AVVISO n.16797 05 Settembre 2016 SeDeX - LEV. CERTIFICATES

AVVISO n.16797
05 Settembre 2016
SeDeX - LEV. CERTIFICATES

Mittente del comunicato : BORSA ITALIANA

Societa' oggetto dell'Avviso

: UniCredit Bank AG

Testo del comunicato

Oggetto : Inizio negoziazione 'Leverage Certificates - Classe B' 'UniCredit Bank AG' emessi nell'ambito di un Programma

Si veda allegato.

Disposizioni della Borsa

Strumenti finanziari: Benchmark Leva su indici composti da singola

azione

Emittente: UniCredit Bank AG

Rating Emittente:	Società di Rating	Long Term	Data Report
	Moody's	A2	19/06/2015
	Standard & Poor's	BBB	09/06/2015
	Fitch Ratings	A-	19/05/2015

Oggetto: INIZIO NEGOZIAZIONI IN BORSA

Data di inizio negoziazioni: 06/09/2016

Mercato di quotazione: Borsa - Comparto SEDEX 'Leverage Certificates - Classe

B'

Orari e modalità di negoziazione: Negoziazione continua e l'orario stabilito dall'art. IA.7.3.1

delle Istruzioni

Operatore incaricato ad assolvere l'impegno di quotazione:

Unicredit Bank AG - Milano Member ID Specialist: IT4690

Limiti di variazione prezzi: stabiliti nella "Guida ai Parametri" di negoziazione

dei mercati regolamentati organizzati e

gestiti da Borsa Italiana - Mercato Sedex punto 2) par A)

CARATTERISTICHE SALIENTI DEI TITOLI OGGETTO DI QUOTAZIONE

Benchmark Leva su indici composti da singola azione

Tipo di liquidazione: monetaria

Modalità di esercizio: europeo

DISPOSIZIONI DELLA BORSA ITALIANA

Dal giorno 06/09/2016, gli strumenti finanziari 'Benchmark Leva su indici composti da singola azione' (vedasi scheda riepilogativa delle caratteristiche dei securitised derivatives) verranno inseriti nel Listino Ufficiale, sezione Securitised Derivatives.

Allegati:

- Scheda riepilogativa delle caratteristiche dei securitised derivatives;

- Estratto del prospetto di quotazione dei Securitised Derivatives

Num. Serie	Codice Isin	Trading Code	Instrument Id	Descrizione	Sottostante	Tipologia	Data Scadenza	Parità	Quantità	Lotto EMS Commissione Negoziazione %
1	DE000HV4BMS2	UGEN2L	800875	UCHGENXLOSLFISSAE150618	GENERALI X2	Bull	15/06/18	1	50000	1	24	5,5
2	DE000HV4BMT0	UGEN2S	800770	UCHGENXSHSLFISSAE150618	GENERALI X -2	Bear	15/06/18	1	50000	1	26	5,5
3	DE000HV4BMU8	UENE2L	800876	UCHENEXLOSLFISSAE150618	ENEL X2	Bull	15/06/18	1	50000	1	24	5,5
4	DE000HV4BMV6	UENE2S	800877	UCHENEXSHSLFISSAE150618	ENEL X -2	Bear	15/06/18	1	50000	1	26	5,5
5	DE000HV4BMW4	UENI2L	800771	UCHENIXLOSLFISSAE150618	ENI X2	Bull	15/06/18	1	50000	1	23	5,5
6	DE000HV4BMX2	UENI2S	800878	UCHENIXSHSLFISSAE150618	ENI X -2	Bear	15/06/18	1	50000	1	27	5,5
7	DE000HV4BMY0	UFCA2L	800879	UCHFCAXLOSLFISSAE150618	FIAT-FCA X2	Bull	15/06/18	1	50000	1	26	5,5
8	DE000HV4BMZ7	UFCA2S	800772	UCHFCAXSHSLFISSAE150618	FIAT-FCA X -2	Bear	15/06/18	1	50000	1	24	5,5
9	DE000HV4BM05	UISP2L	800880	UCHINTXLOSLFISSAE150618	INTESA SANPAOLO X2	Bull	15/06/18	1	50000	1	21	5,5
10	DE000HV4BM13	UISP2S	800773	UCHINTXSHSLFISSAE150618	INTESA SANPAOLO X -2	Bear	15/06/18	1	50000	1	31	5,5
11	DE000HV4BM21	UTLT2L	800881	UCHTITXLOSLFISSAE150618	TELECOM ITALIA X2	Bull	15/06/18	1	50000	1	24	5,5
12	DE000HV4BM39	UTLT2S	800882	UCHTITXSHSLFISSAE150618	TELECOM ITALIA X -2	Bear	15/06/18	1	50000	1	26	5,5

Final Terms

dated 05/09/2016 UniCredit Bank AG

Issue of Closed End Leverage Securities denominated:

"B e nc hma r k L e va G E NE R A L I X 2 " with ISIN DE000HV4BMS2 "B e nc hma r k L e va G E NE R A L I X - 2 " with ISIN DE000HV4BMT0 "B e nc hma r k L e va E NE L X 2 " with ISIN DE000HV4BMU8

"B e nc hma r k L e va E NE L X - 2 " with ISIN DE000HV4BMV6 "B e nc hma r k L e va E NI X 2 " with ISIN DE000HV4BMW4 "B e nc hma r k L e va E NI X - 2 " with ISIN DE000HV4BMX2

"B e nc hma r k L e va F I A T - F C A X 2 " with ISIN DE000HV4BMY0 "B e nc hma r k L e va F I A T - F C A X - 2 " with ISIN DE000HV4BMZ7

"B e nc hma r k L e va I NT E S A S A NP A O L O X 2 " with ISIN DE000HV4BM05 "B e nc hma r k L e va I NT E S A S A NP A O L O X - 2 " with ISIN DE000HV4BM13 "B e nc hma r k L e va T E L E C O M I T A L I A X 2 " with ISIN DE000HV4BM21

"B e nc hma r k L e va T E L E C O M I T A L I A X - 2 " with ISIN DE000HV4BM39

(the "Securities") under the

Euro 50,000,000,000

Debt Issuance Programme of UniCredit Bank AG

These final terms (the "Final Terms") have been prepared for the purposes of Article 5 para. 4 of the Di- rective 2003/71/EC, at the date of the Base Prospectus (the "Prospectus Directive") in connection with § 6 para. 3 of the German Securities Prospectus Act, at the date of the Base Prospectus (Wertpapierpro- spektgesetz, the "WpPG"). In order to get the full information the Final Terms are to be read together with the information contained in the base prospectus of UniCredit Bank AG (the "Issuer") dated 28 June 2016 for the issuance of Securities with single-underlying (without capital protection) (the "Base Prospectus") and in any supplements to the Base Prospectus according to § 16 WpPG (the "Supplements").

The Base Prospectus, any Supplements and these Final Terms are available on xxx.xxxxxxxxxxxx.xxxxxxxxx.xx in accordance with § 14 WpPG. The Issuer may replace these website(s) by any successor website(s) which will be published by notice in accordance with § 6 of the General Condi- tions.

An issue specific summary is annexed to these Final Terms.

SECTION A – GENERAL INFORMATION

Issue date and issue price:

29/08/2016

The issue price per Security is specified in § 1 of the Product and Underlying Data.

Selling concession: Not applicable Other commissions: Not applicable

Issue volume:

The issue volume of each Series issued under and described in these Final Terms is specified in § 1 of the Product and Underlying Data.

The issue volume of each Tranche issued under and described in these Final Terms is specified in § 1 of the Product and Underlying Data.

Product Type:

Closed End Leverage Securities

Admission to trading and listing:

Application has been made for the Securities to be admitted to trading with effect from 06/09/2016 on the following regulated or other equivalent markets:

• Borsa Italiana S.p.A. – SeDeX market

Application to listing has been made as of 06/09/2016 on the following markets:

• Borsa Italiana S.p.A. – SeDeX market

The UniCredit Bank AG (also the "Market Maker") undertakes to provide liquidity through bid and offer quotes in accordance with the market making rules of Borsa Italiana S.p.A., where the Securities are ex- pected to be listed. The obligations of the Market Maker are regulated by the rules of the markets orga- nized and managed by Borsa Italiana S.p.A., and the relevant instructions to such rules.

Payment and delivery:

Delivery against payment

Notification:

The Federal Financial Supervisory Authority (the "BaFin") has provided to the competent authorities in France, Italy, Luxembourg, the Czech Republic, Sweden, Finland, the Netherlands, Hungary, the Slovak Republic and Poland a certificate of approval attesting that the Base Prospectus has been drawn up in accordance with the Prospectus Directive.

Terms and conditions of the offer:

Day of the first public offer: 05/09/2016 A public offer will be made in Italy.

The smallest transferable unit is 1 Security. The smallest tradable unit is 1 Security.

The Securities will be offered to qualified investors, retail investors and/or institutional investors.

As of the day of the first public offer the Securities described in the Final Terms will be offered on a con- tinuous basis.

The continuous offer will be made on current ask prices provided by the Issuer.

The public offer may be terminated by the Issuer at any time without giving any reason.

Consent to the use of the Base Prospectus:

The Issuer consents to the use of the Base Prospectus by all financial intermediaries (so-called general

consent).

Such consent to use the Base Prospectus is given during the period of the validity of the Base Prospectus. General consent for the subsequent resale or final placement of Securities by the financial intermediar- ies is given in relation to Italy.

The Issuer's consent to the use of the Base Prospectus is subject to the condition that each financial intermediary complies with the applicable selling restrictions and the terms and conditions of the offer.

U.S. Selling Restrictions:

Neither TEFRA C nor TEFRA D

Interest of Natural and Legal Persons involved in the Issue/Offer:

With regard to trading of the Securities the Issuer has a conflict of interest being also the Market Maker on the Borsa Italiana S.p.A. – SeDeX market.

The Issuer is also the arranger and the Calculation Agent of the Securities.

Additional information:

Not applicable

SECTION B – CONDITIONS:

Part A - General Conditions of the Securities Form, Clearing System, Global Note, Custody

Type of the Securities: certificates

Global Note: The Securities are represented by a permanent global note without interest coupons.

Principal Paying Agent: UniCredit Bank AG, Xxxxxxxxxxxxxx 00, 00000 Xxxxxx, Xxxxxxx French Paying Agent: not applicable

Calculation Agent: UniCredit Bank AG, Xxxxxxxxxxxxxx 00, 00000 Xxxxxx, Xxxxxxx Clearing System: Monte Titoli S.p.A.

PART B – PRODUCT AND UNDERLYING DATA

(the "Product and Underlying Data")

§ 1

Product Data

First Call Date: 06/03/2017

First Redemption Date: 26/09/2016

First Trade Date: 06/09/2016 Issue Date: 29/08/2016 Specified Currency: Euro ("EUR")

Website for Notices: xxx.xxxxxxxxxxxx.xxxxxxxxx.xx

Website of the Issuer: xxx.xxxxxxxxxxxx.xxxxxxxxx.xx

Table 1.1:

ISIN	WKN	Reuters	Trading Code	Series Number	Tranche Number	Issue Volume of Series in units	Issue Volume of Tranche in units	Issue Price
XX000XX0XXX0	XX0XXX	XXXX0XXXxXXXX	UGEN2L	1	1	50.000	50.000	95.43
XX000XX0XXX0	XX0XXX	XXXX0XXXxXXXX	XXXX0X	2	1	50.000	50.000	104.66
XX000XX0XXX0	XX0XXX	XXXX0XXXxXXXX	XXXX0X	3	1	50.000	50.000	98.25
XX000XX0XXX0	XX0XXX	XXXX0XXXxXXXX	XXXX0X	4	1	50.000	50.000	101.64
DE000HV4BMW4	HV4BMW	DEHV4BMW=HVBG	UENI2L	5	1	50.000	50.000	101.44
DE000HV4BMX2	HV4BMX	DEHV4BMX=HVBG	UENI2S	6	1	50.000	50.000	98.34
DE000HV4BMY0	HV4BMY	DEHV4BMY=HVBG	UFCA2L	7	1	50.000	50.000	97.70
DE000HV4BMZ7	HV4BMZ	DEHV4BMZ=HVBG	UFCA2S	8	1	50.000	50.000	102.21
DE000HV4BM05	HV4BM0	DEHV4BM0=HVBG	UISP2L	9	1	50.000	50.000	102.30
DE000HV4BM13	HV4BM1	DEHV4BM1=HVBG	UISP2S	10	1	50.000	50.000	97.61
XX000XX0XX00	XX0XX0	XXXX0XX0xXXXX	XXXX0X	11	1	50.000	50.000	99.73
DE000HV4BM39	HV4BM3	DEHV4BM3=HVBG	UTLT2S	12	1	50.000	50.000	100.28

Table 1.2:

ISIN	Underlying	Reference Price	Ratio (initial)	Management Fee in %	Gap Risk Fee in %	Maximum Gap Risk Fee in %	Expiry Date (Da- ta di Scadenza)	Maturity Date
DE000HV4BMS2	Assicurazioni Generali S.p.A. Leva 2 Long Daily Net Return EUR (in short GENERALI X2)	Closing Price	1	0.50%	5%	8%	15/06/2018	22/06/2018
DE000HV4BMT0	Assicurazioni Generali S.p.A. Leva 2 Short Daily Gross Return EUR (in short GENERALI X -2)	Closing Price	1	0.50%	5%	8%	15/06/2018	22/06/2018
DE000HV4BMU8	Enel S.p.A. Leva 2 Long Daily Net Re- turn EUR (in short ENEL X2)	Closing Price	1	0.50%	5%	8%	15/06/2018	22/06/2018

DE000HV4BMV6	Enel S.p.A. Leva 2 Short Daily Gross Return EUR (in short ENEL X -2)	Closing Price	1	0.50%	5%	8%	15/06/2018	22/06/2018
DE000HV4BMW4	ENI S.p.A. Leva 2 Long Daily Net Return EUR (in short ENI X2)	Closing Price	1	0.50%	5%	8%	15/06/2018	22/06/2018
DE000HV4BMX2	ENI S.p.A. Leva 2 Short Daily Gross Return EUR (in short ENI X -2)	Closing Price	1	0.50%	5%	8%	15/06/2018	22/06/2018
DE000HV4BMY0	Fiat Chrysler Automobiles N.V. Leva 2 Long Daily Net Return EUR (in short FIAT-FCA X2)	Closing Price	1	0.50%	5%	8%	15/06/2018	22/06/2018
DE000HV4BMZ7	Fiat Chrysler Automobiles N.V. Leva 2 Short Daily Gross Return EUR (in short FIAT-FCA X -2)	Closing Price	1	0.50%	5%	8%	15/06/2018	22/06/2018
DE000HV4BM05	Intesa Sanpaolo S.p.A. Leva 2 Long Daily Net Return EUR (in short INTESA SANPAOLO X2)	Closing Price	1	0.50%	5%	8%	15/06/2018	22/06/2018
DE000HV4BM13	Intesa Sanpaolo S.p.A. Leva 2 Short Daily Gross Return EUR (in short IN- TESA SANPAOLO X -2)	Closing Price	1	0.50%	5%	8%	15/06/2018	22/06/2018
DE000HV4BM21	Telecom Italia S.p.A. Leva 2 Long Daily Net Return EUR (in short TELECOM ITALIA X2)	Closing Price	1	0.50%	5%	8%	15/06/2018	22/06/2018
DE000HV4BM39	Telecom Italia S.p.A. Leva 2 Short Daily Gross Return EUR (in short TELECOM ITALIA X -2)	Closing Price	1	0.50%	5%	8%	15/06/2018	22/06/2018

