractors and agents (together
iTraxx Associates) guarantees the veracity, completeness or accuracy of iTraxx derivatives products or other information furnished in
connection with iTraxx derivatives products. No representation, warranty or condition, express or implied, statutory or otherwise, as to
condition, satisfactory quality, performance, or fitness for purpose are given or assumed by IICL or any of the iTraxx Associates in respect
of iTraxx derivatives products or any data included in such iTraxx derivatives products or the use by any person or entity of iTraxx
derivatives products or that data and all those representations, warranties and conditions are excluded save to the extent that such
exclusion is prohibited by law. None of IICL nor any of the iTraxx Associates shall have any liability or responsibility to any person or entity
for any loss, damages, costs, charges, expenses or other liabilities whether caused by the negligence of IICL or any of the iTraxx Associates
or otherwise, arising in connection with the use of iTraxx derivatives products or the iTraxx indices.

22
 CROSS ASSET
2012
SOLUTIONS

Ref. (A) 711787 Studio Socit Gnrale +33 (0)1 42 14 27 05 - 07/2012 - Photos: Getty, Fotolia.

Tours Socit Gnrale

75886 Paris cedex 18 France
www.sgcib.com

SOCIT GNRALE
Socit Anonyme au capital de: 970 099 988,75 EUR
552120222 R.C.S. Paris