Table 2.1:

§ 2

Underlying Data

Underlying	Leverage Factor	Factor Type	Underlying Currency	ISIN	Reuters	Index Sponsor	Index Calcula- tion Agent	Website
Assicurazioni Generali S.p.A. Leva 2 Long Daily Net Return EUR (in short GENERALI X2)	2	Long	EUR	DE000A2BNM26	.ICFG00L2	ICF Bank AG	ICF Bank AG	xxx.xxx-xxxxxxx.xx
Assicurazioni Generali S.p.A. Leva 2 Short Daily Gross Return EUR (in short GENERALI X -2)	-2	Short	EUR	DE000A2BNM34	.ICFG00S2	ICF Bank AG	ICF Bank AG	xxx.xxx-xxxxxxx.xx
Enel S.p.A. Leva 2 Long Daily Net Return EUR (in short ENEL X2)	2	Long	EUR	DE000A2BNM67	.ICFENEL2	ICF Bank AG	ICF Bank AG	xxx.xxx-xxxxxxx.xx
Enel S.p.A. Leva 2 Short Daily Gross Return EUR (in short ENEL X -2)	-2	Short	EUR	DE000A2BNM75	.ICFENES2	ICF Bank AG	ICF Bank AG	xxx.xxx-xxxxxxx.xx
ENI S.p.A. Leva 2 Long Daily Net Return EUR (in short ENI X2)	2	Long	EUR	DE000A2BNM42	.ICFENIL2	ICF Bank AG	ICF Bank AG	xxx.xxx-xxxxxxx.xx
ENI S.p.A. Leva 2 Short Daily Gross Return EUR (in short ENI X -2)	-2	Short	EUR	DE000A2BNM59	.ICFENIS2	ICF Bank AG	ICF Bank AG	xxx.xxx-xxxxxxx.xx
Fiat Chrysler Automobiles N.V. Leva 2 Long Daily Net Return EUR (in short FIAT-FCA X2)	2	Long	EUR	DE000A2BNM00	.ICFFCAL2	ICF Bank AG	ICF Bank AG	xxx.xxx-xxxxxxx.xx
Fiat Chrysler Automobiles N.V. Leva 2 Short Daily Gross Return EUR (in short FIAT-FCA X -2)	-2	Short	EUR	DE000A2BNM18	.ICFFCAS2	ICF Bank AG	ICF Bank AG	xxx.xxx-xxxxxxx.xx
Intesa Sanpaolo S.p.A. Leva 2 Long Daily Net Return EUR (in short IN- TESA SANPAOLO X2)	2	Long	EUR	DE000A2BNNA8	.ICFISPL2	ICF Bank AG	ICF Bank AG	xxx.xxx-xxxxxxx.xx
Intesa Sanpaolo S.p.A. Leva 2 Short Daily Gross Return EUR (in short INTESA SANPAOLO X -2)	-2	Short	EUR	DE000A2BNNB6	.ICFISPS2	ICF Bank AG	ICF Bank AG	xxx.xxx-xxxxxxx.xx

Telecom Italia S.p.A. Leva 2 Long Daily Net Return EUR (in short TEL- ECOM ITALIA X2)	2	Long	EUR	DE000A2BNM83	.ICFTITL2	ICF Bank AG	ICF Bank AG	xxx.xxx-xxxxxxx.xx
Telecom Italia S.p.A. Leva 2 Short Daily Gross Return EUR (in short TELECOM ITALIA X -2)	-2	Short	EUR	DE000A2BNM91	.ICFTITS2	ICF Bank AG	ICF Bank AG	xxx.xxx-xxxxxxx.xx

For further information about the past and future performance of the Underlying and its volatility, please refer to the Website as specified in the table.

PART C – SPECIAL CONDITIONS OF THE SECURITIES

(the "Special Conditions")

§ 1

Definitions

"Adjustment Date" means each calendar day following the First Trade Date. "Adjustment Event" means each of the following events:

(a) changes in the relevant Index Concept or the calculation of the Underlying, that in the reasonable discretion (§ 315 BGB) of the Calculation Agent result in a new relevant Index Concept or calculation of the Underlying being no longer economically equivalent to the original relevant Index Concept or the original calculation of the Underlying;

(b) the calculation or publication of the Underlying is finally discontinued, or replaced by an- other index (the "Index Replacement Event");

(c) due to circumstances for which the Issuer is not responsible, the Issuer is no longer enti- tled to use the Underlying as basis for the calculations or, respectively, specifications de- scribed in the Terms and Conditions of these Securities; likewise the Issuer is not respon- sible for the termination of the license to use the Underlying due to an unacceptable in- crease in license fees (a "License Termination Event");

(d) any event which is economically equivalent to one of the above-mentioned events with regard to its consequences on the Underlying.

"Banking Day" means each day (other than a Saturday or Sunday) on which the Clearing System and the Trans-European Automated Real-time Gross settlement Express Transfer-System (TAR- GET2) (the "TARGET2") is open for business.

"Calculation Agent" means the Calculation Agent as specified in § 2 (2) of the General Condi- tions.

"Calculation Date" means each day on which the Reference Price is published by the Index Sponsor or the Index Calculation Agent, as the case may be.

"Call Date" means the Call Date as defined in § 5 (2) of the Special Conditions. "Call Event" means Index Call Event or Gap Risk Fee Excess Call Event. "Change in Law" means that due to

(a) the coming into effect of changes in laws or regulations (including but not limited to tax laws or capital market provisions) or

(b) a change in relevant case law or administrative practice (including the administrative practice of the tax or financial supervisory authorities),

in the reasonable discretion (§ 315 BGB) of the Issuer

the holding, acquisition or sale of the Underlying or assets that are needed in order to hedge price risks or other risks with respect to its obligations under the Securities is or becomes wholly or partially illegal for the Issuer,

if such changes become effective on or after the First Trade Date.

"Clearance System" means the principal domestic clearance system customarily used for set- tling trades in the securities that form the basis of the Underlying as determined by the Calcula- tion Agent in its reasonable discretion (§ 315 BGB).

"Clearance System Business Day" means, with respect to the Clearance System, any day (other than a Saturday or Sunday) on which such Clearance System is open for the acceptance and exe- cution of settlement instructions.

"Clearing System" means Monte Titoli S.p.A., Xxxxxx Xxxxxx 0, 00000 Xxxxx, Xxxxx.

"Determining Futures Exchange" means the options and/or futures exchange, on which respec- tive derivatives of the Underlying or – if derivatives on the Underlying are not traded – its com- ponents (the "Derivatives") are traded, and as determined by the Calculation Agent in its reason- able discretion (§ 315 BGB) by way of notice pursuant to § 6 of the General Conditions in accord- ance with such Derivative's number or liquidity.

In the case of a material change in the market conditions at the Determining Futures Exchange, such as a final discontinuation of derivatives' quotation linked to the Underlying or to its compo- nents at the Determining Futures Exchange or a considerably restricted number or liquidity, the Calculation Agent will in its reasonable discretion (§ 315 BGB) by way of notice pursuant to § 6 of the General Conditions determine another options and/or futures exchange as the determining futures exchange (the "Substitute Futures Exchange"). In the event of such substitution, any reference to the Determining Futures Exchange in the Terms and Conditions of these Securities shall be deemed to refer to the Substitute Futures Exchange.

"Expiry Date (Data di Scadenza)" means the Expiry Date as specified in § 1 of the Product and Underlying Data.

"Factor Type" means the Factor Type as specified in § 2 of the Product and Underlying Data. "First Call Date" means the First Call Date as specified in § 1 of the Product and Underlying Data.

"First Redemption Date" means the First Redemption Date as specified in § 1 of the Product and Underlying Data.

"First Trade Date" means the First Trade Date as specified in § 1 of the Product and Underlying Data.

"Gap Risk Fee" means the Gap Risk Fee as specified in § 1 of the Product and Underlying Data.

The Gap Risk Fee reflects the costs of providing against sudden price changes of the Underlying. The Calculation Agent will, in the case of not only immaterial changes in the probability of sud- den price changes of the Underlying (such as changes in the Underlying, changes in overall mar- ket volatility), adjust the Gap Risk Fee to such changed market conditions. The extent of the ad- justment is determined by the Calculation Agent in its reasonable discretion (§ 315 BGB) based on the extent of the changes in the relevant market conditions. The methodology used to deter- mine the Gap Risk Fee at the First Trade Date may not be subsequently changed to the detriment of the Security Holders. The Gap Risk Fee shall not exceed the Maximum Gap Risk Fee (including). The Issuer will provide notice of such adjustment pursuant to § 6 of the General Conditions.

"Gap Risk Fee Excess Call Event" means a situation where the adjustment of the Gap Risk Fee to changed market conditions would, in the reasonable discretion (§ 315 BGB) of the Calculation Agent, lead to a Gap Risk Fee lying above the Maximum Gap Risk Fee.

"Gap Risk Fee (t)" means the Gap Risk Fee applicable on the relevant calendar day (t).

"Index Calculation Agent" means the Index Calculation Agent as specified in § 2 of the Product and Underlying Data.

"Index Call Event" means each of the following events:

(a) in the reasonable discretion (§ 315 BGB) of the Calculation Agent no suitable Replace- ment Underlying is available;

(b) a Change in Law occurs;

(c) the Underlying is no longer calculated or published in the Underlying Currency;

(d) in the reasonable discretion (§ 315 BGB) of the Calculation Agent no suitable substitute for the Index Sponsor and/or the Index Calculation Agent is available.

"Index Sponsor" means the Index Sponsor as specified in § 2 of the Product and Underlying Data. "Issue Date" means the Issue Date as specified in § 1 of the Product and Underlying Data. "Leverage Factor" means the Leverage Factor as specified in § 2 of the Product and Underlying

Data.

"Management Fee" means the Management Fee as specified in § 1 of the Product and Underly- ing Data.

The Calculation Agent may reduce but not increase the Management Fee at any time during the term of the Securities. Such reduction shall be notified pursuant to § 6 of the General Conditions.

"Management Fee (t)" means the Management Fee applicable on the relevant calendar day (t). "Market Disruption Event" means each of the following events:

(a) in general the suspension or restriction of trading on the exchanges or the markets on which the securities that form the basis of the Underlying are listed or traded, or on the respective futures exchanges or on the markets on which Derivatives of the Underlying are listed or traded;

(b) in relation to individual securities which form the basis of the Underlying, the suspension or restriction of trading on the exchanges or on the markets on which such securities are traded or on the respective futures exchange or the markets on which derivatives of such securities are traded;

(c) in relation to individual Derivatives of the Underlying, the suspension or restriction of trading on the futures exchanges or the markets on which such derivatives are traded;

(d) the suspension of or failure or the non-publication of the calculation of the Underlying as a result of a decision by the Index Sponsor or the Index Calculation Agent;

to the extent that such Market Disruption Event occurs in the last hour prior to the normal calcu- lation of the Reference Price, which is relevant for the Securities, and continues at the point of time of the normal calculation and is material in the reasonable discretion (§ 315 BGB) of the Calculation Agent. Any restriction of the trading hours or the number of days on which trading takes place on the Relevant Exchange or, as the case may be, the Determining Futures Exchange, shall not constitute a Market Disruption Event provided that the restriction occurs due to a previ- ously announced change in the rules of the Relevant Exchange or, as the case may be, the De- termining Futures Exchange.

"Maturity Date" means the Maturity Date as specified in § 1 of the Product and Underlying Data.

"Maximum Gap Risk Fee" means the Maximum Gap Risk Fee as specified in § 1 of the Product and Underlying Data.

"Observation Date" means the fifth Banking Day prior to each Redemption Date and each Call Date and the Maturity Date. If such day is not a Calculation Date, the immediately following day, which is a Calculation Date, shall be the respective Observation Date. The respective Redemption Date or the respective Call Date or the Maturity Date will be postponed accordingly. Interest shall not be payable due to such postponement.

"Principal Paying Agent" means the Principal Paying Agent as specified in § 2 (1) of the General Conditions.

"Ratio" means the Ratio (initial) on the First Trade Date. On each Adjustment Date following the First Trade Date the Ratio shall be adjusted as follows:

Ratio = Ratio (t-1) x Ratio Adjustment Factor.

The Issuer will publish the Ratio after its determination on the Website of the Issuer with the re- spective product information.

"Ratio Adjustment Factor" means the Ratio Adjustment Factor calculated according to the fol- lowing formula: 100% - ((Gap Risk Fee (t) + Management Fee (t)) / 365,25).

"Ratio (initial)" means the Ratio (initial) as specified in § 1 of the Product and Underlying Data.

"Ratio (t-1)" means the Ratio on each calendar day immediately preceding the relevant Adjust- ment Date. On the first Adjustment Date the Ratio (t-1) is the Ratio (initial).

"Redemption Amount" means the Redemption Amount as calculated or, respectively, specified by the Calculation Agent pursuant to § 4 of the Special Conditions.

"Redemption Date" means the Redemption Date as defined in § 5 (1) of the Special Conditions. "Redemption Right" means the Redemption Right as defined in § 5 (1) of the Special Conditions.

"Reference Price" means the Reference Price of the Underlying as specified in § 1 of the Product and Underlying Data.

"Reference Underlying" means the Reference Underlying as specified in § 2 of the Product and Underlying Data.

"Regular Call Right" means the Regular Call Right as defined in § 5 (2) of the Special Conditions.

"Relevant Exchange" means the exchange, on which the components of the Underlying are trad- ed, as determined by the Calculation Agent in its reasonable discretion (§ 315 BGB) by way of no- tice pursuant to § 6 of the General Conditions in accordance with such components' liquidity.

In the case of a material change in the market conditions at the Relevant Exchange, such as a fi- nal discontinuation of the quotation of the components of the Underlying at the Relevant Ex- change and the quotation at a different stock exchange or a considerably restricted number or li- quidity, the Calculation Agent will in its reasonable discretion (§ 315 BGB) by way of notice pur- suant to § 6 of the General Conditions determine another stock exchange as the relevant ex- change (the "Substitute Exchange"). In this case, any reference to the Relevant Exchange in the Terms and Conditions of these Securities shall be deemed to refer to the Substitute Exchange.

"Relevant Reference Price" means the Reference Price on the respective Observation Date. "Security Holder" means the holder of a Security.

"Settlement Cycle" means the period of Clearance System Business Days following a transaction on the Relevant Exchange in the securities that form the basis of the Underlying, during which period settlement will customarily take place according to the rules of such Relevant Exchange.

"Specified Currency" means the Specified Currency as specified in § 1 of the Product and Under- lying Data.

"Terms and Conditions" means the terms and conditions of these Securities as set out in the General Conditions (Part A), the Product and Underlying Data (Part B) and the Special Conditions (Part C).

"Underlying" means the Underlying as specified in § 1 of the Product and Underlying Data. The Underlying is specified by the Index Sponsor and is calculated by the Index Calculation Agent.

"Underlying Currency" means the Underlying Currency as specified in § 2 of the Product and Un- derlying Data.

"Website for Notices" means the Website for Notices as specified in § 1 of the Product and Un- derlying Data.

"Website of the Issuer" means the Website of the Issuer as specified in § 1 of the Product and Underlying Data.

§ 2

Interest

Interest: The Securities do not bear interest.

§ 3

Redemption

(1) Redemption: The Securities shall be redeemed by payment of the Redemption Amount on the respective Redemption Date or the respective Call Date or the Maturity Date pursuant to the pro- visions of § 6 of the Special Conditions.

§ 4

Redemption Amount

Redemption Amount: With respect to any Redemption Date, Call Date or the Maturity Date, as the case may be, and the corresponding Observation Date, the Redemption Amount equals an amount in the Specified Currency, calculated or specified by the Calculation Agent as follows:

Redemption Amount = max(Relevant Reference Price; 0) x Ratio

For the calculation of the Redemption Amount one index point corresponds to one unit of the Underlying Currency (e.g. EUR 1.00 for Euro or USD 1.00 for US-Dollar).

The method of calculation or, respectively, specification of the Redemption Amount is subject to adjustments and market disruptions pursuant to § 7 and § 8 of the Special Conditions.

§ 5

Redemption Right of the Security Holders, Issuer's Regular Call Right, Issuer's Extraordinary Call Right

(1) Redemption Right of the Security Holders: Each Security Holder may demand redemption of the Securities pursuant to the provisions of § 4 (1) of the Special Conditions against delivery of the Securities to the account of the Principal Paying Agent No. 60547 with the Clearing System to the Issuer's order (the "Redemption Right") at each Banking Day starting on the First Redemption Date until the Maturity Date (excluding) (each such date a "Redemption Date").

The exercise of the Redemption Right shall be declared by the Security Holder by transmission of a duly completed form (the "Redemption Notice"), available at the offices of the Issuer during normal business hours, to the Issuer at least 15 Banking Days prior to the designated Redemp- tion Date.

The Redemption Notice shall include in particular:

(a) the name and the address of the Security Holder, with sufficiently conclusive proof of ownership to the Principal Paying Agent that such Security Holder at the time of such no- tice is a holder of the respective Securities;

(b) the security identification number and the number of Securities in relation to which the Redemption Right shall be exercised;

(c) the cash account held by a bank to which the Redemption Amount is to be transferred.

If the number of Securities stated in the Redemption Notice deviates from the number of Securi- ties transferred to the Principal Paying Agent, the Redemption Notice shall be deemed to have been submitted for the number of Securities corresponding to the smaller of the two numbers. Any remaining Securities are transferred back to the Security Holder at the latter's expense and risk.

No Redemption Right so exercised may be revoked or withdrawn.

(2) Issuer's Regular Call Right: The Issuer may at each Banking Day starting on the First Call Date until the Maturity Date (excluding) (each such date a "Call Date") call the Securities completely but not partially (the "Regular Call Right") and redeem them pursuant to § 4 (1) of the Special Conditions.

The Issuer shall give notice of such call at least 15 Banking Days prior to the relevant Call Date pursuant to § 6 of the General Conditions. Such notice shall be irrevocable and shall specify the relevant Call Date.

The Redemption Right of the Security Holders remains unaffected until the last Redemption Date immediately preceding the Call Date.

(3) Issuer's extraordinary call right: Upon the occurrence of a Call Event the Issuer may call the Secu- rities extraordinarily by giving notice pursuant to § 6 of the General Conditions and redeem the Securities at their Cancellation Amount. Such call shall become effective at the time indicated in the notice. The application of §§ 313, 314 BGB remains reserved.

The "Cancellation Amount" shall be the fair market value of the Securities as of the first Banking Day before the extraordinary call becomes effective, determined by the Calculation Agent in its reasonable discretion (§ 315 BGB).

The Cancellation Amount will be paid within five Banking Days following the date as of which the extraordinary call becomes effective, or at the date specified in the above mentioned notice, as the case may be, pursuant to the provisions of § 6 of the Special Conditions.

§ 6

Payments

(1) Rounding: The amounts payable under these Terms and Conditions shall be rounded up or down to the nearest EUR 0.01, with EUR 0.005 being rounded upwards.

(2) Business day convention: If the due date for any payment under the Securities (the "Payment Date") is not a Banking Day then the Security Holders shall not be entitled to payment until the next following Banking Day. The Security Holders shall not be entitled to further interest or other payments in respect of such delay.

(3) Manner of payment, discharge: All payments shall be made to the Principal Paying Agent. The Principal Paying Agent shall pay the amounts due to the Clearing System to be credited to the re- spective accounts of the depository banks and to be transferred to the Security Holders. The payment to the Clearing System shall discharge the Issuer from its obligations under the Securi- ties in the amount of such a payment.

(4) Interest of default: If the Issuer fails to make payments under the Securities when due, the amount due shall bear interest on the basis of the default interest rate established by law. Such accrual of interest starts on the day following the due date of that payment (including) and ends on the effective date of the payment (including).

§ 7

Market Disruptions

(1) Postponement: Notwithstanding the provisions of § 8 of the Special Conditions, if a Market Dis- ruption Event occurs on an Observation Date, the respective Observation Date will be postponed to the next following Calculation Date on which the Market Disruption Event no longer exists.

Any Payment Date relating to such Observation Date shall be postponed if applicable. Interest shall not be payable due to such postponement.

(2) Discretional valuation: Should the Market Disruption Event continue for more than 8 consecutive Banking Days the Calculation Agent shall determine in its reasonable discretion (§ 315 BGB) the respective Reference Price required for the calculations or, respectively, specifications described in the Terms and Conditions of these Securities. Such Reference Price shall be determined in ac- cordance with prevailing market conditions at 10:00 a.m. (Munich time) on this 9th Banking Day, taking into account the economic position of the Security Holders.

If within these 8 Banking Days traded Derivatives of the Underlying expire and are settled on the Determining Futures Exchange, the settlement price established by the Determining Futures Ex- change for the there traded Derivatives will be taken into account in order to conduct the calcula- tions or, respectively, specifications described in the Terms and Conditions of these Securities. In that case, the expiration date for those Derivatives is the respective Observation Date.

§ 8

Index Concept, Adjustments, Replacement Underlying, New Index Sponsor and New Index Calcula- tion Agent, Replacement Specification

(1) Index Concept: The basis for the calculations or, respectively, specifications of the Calculation Agent described in the Terms and Conditions of these Securities shall be the Underlying with its

provisions currently applicable, as developed and maintained by the Index Sponsor, as well as the respective method of calculation, determination, and publication of the price of the Underly- ing (the "Index Concept") applied by the Index Sponsor. This shall also apply if during the term of the Securities changes are made or occur in respect of the Index Concept, or if other measures are taken, which have an impact on the Index Concept, unless otherwise provided in the below provisions.

(2) Adjustments: Upon the occurrence of an Adjustment Event the Calculation Agent shall in its rea- sonable discretion (§ 315 BGB) adjust the Terms and Conditions of these Securities (in particular the Underlying, the Ratio and/or all prices of the Underlying, which have been specified by the Calculation Agent) and/or all prices of the Underlying determined by the Calculation Agent on the basis of the Terms and Conditions of these Securities in such a way that the economic position of the Security Holders remains unchanged to the greatest extent possible. Any adjustment will be performed taking into consideration any adjustments made by the Determining Futures Ex- change to the there traded Derivatives linked to the Underlying, and the remaining term of the Securities as well as the latest available price of the Underlying. If the Calculation Agent deter- mines that, pursuant to the rules of the Determining Futures Exchange, no adjustments were made to the Derivatives linked to the Underlying, the Terms and Conditions of these Securities regularly remain unchanged. The exercised adjustments and the date of the first application shall be notified according to § 6 of the General Conditions.

(3) Replacement Underlying: In cases of an Index Replacement Event or a License Termination Event, the adjustment pursuant to paragraph (2) is usually made by the Calculation Agent in its reason- able discretion (§ 315 BGB) determining, which index should be used in the future as Underlying (the "Replacement Underlying"). If necessary, the Calculation Agent will make further adjust- ments to the Terms and Conditions of these Securities (in particular to the Underlying, the Ratio and/or all prices of the Underlying, which have been specified by the Issuer) and/or all prices of the Underlying determined by the Calculation Agent pursuant to the Terms and Conditions of these Securities in such a way that the economic position of the Security Holders remains un- changed to the greatest extent possible. The Replacement Underlying and the adjustments made as well as the time of its first application will be published in accordance with § 6 of the General Conditions. From the first application of the Replacement Underlying on, any reference to the re- placed Underlying in the Terms and Conditions of these Securities shall be deemed to refer to the Replacement Underlying.

(4) New Index Sponsor and New Index Calculation Agent: If the Underlying is no longer determined by the Index Sponsor but rather by another person, company or institution (the "New Index Sponsor"), then all calculations or, respectively, specifications described in the Terms and Condi- tions of these Securities shall occur on the basis of the Underlying as determined by the New In- dex Sponsor. In this case, any reference to the replaced Index Sponsor in the Terms and Condi- tions of these Securities shall be deemed to refer to the New Index Sponsor. If the Underlying is no longer calculated by the Index Calculation Agent but rather by another person, company or in- stitution (the "New Index Calculation Agent"), then all calculations or, respectively, specifica- tions described in the Terms and Conditions of these Securities shall occur on the basis of the Underlying as calculated by the New Index Calculation Agent. In this case, any reference to the replaced Index Calculation Agent in the Terms and Conditions of these Securities shall be deemed to refer to the New Index Calculation Agent.

(5) Replacement Specification: If a price of the Underlying published by the Index Sponsor or the Index Calculation Agent, as the case may be, pursuant to the Terms and Conditions of these Secu- rities will subsequently be corrected and the correction (the "Corrected Value") will be published by the Index Sponsor or the Index Calculation Agent, as the case may be, after the original publi- cation, but still within one Settlement Cycle, then the Calculation Agent will notify the Issuer of the Corrected Value without undue delay and shall again specify and publish pursuant to § 6 of the General Conditions the relevant value by using the Corrected Value (the "Replacement Speci- fication").

(6) The application of §§ 313, 314 BGB remains reserved.

UniCredit Bank AG

SUMMARY

Summaries are made up of disclosure requirements known as "Elements". These Elements are numbered in sections A – E (A.1 – E.7).

This Summary contains all the Elements required to be included in a summary for this type of securities and issuer. Because some Elements are not required to be addressed, there may be gaps in the number- ing sequence of the Elements.

Even though an Element may be required to be inserted in the Summary because of the type of securities and issuer, it is possible that no relevant information can be given regarding the Element. In this case a short description of the Element is included in the Summary with the specification of 'Not applicable'.

A. INTRODUCTION AND WARNINGS

A.1	Warning	This Summary should be read as an introduction to the Base Prospectus. The investor should base any decision to invest in the Securities on considera- tion of the Base Prospectus as a whole. Where a claim relating to the information contained in this Base Prospectus is brought before a court, the plaintiff investor might, under the national legisla- tion of the Member States, have to bear the costs of translating the Base Pro- spectus before the legal proceedings are initiated. UniCredit Bank AG ("UniCredit Bank", the "Issuer" or "HVB"), Xxxxxxxxxxxxxx 00, 00000 Xxxxxx, which in its capacity as Issuer assumes liability for the Summary including any translation thereof, as well as any person which has tabled it, may be held liable, but only if the Summary is misleading, inaccu- rate or inconsistent when read together with the other parts of the Base Pro- spectus, or it does not provide, when read together with the other parts of the Base Prospectus, all necessary key information.
A.2	Consent to the use of the base prospectus	Subject to the following paragraphs, the Issuer gives its consent to the use of the Base Prospectus during the Offer Period for subsequent resale or final placement of the Securities by financial intermediaries.
	Indication of the offer period	Resale or final placement of the Securities by financial intermediaries can be made and consent to use the Base Prospectus is given during the period of the validity of the Base Prospectus.
	Other condi- tions attached to the consent	The Issuer's consent to the use of the Base Prospectus is subject to the condi- tion that each financial intermediary complies with the applicable selling restrictions as well as the terms and conditions of the offer.
	Provision of terms and conditions of the offer by financial in- termediary	Information on the terms and conditions of the offer by any financial in- termediary is to be provided at the time of the offer by the financial in- termediary.

B. ISSUER

B.1	Legal and commercial name	UniCredit Bank AG (together with its consolidated subsidiaries, the "HVB Group") is the legal name. HypoVereinsbank is the commercial name.
B.2	Domicile / Legal form / Legislation / Country of	UniCredit Bank has its registered office at Xxxxxxxxxxxxxx 00, 00000 Xxxxxx, was incorporated in Germany and is registered with the Commercial Register at the Local Court (Amtsgericht) in Munich under number HRB 42148, incorpo- rated as a stock corporation under the laws of the Federal Republic of Germa-

	incorporation	ny.
B.4b	Known trends affecting the issuer and the industries in which it oper- ates	The performance of HVB Group will depend on the future development on the financial markets and the real economy in 2016 as well as other remaining imponderables. In this environment, HVB Group will continuously adapt its business strategy to reflect changes in market conditions and carefully review the management signals derived therefrom on a regular basis.
B.5	Description of the group and the issuer's position within the group	UniCredit Bank is the parent company of HVB Group. HVB Group holds directly and indirectly equity participations in various companies. UniCredit Bank has been an affiliated company of UniCredit S.p.A., Rome ("UniCredit S.p.A.", and together with its consolidated subsidiaries, "UniCred- it") since November 2005 and hence a major part of UniCredit from that date as a sub-group. UniCredit S.p.A. holds directly 100% of UniCredit Bank's share capital.
B.9	Profit forecast or estimate	Not applicable; no profit forecast or estimate is made.
B.10	Nature of any qualifications in the audit report on his- torical financial information	Not applicable; Deloitte & Touche GmbH, Wirtschaftsprüfungsgesellschaft, the independent auditor (Wirtschaftsprüfer) of UniCredit Bank, has audited the consolidated financial statements (Konzernabschluss) of HVB Group for the financial year ended 31 December 2014 and for the financial year ended 31 December 2015 and the unconsolidated financial statement (Einzelabschluss) of UniCredit Bank for the financial year ended 31 December 2015 and has in each case issued an unqualified audit opinion thereon.
B.12	Selected histor- ical key finan- cial information	Consolidated Financial Highlights as of 31 December 2015*

Key performance indicators	1/1/2015 – 31/12/2015	1/1/2014 – 31/12/20141)
Net operating profit	€983m	€892m
Profit before tax	€776m	€1,083m
Consolidated profit	€750m	€785m
Earnings per share	€0.93	€0.96
Balance sheet figures	31/12/2015	31/12/2014
Total assets	€298,745m	€300,342m
Shareholders' equity	€20,766m	€20,597m
Key capital ratios	31/12/2015	31/12/2014
Common Equity Tier 1 capital	€19,564m	€18,993m
Core capital (Tier 1 capital)	€19,564m	€18,993m
Risk-weighted assets (including equivalents for market risk and operational risk)	€78,057m	€85,768m
Common Equity Tier 1 capital ratio2)	25.1%	22.1%
Core capital ratio (Tier 1 ratio)2)	25.1%	22.1%

Statement with regard to no material ad- verse change in the prospects of the issuer since the date of its last pub- lished audited financial statements or a description of any material adverse change Description of significant * Figures shown in this table are audited and taken from the consolidated financial state- ments of HVB Group for the financial year ended 31 December 2015. 1) Without discontinued operations 2) Calculated on the basis of risk-weighted assets, including equivalents for market risk and operational risk. Consolidated Financial Highlights as of 31 March 2016*
* Figures shown in this table are unaudited and taken from the Issuer's consolidated interim report as of 31 March 2016. 1) Calculated on the basis of risk-weighted assets, including equivalents for market risk and operational risk. There has been no material adverse change in the prospects of HVB Group since 31 December 2015, the date of its last published audited financial statements.
There has been no significant change in the financial position of HVB Group which has occurred since 31 March 2016.

Key performance indicators	1/1/2016 – 31/3/2016	1/1/2015 – 31/3/2015
Net operating profit	€215m	€182m
Profit before tax	€210m	€197m
Consolidated profit	€138m	€131m
Earnings per share (full HVB Group)	€0.17	€0.16
Balance sheet figures	31/3/2016	31/12/2015
Total assets	€313,878m	€298,745m
Shareholders' equity	€20,898m	€20,766m
Key capital ratios	31/3/2016	31/12/2015
Common Equity Tier 1 capital	€19,456m	€19,564m
Core capital (Tier 1 capital)	€19,456m	€19,564m
Risk-weighted assets (including equivalents for market risk and operational risk)	€82,946m	€78,057m
Common Equity Tier 1 capital ratio1)	23.5%	25.1%

	change in the financial posi- tion subse- quent to the period covered by the histori- cal financial information
B.13	Recent events	Not applicable. There are no recent events particular to UniCredit Bank which are to a material extent relevant to the evaluation of its solvency.
B.14	B.5 plus statement of dependency upon other entities within the group	See B.5 Not applicable. UniCredit Bank is not dependent on any entity within HVB Group.
B.15	Principal activi- ties	UniCredit Bank offers a comprehensive range of banking and financial prod- ucts and services to private, corporate and public sector customers, interna- tional companies and institutional customers. This range extends from mortgage loans, consumer loans, savings-and-loan and insurance products, and banking services for private customers through to business loans and foreign trade financing and investment banking products for corporate customers. In the private banking and wealth management customer segments, UniCredit Bank offers comprehensive financial and asset planning with needs-based advisory services by generalists and specialists. HVB Group continues to be the centre of competence for the international markets and investment banking operations for the entire UniCredit. In addi- tion, the Corporate & Investment Banking business segment acts as a product factory for customers in the Commercial Banking business segment
B.16	Direct or indi- rect ownership or control	UniCredit S.p.A. holds directly 100% of UniCredit Bank's share capital.

C. SECURITIES

C.1	Type and class of the securi- ties	Closed End Leverage Securities The Securities will be issued as non-par value Certificates. "Certificates" are debt instruments in bearer form (Inhaberschuldver- schreibungen) pursuant to Section 793 of the German Civil Code (Bürgerliches Gesetzbuch, BGB). The Securities are represented by a permanent global note without interest coupons. The holders of the Securities (the "Security Holders") are not entitled to re- ceive definitive Securities. The ISIN is specified in the table in the Annex to this summary.
C.2	Currency of the securities issue	The Securities are issued in Euro ("EUR") (the "Specified Currency").

C.5	Restrictions of any free trans- ferability of the securities	Not applicable. The Securities are freely transferable.
C.8	Rights at- tached to the securities, in- cluding ranking and limitations to those rights	Governing law of the Securities The Securities, as to form and content, and all rights and obligations of the Issuer and the Security Holder shall be governed by the laws of the Federal Republic of Germany. Rights attached to the Securities The Securities have a fixed term.
		The Securities do not bear interest.
		A Security Holder is entitled to the payment of the Redemption Amount (as defined in C.15) either (i) upon exercise of its Redemption Right (as defined in the Final Terms) on the respective Redemption Date (as defined in C.16) or (ii) upon exercise of the Issuer's Regular Call Right (as defined in the Final Terms) on the respective Call Date (as defined in C.16) or (iii) if none of these rights have been exercised on the Maturity Date (as defined in C.16).
		Limitation of the rights
		Upon the occurrence of one or more Adjustment Events (as specified in the Final Terms) the Calculation Agent will in its reasonable discretion (§ 315 BGB) adjust the Terms and Conditions of these Securities and/or all prices of the Underlying determined by the Calculation Agent on the basis of the Terms and Conditions of the Securities, pursuant to the Final Terms, in such a way that the economic position of the Security Holders remains unchanged to the greatest extent possible.
		Upon the occurrence of one or more Call Events (the "Call Events") (as speci- fied in the Final Terms) the Issuer may call the Securities extraordinarily pur- suant to the Final Terms and redeem the Securities at their Cancellation Amount. The "Cancellation Amount" is the fair market value of the Securities, determined on the day specified in the relevant Final Terms by the Calculation Agent in its reasonable discretion (§ 315 BGB).
		Status of the Securities
		The obligations under the Securities constitute direct, unconditional and unse- cured obligations of the Issuer and rank, unless provided otherwise by law, pari passu with all other unsecured unsubordinated present and future obliga- tions of the Issuer.
C.11	Admission to trading	Application has been made for the Securities to be admitted to trading with effect from 06/09/2016 on the following regulated or other equivalent mar- kets: • Borsa Italiana S.p.A. – SeDeX market The UniCredit Bank AG (also the "Market Maker") undertakes to provide li- quidity through bid and offer quotes in accordance with the market making rules of Borsa Italiana S.p.A., where the Securities are expected to be listed. The obligations of the Market Maker are regulated by the rules of the markets organized and managed by Borsa Italiana S.p.A., and the relevant instructions to such rules.
C.15	Effect of the	The value of the Securities during the term of the Securities depends decisive-

	underlying on the value of the securities	ly on the value of the Underlying (as defined in C.20). If the value of the Un- derlying rises, the value of the Securities regularly rises. If the value of the Underlying falls, the value of the Securities regularly falls. The Underlying is a leverage index i.e. an index linked to the performance of a Reference Underly- ing (as specified in the Final Terms) disproportionally based on a (constant) Leverage Factor (as specified in the Final Terms). The Security holders in turn participate disproportionally in the positive or negative performance of the Reference Underlying. The redemption upon the Security Holder's Redemption Right on the respec- tive Redemption Date or upon exercise of the Issuer's Regular Call Right on the respective Call Date or, if none of these rights have been exercised, on the Maturity Date depends on the Relevant Reference Price (as defined in C.19). Redemption The Redemption Amount is an amount in the Specified Currency which corre- sponds to the Relevant Reference Price multiplied by the Ratio. The Ratio is on the First Trade Date the Ratio (initial) (as specified in the Final Terms). On each Adjustment Date (as specified in the Final Terms) following the First Trade Date the Ratio shall be adjusted by applying the Ratio Adjustment Fac- tor (as specified in the Final Terms). The Redemption Amount may in no case be lower than zero.
C.16	The expiration	The "Maturity Date", the "First Redemption Date", the "First Call Date" are
	or maturity	specified in the table in the Annex to this summary.
	date of the derivative se-	"Observation Date" means the fifth Banking Day prior to each Redemption Date and each Call Date and the Maturity Date respectively.
	curities – the exercise date	"Call Date" means each Banking Day, starting on the First Call Date (as speci- fied in the table in the Annex to this summary).
	or final refer- ence date	"Redemption Date" means each Banking Day, starting on the First Redemp- tion Date (as specified in the table in the Annex to this summary).
C.17	Settlement procedure of the securities	All payments shall be made to UniCredit Bank AG (the "Principal Paying Agent"). The Principal Paying Agent shall pay the amounts due to the Clearing System for credit to the respective accounts of the depository banks for trans- fer to the Security Holders. The payment to the Clearing System shall discharge the Issuer from its obliga- tions under the Securities in the amount of such payment. "Clearing System" means Monte Titoli S.p.A.
C.18	Description of	Payment of the Redemption Amount on the Redemption Date in relation to
	how any return	which a Security Holder exercises its Redemption Right or at the Call Date in
	on derivative	relation to which the Issuer exercises its Regular Call Right or on the Maturity
	securities takes	Date as the case may be.
	place
C.19	Exercise price or final refer- ence price of the underlying	"Relevant Reference Price" means the Reference Price (as defined in the table in the Annex to this summary) on the respective Observation Date im- mediately preceding the respective Redemption Date or the respective Call Date or Maturity Date, as the case may be.
C.20	Type of the underlying and	The index which forms the Underlying is specified in the table in the Annex to this summary. For further information about the past and the future perfor-

	description	mance of the Underlying and its volatility, please refer to the Website, as
	where infor-	specified in the table in the Annex to this summary.
	mation on the
	underlying can
	be found

D. RISKS

D.2	Key infor- mation on the key risks that are specific to the Issuer	Potential investors should be aware that in the case of the occurrence of one of the below mentioned risk factors the securities may decline in value and that they may sustain a total loss of their investment. • Macroeconomic Risk Risks from a deterioration in the macroeconomic development and/or the financial markets and from geopolitical uncertainties
		• Systemic Risk
		Risks from disruptions or the functional collapse of the financial system or parts of it
		• Credit Risk
		(i) Risks from changes in the credit rating of a contracting party (borrower, counterparty, issuer or country); (ii) Risks from a deterioration of the overall economic situation and negative effects on the demand for credit and the solvency of the borrowers of HVB Group; (iii) Risks from a decrease in value of credit collateral; (iv) Risks from derivative/trading business; (v) Risks from intra-Group credit exposures; (vi) Risks from exposures to sovereigns / public sector
		• Market Risk
		(i) Risk for trading and banking books from a deterioration in market condi- tions; (ii) Interest rate and foreign currency risk
		• Liquidity Risk
		(i) Risk that the bank will not be able to meet its payment obligations in full or on time; (ii) Risks from the procurement of liquidity; (iii) Risks from intra- Group liquidity transfers; (iv) Market liquidity risk
		• Operational Risk
		(i) Risk of losses resulting from flawed internal processes or systems, human error or external events; (ii) IT risks; (iii) Risks from fraud; (iv) Legal and tax risks; (v) Compliance risk
		• Business Risk
		Risks of losses arising from unexpected negative changes in the business vol- ume and/or margins
		• Real estate Risk
		Risk of losses resulting from changes in the fair value of the real estate portfo- lio of HVB Group
		• Financial investment risk
		Risk of decreases in the value of the investment portfolio of the HVB Group
		• Reputational Risk
		Risk of a negative profit and loss effect caused by adverse reactions by stake- holders due to a changed perception of the bank
		• Strategic Risk
		(i) Risk that results from management being slow to recognize important de- velopments in the banking sector or drawing false conclusions about these trends; (ii) Risks arising from the strategic orientation of HVB Group's business

		model; (iii) Risks arising from the consolidation of the banking market; (iv) Risks arising from changing competitive conditions in the German financial sector; (v) Risks arising from a change in HVB's rating • Regulatory Risks (i) Risks arising from changes to the regulatory and statutory environment of HVB Group; (ii) Risks in connection with potential resolution measures or a reorganisation proceeding • Pension risk Risk that the pension provider will have to provide additional capital to service the vested pension commitments • Risks arising from outsourcing activities Cross-risk-type, which affects the following risk types in particular: operational risk, reputational risk, strategic risk, business risk, credit, market and liquidity risk • Risks from concentrations of risk and earnings Risks from concentrations of risk and earnings indicate increased potential losses and represent a business-strategy risk for the Bank • Risks from the stress testing measures imposed on HVB Group The business performance of HVB Group could be negatively affected in case of a poor stress test performance by HVB, HVB Group, UniCredit S.p.A. or one of the financial institutions with which they do business • Risks from inadequate risk measurement models It is possible that the internal models of HVB and HVB Group could be rated as inadequate following investigations or verification through the regulatory authorities, or that they could underestimate existing risks • Unidentified/unexpected risks HVB and HVB Group could incur greater losses than those calculated with the current risk management methods or losses previously left out of its calcula- tions entirely
D.6	Key infor- mation on the key risks that are specific to the securities	In the opinion of the Issuer, the key risks described below may, with regard to the Security Holder, adversely affect the value of the Securities and/or the amounts to be distributed (including the delivery of any quantity of Underly- ings or its components to be delivered) under the Securities and/or the ability of Security Holders to sell the Securities at a reasonable price prior to the ma- turity date of the Securities. • Potential conflicts of interest The risk of conflicts of interest (as described in E.4) is related to the possibility that the Issuer, distributors or any of their affiliates, in relation to certain func- tions or transactions, may pursue interests which may be adverse to or do not regard the interests of the Security Holders. • Key risks related to the Securities Key risks related to the market Under certain circumstances a Security Holder may not be able to sell his Securities at all or at an adequate price prior to their redemption. The market value of the Securities will be affected by the creditworthiness of the Issuer and a number of other factors (e.g., exchange rates, prevailing in- terest and yield rates, the market for similar securities, the general economic, political and cyclical conditions, the tradability of the Securities and Underly- ing-related factors) and may be substantially lower than the Nominal Amount or the Purchase Price. Security Holders may not rely on being able to sufficiently hedge against price

risks arising from the Securities at any time.

Key risks related to the Securities in general

The Issuer may possibly fail to perform its obligations under the Securities in whole or in part, e.g., in case of an insolvency of the Issuer or due to govern- mental or regulatory interventions. Such risk is not protected by a deposit protection scheme or any similar compensation scheme.

An investment into the Securities may be illegal or unfavourable for a poten- tial investor or not suitable, with regard to his knowledge or experience and his financial needs, goals and situation. The real rate of return of an invest- ment into the Securities may be reduced or may be zero or even negative (e.g., due to incidental costs in connection with the purchase, holding and disposal of the Securities, future money depreciation (inflation) or tax effects). The redemption amount may be less than the Issue Price or the respective pur- chase price and, under certain circumstances, no interest or ongoing pay- ments will be made.

The proceeds from the Securities may possibly not be sufficient to make in- terest or principal payments arising from a financing purchase of the Securi- ties and require additional capital.

Risks related to Underlying-linked Securities

Risks arising from the influence of the Underlying or its Components on the market value of the Securities

The market value of the Securities and the amounts payable under the Securi- ties significantly depend on the price of the Underlying or its Components. It is not possible to predict the price development of the Underlying or its Com- ponents in the future. Additionally, the market value of the Securities will be affected by a number of Underlying-related factors.

Risks arising from the fact that the observation of the Underlying or its Com- ponents occurs only at specified dates or times or periods

Due to the fact that the observation of the Underlying or its Components may occur only at specified dates, times or periods, amounts payable under the Securities may be considerably lower than the price of the Underlying or its Components may have suggested.

Risks related to conditional payments: Impact of threshold or limits

The payment and/or the extent of such amounts depend on the performance of the Underlying or its Components.

Certain amounts only may be payable if certain thresholds or limits have been reached or if certain events have occurred.

Risks relating to the deduction of fees

The respective fee may have a material influence on the Redemption Amount and may reduce it to zero even in the case of a favourable performance of the Underlying or its Components.

Security Holders must be aware that there might be a subsequent rise of the respective fees up to the maximum amount (as defined in the Final Terms).

When calculating the Redemption Amount, the deduction of fees can lead to a disproportional participation in the unfavourable performance of the Underly- ing or its Components.

Risks related to a Ratio

A ratio may result in the Security being in economic terms similar to a direct investment in the relevant Underlying or its components, but being nonethe- less not fully comparable with such a direct investment.

A ratio can lead to the Security Holder to participate either to a lesser extent in a favourable performance or to a greater extent in a unfavourable perfor- mance of the Underlying or its Components.

Reinvestment Risk

Security Holders may only reinvest the principal received due to an early re- payment of the Securities to less favourable conditions.

Currency and Currency Exchange Rate risk with respect to the Underlying or its components

If the Underlying or its Components are denominated in a currency other than the Specified Currency, there is a Currency Exchange Rate risk, as long as it is not excluded in the relevant Final Terms.

Risks arising from an Issuer's Regular Call Right

Securities that contain a regular call right of the Issuer may be redeemed by the Issuer in his sole discretion on certain call dates. If the price of the Under- lying or its Components is unfavourable at the call date, the respective Securi- ty Holder may suffer a partial or total loss of their invested capital.

Risks arising from the Redemption Right of the Security Holders

Securities that contain a redemption right of the Security Holders may be redeemed by the Security Holders on certain call dates. If the price of the Un- derlying or its Components is unfavourable at the time of the exercise, the respective Security Holder may suffer a partial or total loss of their invested capital.

Risks related to Adjustment Events

Adjustments may have a substantial negative impact on the value and the future performance of the Securities as well as on the amounts to be distrib- uted under the Securities. Adjustment events may also lead to an extraordi- nary early termination of the Securities.

Risks related to Call Events

Upon the occurrence of a Call Event the Issuer has the right to extraordinarily call the Securities at their market value. If the market value of the Securities at the relevant time is lower than the Issue Price or the Purchase Price, the respective Security Holder will suffer a partial or total loss of its invested capi- tal even if the Securities provide for a conditional minimum payment.

Risks related to Market Disruption Events

The Calculation Agent may defer valuations and payments and make deter- mination in its reasonable discretion. Security Holders are not entitled to de- mand interest due to such delayed payment.

• Key risks related to the Underlying or its components

General risks

No rights of ownership of the Underlying or its Components

The Underlying or its Components will not be held by the Issuer for the benefit of the Security Holders, and as such, Security Holders will not obtain any rights of ownership (e.g., voting rights, rights to receive dividends or other distributions or other rights) with respect to the Underlying or its Components.

Key risks related to shares

The performance of Share-linked Securities (i.e. Securities related to indices as Underlying and shares as index components) depends on the performance of the respective shares, which may be subject to certain factors. Dividend pay- ments may have an adverse effect on the Security Holder.

Key risks related to indices

The performance of Index-linked Securities depends on the performance of the respective indices, which largely depend on the composition and the per- formance of their index components. The Issuer may neither have influence on the respective index nor the index concept. If the Issuer also acts as spon- sor or calculation agent of the index, this may lead to conflicts of interest. In

general, an index sponsor does not assume liability. Generally, an index may at any time be altered, terminated or replaced by any successor index. Securi- ty Holders may not or only partly participate in dividends or other distribu- tions in relation to the index components. If the index entails a leverage fac- tor, investors bear an enhanced risk of losses. Indices may include fees which negatively affect their performance.

The Securities are not capital protected. Investors may lose the value of their entire investment or part of it.

E. OFFER

E.2b	Reasons for the offer and use of proceeds when different from making profit and/or hedging certain risks	Not applicable; the net proceeds from each issue of Securities will be used by the Issuer for its general corporate purposes. i.e. making profit and/or hedging certain risks.
E.3	Description of the terms and conditions of the offer	Day of the first public offer: 05/09/2016 A public offer will be made in Italy. The smallest transferable unit is 1 Security. The smallest tradable unit is 1 Security. The Securities will be offered to qualified investors, retail investors and/or institutional investors. As of the day of the first public offer the Securities described in the Final Terms will be offered on a continuous basis. The continuous offer will be made on current ask prices provided by the Issuer. The public offer may be terminated by the Issuer at any time without giving any reason. Application to listing has been made as of 06/09/2016 on the following mar- kets: • Borsa Italiana S.p.A. – SeDeX market
E.4	Any interest that is material to the is- sue/offer in- cluding con- flicting interest	Any distributors and/or its affiliates may be customers of, and borrowers from the Issuer and its affiliates. In addition, any of such distributors and their affil- iates may have engaged, and may in the future engage, in investment bank- ing and/or commercial banking transactions with, and may perform services for the Issuer and its affiliates in the ordinary course of business. With regard to trading of the Securities the Issuer has a conflict of interest being also the Market Maker on the Borsa Italiana S.p.A. – SeDeX market; The Issuer is also the arranger and the Calculation Agent of the Securities. Besides, conflicts of interest in relation to the Issuer or the persons entrusted with the offer may arise for the following reasons: • The Issuer specifies the Issue Price. • The Issuer and one of its affiliates act as Market Maker of the Securities (however, no such obligation exists). • Distributors may receive inducements from the Issuer. • The Issuer, any Distributor and any of their affiliates act as Calculation Agent or Paying Agent in relation to the Securities. • From time to time, the Issuer, any Distributor and any of its affiliates may be involved in transactions on their own account or on the account of their clients, which affect the liquidity or the price of the Underlying or its com- ponents.

		• The Issuer, any Distributor and its affiliates may issue securities in relation to the Underlying or its components on which already other securities have been issued. • The Issuer, any Distributor and any of its affiliates may possess or obtain material information about the Underlying or its components (including publicly not accessible information) in connection with its business activi- ties or otherwise. • The Issuer, any Distributor and any of their affiliates may engage in busi- ness activities with the issuer of the Underlying or its components, its affil- iates, competitors or guarantors. • The Issuer, any Distributor and any of their affiliates may also act as a member of a syndicate of banks, as financial advisor or as bank of a spon- sor or issuer of the Underlying or its components.
E.7	Estimated expenses charged to the investor by the Issuer or the distributor	Not applicable. No such expenses will be charged to the investor by the Issuer or a distributor. However, other charges like custody fees or transaction fees might be charged.

ANNEX TO THE SUMMARY

ISIN (C.1)	Reference Price (C.19)	First Re- demption Date (C.16)	Maturity Date (C.16)	First Call Date (C.16)	Underlying (C.20)	Website (C.20)
DE000HV4BMS2	Closing Price	26/09/2016	22/06/2018	06/03/2017	Assicurazioni Generali S.p.A. Leva 2 Long Daily Net Return EUR (in short GEN- ERALI X2) (ISIN: DE000A2BNM 26)	www.icf- xxxxxxx.xx
DE000HV4BMT0	Closing Price	26/09/2016	22/06/2018	06/03/2017	Assicurazioni Generali S.p.A. Leva 2 Short Daily Gross Return EUR (in short GEN- ERALI X -2) (ISIN: DE000A2BNM 34)	www.icf- xxxxxxx.xx
DE000HV4BMU8	Closing Price	26/09/2016	22/06/2018	06/03/2017	Enel S.p.A. Leva 2 Long Daily Net Return EUR (in	www.icf- xxxxxxx.xx

					short ENEL X2) (ISIN: DE000A2BNM 67)
DE000HV4BMV6	Closing Price	26/09/2016	22/06/2018	06/03/2017	Enel S.p.A. Leva 2 Short Daily Gross Return EUR (in short ENEL X - 2) (ISIN: DE000A2BNM 75)	www.icf- xxxxxxx.xx
DE000HV4BMW4	Closing Price	26/09/2016	22/06/2018	06/03/2017	ENI S.p.A. Leva 2 Long Daily Net Return EUR (in short ENI X2) (ISIN: DE000A2BNM 42)	www.icf- xxxxxxx.xx
DE000HV4BMX2	Closing Price	26/09/2016	22/06/2018	06/03/2017	ENI S.p.A. Leva 2 Short Daily Gross Return EUR (in short ENI X -2) (ISIN: DE000A2BNM 59)	www.icf- xxxxxxx.xx
DE000HV4BMY0	Closing Price	26/09/2016	22/06/2018	06/03/2017	Fiat Chrysler Automobiles N.V. Leva 2 Long Daily Net Return EUR (in short FIAT- FCA X2) (ISIN: DE000A2BNM 00)	www.icf- xxxxxxx.xx
DE000HV4BMZ7	Closing Price	26/09/2016	22/06/2018	06/03/2017	Fiat Chrysler Automobiles N.V. Leva 2 Short Daily Gross Return EUR (in short FIAT-FCA X -2) (ISIN: DE000A2BNM 18)	www.icf- xxxxxxx.xx
DE000HV4BM05	Closing Price	26/09/2016	22/06/2018	06/03/2017	Intesa Sanpaolo S.p.A. Leva 2	www.icf- xxxxxxx.xx

					Long Daily Net Return EUR (in short INTESA SANPAOLO X2) (ISIN: DE000A2BNN A8)
DE000HV4BM13	Closing Price	26/09/2016	22/06/2018	06/03/2017	Intesa Sanpaolo S.p.A. Leva 2 Short Daily Gross Return EUR (in short INTESA SANPAOLO X - 2) (ISIN: DE000A2BNN B6)	www.icf- xxxxxxx.xx
DE000HV4BM21	Closing Price	26/09/2016	22/06/2018	06/03/2017	Telecom Italia S.p.A. Leva 2 Long Daily Net Return EUR (in short TELE- COM ITALIA X2) (ISIN: DE000A2BNM 83)	www.icf- xxxxxxx.xx
DE000HV4BM39	Closing Price	26/09/2016	22/06/2018	06/03/2017	Telecom Italia S.p.A. Leva 2 Short Daily Gross Return EUR (in short TELECOM ITALIA X -2) (ISIN: DE000A2BNM 91)	www.icf- xxxxxxx.xx

NOTA DI SINTESI

Le Note di Sintesi sono costituite da requisiti informativi denominati "Elementi". Tali Elementi sono nu- merati nelle sezioni A – E (A.1 – E.7).

La presente Nota di Sintesi contiene tutti gli Elementi richiesti riguardo alla tipologia di strumenti finan- ziari e di emittente. Dal momento che alcuni Elementi non risultano rilevanti, la sequenza numerica degli Elementi potrebbe non essere completa.

Nonostante alcuni Elementi debbano essere inseriti nella presente Nota di Sintesi riguardo alla tipologia di strumento finanziario e di emittente, può accadere che non sia possibile fornire alcuna informazione utile in merito ad alcuni Elementi. In tal caso nella Nota di Sintesi sarà contenuta una breve descrizione dell'Elemento con l'indicazione 'Non applicabile'.

A. INTRODUZIONE E AVVERTENZE

A.1	Avvertenza	La presente Nota di Sintesi va letta come un'introduzione al Prospetto di Base. Qualsiasi decisione di investire negli Strumenti Finanziari dovrebbe basarsi sull'esame da parte dell'investitore del Prospetto di Base completo. Qualora sia presentato un ricorso dinanzi all'autorità giudiziaria in merito alle informazioni contenute nel presente Prospetto di Base, l'investitore ricorrente potrebbe essere tenuto, a norma del diritto nazionale degli Stati membri, a sostenere le spese di traduzione del Prospetto di Base prima dell'inizio del procedimento. La responsabilità per la presente Nota di Xxxxxxx, comprese le eventuali tradu- zioni della stessa, incombe su UniCredit Bank AG ("UniCredit Bank", "l'Emit- tente" o "HVB"), Xxxxxxxxxxxxxx 00, 00000 Xxxxxx, quale Emittente, e su ogni altro soggetto da cui è stata redatta, ma soltanto qualora la Nota di Sintesi risulti fuorviante, imprecisa o incoerente se letta insieme alle altre parti del Prospetto di Base o non contenga, se letta insieme alle altre parti del Prospet- to di Base, le informazioni fondamentali.
A.2	Consenso all'u- tilizzo del pro- spetto di base	Salvo quanto previsto ai successivi paragrafi, l'Emittente acconsente all'utiliz- zo del Prospetto di Base, durante il Periodo di Offerta, per una rivendita suc- cessiva o collocamento finale degli Strumenti Finanziari da parte di interme- diari finanziari.
	Indicazione del periodo di of- ferta	La rivendita o il collocamento finale degli Strumenti Finanziari da parte di intermediari finanziari sono ammessi ed è dato il consenso all'utilizzo del Prospetto di Base nel corso del periodo di validità del Prospetto di Base.
	Altre condizioni alle quali è soggetto il consenso	Il consenso dell'Emittente all'utilizzo del Prospetto di Base è subordinato alla condizione che ciascun intermediario finanziario osservi le restrizioni di vendi- ta applicabili, nonché i termini e le condizioni dell'offerta.
	Condizioni dell'offerta effettuata da parte di un intermediario finanziario	Le informazioni relative ai termini e alle condizioni dell'offerta effettuata da parte di un intermediario finanziario sono fornite dall'intermediario finanziario stesso agli investitori al momento dell'offerta.

B. EMITTENTE

B.1 Denominazione legale e com- merciale UniCredit Bank AG (congiuntamente con le proprie controllate consolidate "Gruppo HVB") è la denominazione legale. HypoVereinsbank è la denomina- zione commerciale.

B.2	Domicilio / Forma giuridica / Legislazione in base alla quale opera / Paese di costi- tuzione	UniCredit Bank ha la propria sede legale in Xxxxxxxxxxxxxx 00, 00000 Xxxxxx, è stata costituita ai sensi del diritto tedesco, è iscritta presso il Registro delle imprese di Monaco (Amtsgericht) al numero HRB 42148, nella forma di socie- tà per azioni ai sensi delle leggi della Repubblica Federale Tedesca.
B.4b	Tendenze note riguardanti l'E- mittente e i settori in cui opera	L'andamento del Gruppo HVB è influenzato dal futuro sviluppo dei mercati finanziari e dell'economia reale nel 2016, nonché da ulteriori fattori imponde- rabili. In tale contesto, il Gruppo HVB adatterà continuamente la propria stra- tegia di business per riflettere i cambiamenti nelle condizioni di mercato ed esaminerà attentamente su base regolare i segnali di gestione derivati da questo.
B.5	Descrizione del gruppo e della posizione dell'Emittente all'interno del gruppo	UniCredit Bank è la capogruppo del Gruppo HVB. Il Gruppo HVB detiene, diret- tamente ed indirettamente, partecipazioni azionarie in varie società. UniCredit Bank è una controllata di UniCredit S.p.A., Roma ("UniCredit S.p.A.", e congiuntamente alle proprie collegate e c/o controllate "UniCredit") dal novembre 2005 ed a partire da tale data una componente rilevante di UniCre- dit quale sottogruppo. UniCredit S.p.A. detiene direttamente il 100% del capi- tale sociale di UniCredit Bank.
B.9	Previsione o stima degli utili	Non applicabile; l'Emittente non esprime alcuna previsione o stima degli utili.
B.10	Eventuali rilievi contenuti nella relazione di revisione rela- tiva alle infor- mazioni finan- ziarie relative agli esercizi passati	Non applicabile; Deloitte & Touche GmbH, Wirtschaftsprüfungsgesellschaft, quale revisore indipendente (Wirtschaftsprüfer) di UniCredit Bank, ha sottopo- sto a revisione i bilanci consolidati (Konzernabschluss) del Gruppo HVB per l'esercizio chiuso al 31 dicembre 2014 e per l'esercizio chiuso al 31 dicembre 2015 e il bilancio non consolidato (Einzelabschluss) di UniCredit Bank per l'esercizio chiuso al 31 dicembre 2015 ed ha emesso in entrambi i casi un parere di verifica senza riserve in merito.
B.12	Principali in- formazioni finanziarie selezionate relative agli esercizi passati	Principali Indicatori Finanziari Consolidati al 31 dicembre 2015*

Principali indicatori economici	1/1/2015 – 31/12/2015	1/1/2014 – 31/12/20141)
Margine operativo netto	€983m	€892m
Utile prima delle imposte	€776m	€1.083m
Utile consolidato	€750m	€785m
Utile per azione	€0,93	€0,96
Dati dello stato patrimoniale	31/12/2015	31/12/2014
Attività totali	€298.745m	€300.342m
Patrimonio netto	€20.766m	€20.597m
Principali rapporti di capitale	31/12/2015	31/12/2014
Capitale primario di classe 1	€19.564m	€18.993m
Capitale di base (capitale di classe 1)	€19.564m	€18.993m

	Dichiarazione relativa alla mancanza di cambiamenti		Attività ponderate in base al rischio (compresi gli equivalenti per rischio di mercato e rischio operativo)	€78.057m	€85.768m
			Coefficiente del capitale primario di classe 12)	25,1%	22,1%
			Coefficiente di capitale di base (coefficiente di capitale di classe 1)2)	25,1%	22,1%
		* I dati di cui alla presente tabella sono certificati e tratti dal fascicolo di bilancio consolidato del Gruppo HVB per l'esercizio chiuso al 31 dicembre 2015. 1) Senza le attività in dismissione 2) Calcolato sulla base delle attività ponderate in base al rischio, compresi gli equivalenti per rischio di mercato e per rischio operativo. Principali indicatori finanziari consolidati al 31 marzo 2016* * I dati di cui alla presente tabella non sono certificati e sono stati presi dalla Relazione Intermedia dell'Emittente al 31 marzo 2016. 1) Calcolato sulla base delle attività ponderate in base al rischio, compresi gli equivalenti per rischio di mercato e per rischio operativo. Non vi è stato alcun cambiamento negativo sostanziale delle prospettive del Gruppo HVB successivamente al 31 dicembre 2015, data di pubblicazione dell'ultimo bilancio certificato del Gruppo HVB.

Principali indicatori economici	1/1/2016 – 31/3/2016	1/1/2016 – 31/3/2015
Margine operativo netto	€215m	€182m
Utile prima delle imposte	€210m	€197m
Utile consolidato	€138m	€131m
Utile per azione (interno Gruppo HVB)	€0,17	€0,16
Dati dello stato patrimoniale	31/3/2016	31/12/2015
Attività totali	€313.878m	€298.745m
Patrimonio netto	€20.898m	€20.766m
Principali rapporti di capitale	31/3/2016	31/12/2015
Capitale primario di classe 1	€19.456m	€19.564m
Capitale di base (capitale di classe 1)	€19.456m	€19.564m
Attività ponderate in base al rischio (compresi gli equivalenti per rischio di mercato e rischio operativo)	€82.946m	€78.057m
Coefficiente del capitale primario di classe 11)	23,5%	25,1%

	negativi so- stanziali delle prospettive dell'emittente dalla data di pubblicazione dell'ultimo bilancio sotto- posto a revi- sione pubblica- to o descrizione degli eventuali cambiamenti negativi so- stanziali
	Descrizione di cambiamenti significativi della situazio- ne finanziaria o commerciale successiva al periodo cui si riferiscono le informazioni finanziarie relative agli esercizi passati	Non si è verificato alcun cambiamento rilevante nella situazione finanziaria del Gruppo HVB avvenuto successivamente al 31 marzo 2016.
B.13	Eventi recenti	Non applicabile. Non si è verificato alcun recente evento riguardante UniCre- dit Bank sostanzialmente rilevante per la valutazione della propria solvibilità.
B.14	B.5 e	Si veda B.5
	dichiarazione di dipendenza da altri sogget- ti all'interno del Gruppo	Non applicabile. UniCredit Bank non è dipendente (dependent) da alcuna società del Gruppo HVB .
B.15	Principali atti- vità dell'Emit- tente	UniCredit Bank offre una svariata gamma di prodotti bancari e finanziari e servizi ai clienti nel settore privato, commerciale (corporate) e pubblico, a società internazionali e ai clienti istituzionali. La gamma di prodotti e servizi si estende ai mutui ipotecari, ai crediti al con- sumo, al risparmio e al prestito oltre a prodotti assicurativi e servizi bancari per i clienti del settore privato nonché prestiti commerciali e finanziamenti all'export e prodotti di investment banking per i clienti del settore corporate. Nei segmenti di clientela relativi al private banking e al wealth management, UniCredit Bank AG offre una gamma completa di servizi finanziari e di pianifi- cazione patrimoniale con servizi di consulenza commisurati alle esigenze da parte di soggetti generalisti e specialisti. Il Gruppo HVB continua a configurare il centro di competenza per i mercati internazionali e le attività di investment banking per l'intera UniCredit. Inoltre, il segmento Corporate & Investment Banking funge anche da elaboratore di prodotti per i clienti del segmento Commercial Banking.
B.16	Possesso o controllo diret-	UniCredit S.p.A. detiene direttamente il 100% del capitale sociale di UniCredit Bank.

to o indiretto

C. STRUMENTI FINANZIARI

C.1	Descrizione del tipo e della classe degli Strumenti Fi- nanziari	Strumenti Finanziari Closed End Leverage (Closed End Leverage Securities) Gli Strumenti Finanziari saranno emessi come Certificati non alla pari. I "Certificati" sono titoli al portatore (Inhaberschuldverschreibungen) ai sensi della Sezione 793 del Codice Civile tedesco (Bürgerliches Gesetzbuch, BGB). Gli Strumenti Finanziari sono rappresentati da un certificato globale perma- nente senza cedola. I portatori degli Strumenti Finanziari (i "Titolari") non sono autorizzati a rice- vere Strumenti Finanziari in forma effettiva. L'ISIN è specificato nella tabella contenuta nell'Allegato alla presente nota di sintesi.
C.2	Valuta di emis- sione degli Strumenti Fi- nanziari	Gli Strumenti Finanziari saranno emessi in euro ("EUR") (la "Valuta di Emis- sione").
C.5	Eventuali re- strizioni alla libera tra- sferibilità degli strumenti fi- nanziari	Non applicabile. Non sono previste restrizioni alla libera trasferibilità degli Strumenti Finanziari.
C.8	Descrizione dei diritti connessi agli strumenti finanziari com- preso il "ran- king" e le re- strizioni a tali diritti	Diritto applicabile agli Strumenti Finanziari Gli Strumenti Finanziari, per forma e contenuto, e tutti i diritti ed obblighi dell'Emittente e dei Titolari, sono regolati dalla legge della Repubblica Fede- rale Tedesca. Diritti collegati agli Strumenti Finanziari Gli Strumenti Finanziari hanno una scadenza fissa. Gli Strumenti Finanziari non pagano interessi. Il Titolare ha diritto al pagamento dell'Importo di Rimborso (come definito sub C.15) o (i) in caso di esercizio del proprio Diritto di Rimborso (come defi- nito nelle Condizioni Definitive) alla rispettiva Data di Rimborso (come defini- ta sub C.16 ) o (ii) a seguito dell'esercizio del Diritto di Riscatto Regolare da parte dell'Emittente (come definito nelle Condizioni Definitive) alla rispettiva Data di Riscatto (come definita sub C.16) o (iii) se nessuno di questi diritti è stato esercitato alla Data di Liquidazione (come definita sub C.16). Limitazione dei diritti Al ricorrere di uno o più Eventi di Rettifica (come definiti nelle Condizioni Definitive) l'Agente per il Calcolo modificherà a propria ragionevole discrezio- ne (§ 315 BGB) i Termini e le Condizioni di questi Strumenti Finanziari e/o tutti i prezzi dei Sottostanti determinati dall'Agente per il Calcolo sulla base dei Termini e le Condizioni degli Strumenti Finanziari, conformemente alle Condizioni Definitive, in modo tale che la posizione economica dei Titolari resti immodificata nella maggior misura possibile. Al ricorrere di uno o più Eventi di Riscatto (gli "Eventi di Riscatto") (come specificati nelle Condizioni Definitive) l'Emittente può riscattare in via straor-

		dinaria gli Strumenti Finanziari conformemente alle Condizioni Definitive e rimborsare gli Strumenti Finanziari al loro Importo di Riscatto. L'"Importo di Riscatto" è il valore equo di mercato degli Strumenti Finanziari determinato alla data specificata nelle Condizioni Definitive dall'agente per il Calcolo a propria ragionevole discrezione (§ 315 BGB). Status degli Strumenti Finanziari Gli obblighi derivanti dagli Strumenti Finanziari costituiscono obbligazioni dirette, incondizionate e non subordinate dell'Emittente e, salvo quanto di- versamente previsto dalla legge, sono parimenti ordinate con le altre obbli- gazioni incondizionate e non subordinate presenti e future dell'Emittente.
C.11	Ammissione alla negozia- zione	È stata presentata istanza per l'ammissione a quotazione degli Strumenti Finanziari con efficacia dal 06/09/2016 presso i seguenti mercati regolamentati o altri mercati equivalenti: • Borsa Italiana S.p.A. – SeDeX market UniCredit Bank AG (ovvero il "Market Maker") si impegna a fornire la liquidità mediante proposte di acquisto e vendita conformemente ai regolamenti di Borsa Italiana S.p.A., dove è prevista la quotazione degli Strumenti Finanziari. Gli obblighi del Maket Maker sono stabiliti dai regolamenti dei mercati orga- nizzati e gestiti da Borsa Italiana S.p.A., e dalle istruzioni ad essi relative.
C.15	Effetto del sottostante sul valore degli strumenti fi- nanziari	Il valore degli Strumenti Finanziari nel corso della durata dei medesimi è strettamente correlato al valore del Sottostante (come definito sub C.20). Se il valore del Sottostante aumenta, di regola il valore degli Strumenti Finanzia- ri aumenta. Se il valore del Sottostante diminuisce, di regola il valore degli Strumenti Finanziari diminuisce. Il Sottostante è un indice con leva i.e. un indice correlato alla performance di un Sottostante di Riferimento (come specificato nelle Condizioni Definitive) in modo più che proporzionale, a se- conda di un Fattore di Leva (costante) (come specificato nelle Condizioni Definitive). A loro volta, i Xxxxxxxx partecipano in modo più che proporzionale alla performance positiva o negativa del Sottostante di Riferimento. Il rimborso, a seguito dell'esercizio del Diritto di Rimborso da parte dei Titolari alla rispettiva Data di Rimborso o a seguito dell'esercizio del Diritto di Riscat- to Regolare da parte dell'Emittente alla rispettiva Data di Riscatto ovvero, in caso di mancato esercizio dei predetti diritti, alla Data di Liquidazione, dipen- de dal Prezzo di Riferimento Rilevante (come definito sub C.19). Rimborso L'Importo di Rimborso corrisponde ad un importo espresso nella Valuta di Emissione pari al Prezzo di Riferimento Rilevante moltiplicato per il Multiplo. Al Primo Giorno di Negoziazione il Multiplo corrisponde al Multiplo (iniziale) (come specificato nelle Condizioni Definitive). Ad ogni Data di Rettifica (come specificata nelle Condizioni Definitive) successiva al Primo Giorno di Negozia- zione il Multiplo dovrà essere rettificato applicando il Fattore di Rettifica del Multiplo (come specificato nelle Condizioni Definitive). L'Importo di Xxxxxxxx non può in nessun caso essere minore di zero.
C.16	La data di sca- denza degli strumenti deri- vati – la data di	La "Data di Liquidazione", il "Primo Giorno di Rimborso", la "Prima Data di Riscatto" sono specificati nella tabella contenuta nell'Allegato alla presente nota di sintesi. "Data di Osservazione" designa il quinto Giorno Lavorativo anteriore rispetti-

	esercizio o la data di riferi- mento finale	vamente a ciascuna Data di Rimborso e a ciascuna Data di Riscatto e alla Data di Liquidazione. "Data di Riscatto" designa ciascun Xxxxxx Xxxxxxxxxx, a partire dalla Prima Data di Riscatto (come specificata nella tabella contenuta nell'Allegato alla presente nota di sintesi). "Data di Rimborso" designa ciascun Xxxxxx Xxxxxxxxxx, a partire dalla Prima Data di Rimborso (come specificata nella tabella contenuta nell'Allegato alla presente nota di sintesi).
C.17	Modalità di regolamento degli strumenti derivati	Ogni pagamento dovrà essere eseguito a UniCredit Bank AG (l'"Agente Prin- cipale di Pagamento"). L'Agente Principale di Pagamento dovrà corrisponde- re gli importi maturati presso il Sistema di Compensazione da accreditarsi sui rispettivi conti delle banche depositarie per il trasferimento sui conti dei Xxxx- xxxx. Il pagamento al Sistema di Compensazione manleva l'Emittente dai propri obblighi derivanti dagli Strumenti Finanziari in relazione all'importo di tale pagamento. "Sistema di Compensazione" significa Monte Titoli S.p.A.
C.18	Descrizione delle modalità secondo le quali si gene- rano i proventi degli strumenti derivati	Pagamento dell'Importo di Rimborso alla Data di Rimborso nella quale un Titolare esercita il proprio Diritto di Rimborso o alla Data di Riscatto nella quale l'Emittente esercita il proprio Diritto di Riscatto Regolare o alla Data di Liquidazione a seconda dei casi.
C.19	Prezzo di eser- cizio o prezzo di riferimento definitivo del sottostante	"Prezzo di Riferimento Rilevante" significa il Prezzo di Riferimento (come definito nella tabella contenuta nell'Allegato alla presente nota di sintesi) alla rispettiva Data di Osservazione immediatamente precedente alla rispettiva Data di Rimborso o Data di Riscatto o Data di Liquidazione, a seconda dei casi.
C.20	Descrizione del tipo di sotto- stante e di dove siano re- peribili le in- formazioni relative al sot- tostante	L'indice che costituisce il Sottostante è specificato nella tabella contenuta nell'Allegato alla presente nota di sintesi. Per ulteriori informazioni circa la performance passata e futura del Sottostante e la relativa volatilità, si faccia riferimento al Sito Web, come specificato nella tabella contenuta nell'Allega- to alla presente nota di sintesi.

D. RISCHI

D.2	Informazioni fondamentali sui principali rischi che sono specifici e in- dividuali per l'Emittente	I potenziali investitori devono essere consapevoli che, qualora si verifichi uno dei seguenti fattori di rischio, il valore degli strumenti finanziari potrebbe ri- dursi con la conseguente perdita totale del capitale investito. • Rischio Macroeconomico Rischi per effetto di un deterioramento nel quadro di sviluppo macroeconomi- co e/o nei mercati finanziari e per effetto di incertezze geopolitiche • Rischio Sistemico
		Rischi per effetto di disservizi o del collasso funzionale del sistema finanziario

o parti di esso

• Rischio di Credito

(i) Rischi per effetto di cambiamenti nel rating di una delle parti contrattuali (debitore, controparte, emittente o paese); (ii) Rischi per effetto di un deterio- ramento della situazione economica complessiva e degli effetti negativi sulla domanda di credito e la solvibilità dei debitori del Gruppo HVB; (iii) Rischi per effetto di un decremento del valore delle garanzie sui crediti; (iv) Rischi per effetto dell'attività di negoziazione/sui derivati; (v) Rischi per effetto dell'espo- sizione creditizia intra-Gruppo; (vi) Rischi per l'esposizione verso titoli del debi- to sovrano / settore pubblico

• Rischio di Mercato

(i) Rischi per i portafogli di negoziazione e bancari per effetto di un deteriora- mento delle condizioni di mercato; (ii) rischi di tasso d'interesse e di valuta estera

• Rischio di Liquidità

(i) Rischio che la banca non sia in grado di adempiere alle proprie obbligazioni di pagamento pienamente o alle scadenze; (ii) Rischi per effetto della raccolta di liquidità; (iii) Rischi per effetto di trasferimenti intra-Gruppo di liquidità; (iv) Rischio di liquidità di mercato

• Rischio Operativo

(i) Rischio di perdite derivanti da processi o sistemi interni difettosi, errori umani o eventi esterni; (ii) Rischi informatici; (iii) Rischi per effetto di attività fraudolenta; (iv) Rischi legali e fiscali; (v) Rischio connesso ad obblighi di compliance

• Rischio di Business

Rischi di perdite dovute a inattesi cambiamenti nel volume d'affari e/o nei margini delle attività

• Rischio da investimenti di natura immobiliare

Rischio di perdite derivanti da cambiamenti nel valore di mercato del portafo- glio immobiliare del Gruppo HVB

• Rischio da investimenti di natura finanziaria

Rischio di diminuzioni nel valore del portafoglio di investimenti del Gruppo HVB

• Rischio di Reputazione

Rischi di un effetto negativo sul Conto Economico emergente da reazioni av- verse da parte degli azionisti derivanti da una differente percezione della ban- ca

• Rischio Strategico

(i) Rischio che emerge per effetto dell'eventualità che il management sia lento nel recepire importanti evoluzioni del settore bancario o ricavi conclusioni errate in merito a tali andamenti; (ii) Rischi dovuti a orientamenti strategici del modello aziendale del Gruppo HVB; (iii) Rischi dovuti al consolidamento del mercato bancario; (iv) Rischi dovuti a mutevoli condizioni competitive del settore finanziario tedesco (v) Rischi dovuti a un cambiamento del rating di HVB

• Rischi regolamentari

(i) Rischi dovuti a cambiamenti nel quadro regolamentare e statutario del Gruppo HVB; (ii) Rischi connessi a possibili misure liquidatorie o a procedi- menti riorganizzativi

• Rischio previdenziale

Xxxxxxx che il destinatario di obblighi previdenziali debba fornire ulteriore

		capitale per far fronte agli impegni previdenziali maturati • Rischi dovuti ad attività di esternalizzazione Tipologia di rischio trasversale, che in particolare può colpire le seguenti tipo- logie di rischi: rischio operativo, rischio di Reputazione, rischio Strategico, rischio di Business, rischio di Credito, di Mercato e di Liquidità • Rischi per effetto della concentrazione dei rischi e dei ricavi Il rischio per effetto della concentrazione dei rischi e dei ricavi indica l'incre- mento delle perdite potenziali e rappresenta un rischio Strategico e di Busi- ness per la Banca • Rischi per effetto dell'imposizione in capo al Gruppo HVB di misure di stress test I risultati di business del Gruppo HVB potrebbero essere influenzati negativa- mente in caso di scarsi risultati emergenti dagli stress test di HVB, del Gruppo HVB, UniCredit S.p.A. o una delle istituzioni finanziarie con le quali essi opera- no • Rischi per effetto di inadeguati modelli di valutazione dei rischi E' possibile che i modelli interni di HVB e del Gruppo HVB vengano valutati come inadeguati al seguito di verifiche e ispezioni condotte dalle autorità di vigilanza, o che essi possano sottostimare rischi esistenti • Rischi non identificati/inattesi HVB e il Gruppo HVB potrebbero incorrere in perdite maggiori di quelle calco- late secondo i vigenti metodi di risk management o in perdite in precedenza del tutto escluse dai propri calcoli
D.6	Informazioni fondamentali sui principali rischi che sono specifici per gli strumenti fi- nanziari	L'Emittente ritiene che i principali rischi descritti di seguito possono, con rife- rimento ai Titolari, influenzare negativamente il valore degli Strumenti Finan- ziari e/o gli importi da distribuire (inclusa la consegna di una quantità di Sot- tostanti o di componenti degli stessi) derivanti dagli Strumenti Finanziari e/o la capacità dei Titolari di cedere gli Strumenti Finanziari ad un prezzo ragione- vole prima della relativa data di liquidazione. • Potenziali conflitti di interesse Il rischio di conflitti di interessi (come descritto sub E.4) è correlato alla possi- bilità che l'Emittente, collocatori o rispettivi affiliati perseguano, in relazione a talune funzioni o operazioni, interessi che possono o meno essere contrari agli interessi dei Titolari. • Principali rischi correlati agli Strumenti Finanziari Principali rischi correlati al mercato In alcune circostanze un Titolare può non essere in grado di rivendere i propri Strumenti Finanziari ovvero di cederli ad un prezzo adeguato prima del rim- borso. Il valore di mercato degli Strumenti Finanziari sarà influenzato dalla solvibilità dell'Emittente e da ulteriori fattori (e.g., tassi di cambio, interesse attuale e tassi di rendimento, il mercato per strumenti finanziari similari, le generali condizioni economiche, politiche e cicliche, la negoziabilità degli Strumenti Finanziari e dei fattori correlati al Sottostante) e può essere sostanzialmente minore del Valore Nominale o del Prezzo di Acquisto. Ai Titolari non possono fare affidamento sulla possibilità di tutelarsi in qual- siasi momento dai rischi di prezzo derivanti dagli Strumenti Finanziari. Principali rischi correlati agli Strumenti Finanziari in generale L'Emittente potrebbe non essere in grado di adempiere, in tutto o in parte, ai propri obblighi derivanti dagli Strumenti Finanziari, e.g. in caso di insolvenza dell'Emittente o per effetto di interventi governativi o regolamentari. A fronte di tale rischio non è previsto alcun sistema di garanzia dei depositi né alcun

sistema di indennizzo analogo.

Un investimento negli Strumenti Xxxxxxxxxx potrebbe essere contrario alla legge o non favorevole per un potenziale investitore ovvero inadatto in consi- derazione della propria conoscenza o esperienza, dei propri bisogni finanziari, dei propri obiettivi e della propria situazione. Il tasso di rendimento reale di un investimento negli Strumenti Finanziari può ridursi a zero ovvero assumere valori negativi (e.g., a causa di costi accessori connessi all'acquisto, alla deten- zione e alla dismissione degli Strumenti Finanziari, a future svalutazioni mo- netarie (inflazione) o ad effetti fiscali). L'importo di rimborso può essere infe- riore al Prezzo di Emissione o al rispettivo prezzo di acquisto e, in alcune cir- costanze, non verrà corrisposto alcun interesse né verranno eseguiti paga- menti nel corso del periodo di detenzione degli Strumenti Finanziari.

I proventi degli Strumenti Finanziari potrebbero non essere sufficienti a gene- rare interessi o a permettere di eseguire i pagamenti dovuti per effetto dell'acquisto degli Strumenti Finanziari mediante finanziamento richiedendo capitale aggiuntivo.

Rischi correlati a Strumenti Finanziari collegati a Sottostanti

Rischi dovuti all'influenza del Sottostante o dei Componenti dello stesso sul valore di mercato degli Strumenti Finanziari

Il valore di mercato degli Strumenti Finanziari e gli importi erogabili derivanti dagli Strumenti Finanziari dipendono significativamente dal prezzo del Sotto- stante o dei Componenti dello stesso. L'evoluzione futura del prezzo del Sotto- stante o di Componenti dello stesso non è prevedibile. Inoltre, il valore di mercato degli Strumenti Finanziari sarà influenzato da diversi fattori correlati al Sottostante.

Rischi dovuti al fatto che la valutazione del Sottostante o dei Componenti dello stesso avviene solo a date, momenti o periodi specificati

A causa del fatto che la valutazione del Sottostante o di Componenti dello stesso può avvenire solo in date, momenti o periodi specificati, i proventi ero- gabili derivanti dagli Strumenti Finanziari possono essere considerevolmente più bassi rispetto al prezzo che il Sottostante o i Componenti dello stesso potrebbero aver suggerito.

Rischi correlati a pagamenti condizionali: Impatto della soglia o limiti

Il pagamento e/o l'entità di tali importi dipendono dalla performance del Sot- tostante o di Componenti dello stesso.

Taluni importi possono essere erogati solo se sono state raggiunte specifiche soglie o limiti o se si sono verificati particolari eventi.

Xxxxxx correlati alla sottrazione delle commissioni

La rispettiva commissione può avere un impatto significativo sull'Importo di Rimborso e può ridurlo a zero anche nel caso di una performance favorevole del Sottostante o di Componenti dello stesso.

I Titolari devono essere consapevoli che potrebbe verificarsi un successivo incremento delle rispettive commissioni fino all'importo massimo (come defi- nito nelle Condizioni Definitive).

In sede di calcolo dell'Importo di Rimborso, la sottrazione delle commissioni può comportare la partecipazione in modo più che proporzionale alla perfor- mance non favorevole del Sottostante o di Componenti dello stesso.

Rischi correlati ad un Multiplo

Un multiplo può fare sì che lo Strumento Finanziario sia analogo, sebbene non del tutto assimilabile, in termini economici ad un investimento diretto nel relativo Sottostante o in componenti dello stesso.

Un multiplo può comportare che il Titolare partecipi alternativamente in mi- sura minore ad una performance favorevole o in misura maggiore ad una performance non favorevole del Sottostante o di Componenti dello stesso.

Rischio di reinvestimento

I Titolari possono reinvestire il capitale ricevuto a seguito di un rimborso anti- cipato degli Strumenti Finanziari unicamente a condizioni meno favorevoli.

Rischio Valuta e rischio del Tasso di Cambio con riferimento al Sottostante o a componenti dello stesso

Se il Sottostante o Componenti dello stesso sono espresse in una valuta diver- sa dalla Valuta di Emissione, esiste un rischio connesso al Tasso di Cambio a meno che tale rischio non venga escluso nelle relative Condizioni Definitive.

Rischi derivanti dal Diritto di Riscatto in capo all'Emittente

Nell'ipotesi di Strumenti Finanziari che attribuiscono all'Emittente il Diritto di Riscatto, tali Strumenti Finanziari possono essere riscattati, a discrezione dell'Emittente, a date predefinite. Qualora il prezzo del Sottostante o Compo- nenti dello stesso sia sfavorevole al momento del Riscatto da parte dell'Emit- tente, il Titolare può subire una perdita parziale o totale del proprio capitale investito.

Rischi derivanti dal Diritto di Xxxxxxxx in capo ai Titolari

Nell'ipotesi di Strumenti Finanziari che attribuiscono un diritto di rimborso in capo ai Titolari, gli Strumenti possono essere rimborsati a date predefinite. Qualora il prezzo del Sottostante o Componenti dello stesso sia sfavorevole al momento dell'esercizio, il Titolare può subire una perdita parziale o totale del proprio capitale investito.

Rischi correlati ad Eventi di Rettifica

Delle rettifiche potrebbero avere un impatto negativo sostanziale sul valore e la futura performance degli Strumenti Finanziari così come sugli importi da distribuire derivanti dagli Strumenti Finanziari. Eventi di rettifica possono inol- tre determinare il riscatto straordinario anticipato degli Strumenti Finanziari.

Rischi correlati a Eventi di Riscatto

Al verificarsi di un Evento di Riscatto l'Emittente ha diritto di riscatto straordi- nario degli Strumenti Finanziari al rispettivo valore di mercato. Se il valore di mercato degli Strumenti Finanziari al momento rilevante è inferiore al Prezzo di Emissione o al Prezzo di Acquisto, il relativo Titolare sarà soggetto ad una parziale o totale perdita del capitale investito sebbene gli Strumenti Finanziari prevedano un pagamento minimo condizionale.

Rischi correlati a Turbative di Mercato

L'Agente per il Calcolo può rinviare date di valutazione e pagamenti ed effet- tuare valutazioni a propria ragionevole discrezione. I Titolari non hanno diritto a richiedere interessi per ritardato pagamento.

• Principali rischi correlati al Sottostante o a componenti dello stesso

Xxxxxx generali

Xxxxxx diritto di proprietà sul Sottostante o su Componenti dello stesso

Il Sottostante o i Componenti dello stesso non saranno detenute dall'Emitten- te a beneficio del Titolare, e di conseguenza, i Xxxxxxxx non avranno alcun dirit- to di proprietà (e.g. diritti di voto, diritti di ricevere dividendi o altre distribu- zioni, nonché altri diritti) in relazione al Sottostante o ai Componenti dello stesso.

Principali rischi correlati alle azioni

La performance degli Strumenti Finanziari correlati ad Azioni (i.e. gli Strumenti Finanziari correlati a indici come Sottostante e azioni come componenti dell'indice) dipende dalla performance delle rispettive azioni, che può essere influenzata da diversi fattori. Il pagamento di dividendi può avere un impatto negativo per il Titolare.

Principali rischi correlati agli indici

La performance di Strumenti Finanziari correlati ad Indici è legata alla perfor-

mance dei rispettivi indici, che dipende largamente dalla composizione e per- formance dei componenti degli indici. L'Emittente può non avere alcuna in- fluenza sul rispettivo indice né sulla definizione dell'indice. Se l'Emittente agisce anche come sponsor o agente di calcolo dell'indice, potrebbero insorge- re conflitti di interesse. In generale, lo sponsor di un indice non si assume responsabilità. Di regola, un indice può essere modificato, cessato o sostituito da un indice successivo in ogni momento. I Titolari non possono, neppure parzialmente, partecipare ai dividendi o ad altre distribuzioni in relazione a componenti degli indici. Se l'indice comporta un fattore di leva, gli investitori sopportano un più elevato rischio di perdite. Gli indici possono includere commissioni che influenzano negativamente la rispettiva performance.

Gli Strumenti Finanziari non hanno protezione del capitale. Gli investitori possono perdere in toto il proprio investimento o parte di tale investimen- to.

E. OFFERTA

E.2b	Ragioni dell'of- ferta e impiego dei proventi, se diversi dalla ricerca del profitto e/o dalla copertura di determinati rischi	Non applicabile; i proventi netti derivanti da ciascuna emissione degli Stru- menti Finanziari saranno usati dall'Emittente per le proprie attività commer- ciali generali, i.e. conseguire profitto e/o la copertura di taluni rischi.
E.3	Descrizione dei termini e delle condizioni dell'offerta	Giorno della prima offerta al pubblico: 05/09/2016 Un'offerta al pubblico sarà fatta in Italia. Il lotto minimo trasferibile è 1 Strumento Finanziario. Il lotto minimo negoziabile è 1 Strumento Finanziario. Gli Strumenti Finanziari saranno offerti a investitori qualificati, investitori retail e/o investitori istituzionali. A far data dal giorno della prima offerta al pubblico gli Strumenti Finanziari descritti nelle Condizioni Definitive saranno offerti su base continua. L'offerta continua sarà fatta sulla base di prezzi lettera correnti forniti dall'E- mittente. L'offerta al pubblico potrà essere terminata dall'Emittente in ogni tempo sen- za fornire alcun motivo. Richiesta di ammissione a quotazione è stata fatta con effetto 06/09/2016 sui seguenti mercati: • Borsa Italiana S.p.A. – SeDeX market
E.4	Descrizione di eventuali inte- ressi che sono significativi per l'emissio- ne/l'offerta compresi inte- ressi conflig- genti	Ciascun collocatore e/o propri affiliati può essere cliente o mutuatario dell'E- mittente o di propri affiliati. Peraltro, tali collocatori e propri affiliati possono aver concluso e nel futuro concludere operazioni nel settore dell'investment banking e/o nel settore commerciale e potranno prestare servizi per l'Emit- tente e per i propri affiliati nel corso dell'ordinario esercizio dell'attività. Con riferimento alla negoziazione degli Strumenti Finanziari l'Emittente è in conflitto di interesse in quanto Market Maker su Borsa Italiana S.p.A. – SeDeX market. L'Emittente è inoltre il gestore e l'Agente del Calcolo degli Strumenti Finanziari. Inoltre, per le seguenti ragioni possono insorgere dei conflitti di interesse in relazione all'Emittente o a persone incaricate dell'offerta: • L'Emittente specifica il Prezzo di Emissione.

		• L'Emittente ed uno dei propri affiliati agisce in qualità di Market Maker degli Strumenti Finanziari (tuttavia, non esiste tale obbligo). • I Collocatori possono ricevere degli incentivi dall'Emittente. • L'Emittente, un qualsiasi Collocatori e uno dei propri affiliati agisce come Agente per il Calcolo o Agente di Pagamento in relazione agli Strumenti Finanziari. • Di volta in volta l'Emittente, un qualsiasi Collocatore e uno dei propri affi- liati possono essere coinvolti in transazioni per proprio conto o per conto di propri clienti, che influenzano la liquidità o il prezzo del Sottostante o di componenti. • L'Emittente, un qualsiasi Collocatore e uno dei propri affiliati possono emettere strumenti finanziari in relazione al Sottostante o componenti dello stesso su cui sono stati già emessi altri strumenti finanziari. • L'Emittente, qualsiasi Collocatore e uno dei propri affiliati può possedere o ottenere informazioni rilevanti sul Sottostante o componenti dello stesso (incluse informazioni non accessibili pubblicamente) connesse alla pro- pria attività lavorativa o altrimenti. • L'Emittente, qualsiasi Collocatore e uno dei propri affiliati può essere coin- volto in attività lavorative con l'emittente del Sottostante o componenti dello stesso, propri affiliati, concorrenti o garanti. • L'Emittente, qualsiasi Collocatore e uno dei propri affiliati può inoltre agire quale membro di un sindacato di banche, come consulente finanziario o come sponsor o emittente del Sottostante o componenti dello stesso.
E.7	Spese stimate addebitate all'investitore dall'Emittente o dall'offerente.	Non applicabile. Nessuna spesa sarà addebitata all'investitore dall'Emittente o da un intermediario. Tuttavia, potranno essere addebitati altri oneri, quali commissioni di custodia o commissioni di vendita.

ALLEGATO ALLA NOTA DI SINTESI

ISIN (C.1)	Prezzo di Riferi- mento (C.19)	Prima Data di Rimborso (C.16)	Data di Liquidazio- ne (C.16)	Prima Data di Riscatto (C.16)	Sottostante (C.20)	Sito Web (C.20)
DE000HV4BM S2	Prezzo di chiusura	26/09/2016	22/06/2018	06/03/2017	Assicurazio- ni Generali S.p.A. Leva 2 Long Daily Net Return EUR (in bre- ve GENERALI X2) (ISIN: DE000A2BN M26)	www.icf- xxxxxxx.xx
DE000HV4BM T0	Prezzo di chiusura	26/09/2016	22/06/2018	06/03/2017	Assicurazio- ni Generali S.p.A. Leva 2 Short Daily Gross Return EUR (in bre- ve GENERALI X -2) (ISIN:	www.icf- xxxxxxx.xx

					DE000A2BN M34)
DE000HV4BM U8	Prezzo di chiusura	26/09/2016	22/06/2018	06/03/2017	Enel S.p.A. Leva 2 Long Daily Net Return EUR (in breve ENEL X2) (ISIN: DE000A2BN M67)	www.icf- xxxxxxx.xx
DE000HV4BM V6	Prezzo di chiusura	26/09/2016	22/06/2018	06/03/2017	Enel S.p.A. Leva 2 Short Daily Gross Return EUR (in breve ENEL X -2) (ISIN: DE000A2BN M75)	www.icf- xxxxxxx.xx
DE000HV4BM W4	Prezzo di chiusura	26/09/2016	22/06/2018	06/03/2017	ENI S.p.A. Leva 2 Long Daily Net Return EUR (in breve ENI X2) (ISIN: DE000A2BN M42)	www.icf- xxxxxxx.xx
DE000HV4BM X2	Prezzo di chiusura	26/09/2016	22/06/2018	06/03/2017	ENI S.p.A. Leva 2 Short Daily Gross Return EUR (in breve ENI X -2) (ISIN: DE000A2BN M59)	www.icf- xxxxxxx.xx
DE000HV4BM Y0	Prezzo di chiusura	26/09/2016	22/06/2018	06/03/2017	Fiat Chrysler Automobiles N.V. Leva 2 Long Daily Net Return EUR (in breve FIAT- FCA X2) (ISIN: DE000A2BN M00)	www.icf- xxxxxxx.xx
DE000HV4BM Z7	Prezzo di chiusura	26/09/2016	22/06/2018	06/03/2017	Fiat Chrysler Automobiles N.V. Leva 2 Short Daily Gross Return EUR (in breve FIAT- FCA X -2)	www.icf- xxxxxxx.xx

					(ISIN: DE000A2BN M18)
DE000HV4BM 05	Prezzo di chiusura	26/09/2016	22/06/2018	06/03/2017	Intesa San- paolo S.p.A. Leva 2 Long Daily Net Return EUR (in breve INTESA SANPAOLO X2) (ISIN: DE000A2BN NA8)	www.icf- xxxxxxx.xx
DE000HV4BM 13	Prezzo di chiusura	26/09/2016	22/06/2018	06/03/2017	Intesa San- paolo S.p.A. Leva 2 Short Daily Gross Return EUR (in breve INTESA SANPAOLO X -2) (ISIN: DE000A2BN NB6)	www.icf- xxxxxxx.xx
DE000HV4BM 21	Prezzo di chiusura	26/09/2016	22/06/2018	06/03/2017	Telecom Italia S.p.A. Leva 2 Long Daily Net Return EUR (in breve TELECOM ITALIA X2) (ISIN: DE000A2BN M83)	www.icf- xxxxxxx.xx
DE000HV4BM 39	Prezzo di chiusura	26/09/2016	22/06/2018	06/03/2017	Telecom Italia S.p.A. Leva 2 Short Daily Gross Return EUR (in breve TELECOM ITALIA X -2) (ISIN: DE000A2BN M91)	www.icf- xxxxxxx.xx

DISCLAIMER

The financial instrument is not sponsored, promoted, sold or supported in any other manner by ICF BANK AG nor does ICF BANK AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the Index Price at any time or in any other respect. The Index is calculated and published by ICF BANK AG. ICF BANK AG uses its best efforts to ensure that the Index is calculated correctly. Irrespective of its obligations towards the Issuer, ICF BANK AG has no obligation to point out errors in the Index to third parties including but not limited to investors and/or financial intermediaries of the financial instrument. Neither publication of the Index by ICF BANK AG nor the licensing of the Index or Index trade mark for the purpose of use in connection with the financial in- strument constitutes a recommendation by ICF BANK AG to invest capital in said financial instrument nor does it in any way represent an assurance or opinion of ICF BANK AG with regard to any investment in this financial instrument. This document is for the information and use of professional advisers only. Remem- ber, the information in this document does not constitute tax, legal or investment advice and is not in- tended as a recommendation for buying or selling securities. The information and opinions contained in this document have been obtained from public sources believed to be reliable, but no representation or warranty, express or implied, is made that such information is accurate or complete and it should not be relied upon as such.

ICF BANK AG and all other companies mentioned in this document will not be responsible for the conse- quences of reliance upon any opinion or statement contained herein or for any omission.

Form of Waiver Notice

The form of Waiver Notice is applicable for Securities which shall be admitted to trading on an Italian regulated or other equivalent market:

FORM OF WAIVER OF EXERCISE

(Name of Securities and ISIN)

To: UniCredit Bank AG

Facsimile: + 39 02 49535357

Failure properly to complete this waiver of exercise or to submit a substantially similar form of waiver of exercise shall result in the waiver of exercise being treated as null and void.

PLEASE USE BLOCK CAPITALS

1. Details of Holder(s) of the Securities

Name: Address: Facsimile: Telephone:

2. Details of Tranche of Securities

The Tranche of Securities to which this waiver of exercise relates:

3. Waiver of Automatic Exercise

I/We, being the holder of the Securities referred to below forming part of the above Tranche of Securities, hereby waive the automatic exercise of such Securities in accordance with the Conditions thereof.

4. Number of Securities

The number of Securities is as follows:

5. Dated

6. Signed

Index Methodology

ASSICURAZIONI GENERALI S.p.A.

Leva 2 Long Daily Net Return EUR

Timestamp: 02nd September 2016

Contents

1. General information 3

2. Description and functioning 4

2.1 Index definitions 5

2.2 Daily chaining 7

3. Index calculation 8

3.1 Intraday rebalancing 9

3.2 Dividend Index adjustments 10

3.3 Extraordinary Index adjustments 11

3.4 Index split / reverse split adjustments 12

3.5 Impossibility to complete intraday rebalancing 13

4. Index parameters 14

4.1 Publications 14

4.2 Prices and frequency of Index calculation 14

5. Authorisation/licences 15

6. Rounding 15

7. Interruption or suspension of trading 15

8. Annex 15

1. General information

This Index Methodology outlines the general methodology used to calculate the ASSICURAZIONI GENERALI S.p.A. Leva 2 Long Daily Net Return EUR (hereinafter: the "Index"). It sets forth the parameters, composition and calculation of the Index as well as the relevant criteria in this respect. ICF BANK AG exercises the utmost diligence when calculating and publishing the Index, and in implementing the criteria set out in this Methodology.

ICF BANK AG neither warrants nor guarantees the accuracy of the Index or the parameters Reference Instrument its composition and calculation, nor does it assume any liability for losses resulting from the flawed configuration or calculation of the Index or any other ratios derived therefrom. ICF BANK AG is under no obligation to notify third parties, including investors and/or financial intermediaries, of any errors or omissions pertaining to the Index.

ICF BANK AG publishes the Index on its website at xxx.xxx-xxxxxxx.xx. Publication of the Index constitutes neither investment advice nor a recommendation issued by ICF BANK AG to buy, sell or hold a given financial product. Specifically, the composition and calculation of the Index in no way represent a recommendation issued by ICF BANK AG to buy or sell individual, several or all Reference Instruments. This information does not constitute financial analysis within the meaning of § 34 b of the German Securities Trading Act (Wertpapierhandelsgesetz, "WpHG").

The statements contained in the following provide information relating to the composition and calculation of the Index.

The Index is calculated and published by ICF BANK AG. All rights to this Index are reserved to ICF BANK AG.

Index Details:

Index Name: ASSICURAZIONI GENERALI S.p.A. Leva 2 Long Daily Net Return EUR ISIN: DE000A2BNM26

WKN: A2BNM2 REUTERS-RIC:.ICFG00L2

Reference Instrument: ASSICURAZIONI GENERALI S.p.A., common shares Reference Instrument ISIN: IT0000062072

Index Calculation Agent: ICF BANK AG, Xxxxxxxxxxxxx 0, 00000 Xxxxxxxxx, Xxxxxxx Information Page: xxxxx://xxx-xxxxxxx.xx/

2. Description and functioning

The Index is a factor Index. A factor Index uses a constant factor to track the daily percentage change in the market price of an Reference Instrument (e.g., an equity, an Index or a commodity) as compared to the most recent Fixing Price (as defined in section 2.1) of that Reference Instrument. The factor defines in which direction (whether the same or inverse) and what degree of leverage the factor Index reflects the daily price change of the Reference Instrument. In this case, the Index Reference Instrument is represented by the ordinary share of ASSICURAZIONI GENERALI S.p.A, traded on the Reference Exchange, as defined in Section 2.1.

To calculate the increase or decrease of the Index, a leverage- and a financing-component is used.

The leverage component reflects the change in price of the Reference Instrument between two Fixing Prices and transfers this movement (either positive or negative) onto the Index by multiplying the percentage of change with the assigned leverage. Thereby, a disproportionate effect on the value of the Index occurs. This leverage effect inherits the risk of an over proportional capital loss (“downside risk”).

For example: (excluding the financial component and events like dividends, corporate actions, etc.) If a factor long Index has a factor of 2:

- a 5% increase in the price of the Reference Instrument (as compared to the latest Fixing Price), will result in the value of the Index increasing by 2 x 5%.

- a 5% decrease in the price of the Reference Instrument (as compared to the latest Fixing Price), will result in the value of the Index decreasing by 2 x 5%.

The financial component contains the costs of borrowing money at a one-day rate (EONIA Rate, see Section 3 for more information) increased by a per annum rate (ICF Rate) that reflects the Index calculation fee.

The Index will be continuously calculated during the Reference Instrument trading hours on the Reference Exchange by the Index Calculation Agent. This means, that the Index will be re-calculated at every change in price of the Reference Instrument. The Index Calculation Agent will charge an annual fee of 0.7% p.a., which will be deducted daily (based on a year comprising 360 days), during the calculation of the Index.

For periods longer than one day, the compounding effect shall be taken into account. Indeed, returns on the Reference Instrument cannot simply be multiplied with the selected factor since the performance of the factor Index depends on each individual daily performance of the Reference Instrument. If the performance of a factor Index is compared against that of the Reference Instrument over a period longer than one day, the observed price trends will deviate not only for prices of the Reference Instrument which constantly rise or fall, but also for those which fluctuate.

2.1 Index definitions

The definitions below shall apply for the purposes of this Index description.

"Barrier" indicates the maximum permitted negative (in case of a long Index) or positive (in case of a short Index) change in price of the Reference Instrument compared to its most recent Fixing Value before an intraday Index adjustment takes place. In this Index, indicated by parameter P, the Barrier is

-30%.

“Derivatives Exchange” are the main exchanges where options or futures of the Reference Instrument are traded.

"Dividend" shall mean the Dividend of the company, exclusive of which the Reference Instrument is traded on the reference exchange on the Ex-Dividend day.

"Ex-Dividend Date" means the Trading Day on which the Reference Instrument trades "Ex-Dividend" on the Reference Exchange.

"Extraordinary Adjustment Event" means any of the following events as they relate to the Reference Instrument:

a. capital increase by way of the issue of new shares in return for contributions in cash or in kind with the grant of a subscription right, capital increase from retained earnings, issue of securities with option or conversion rights into shares, distribution of special Dividends, share split, subdivision, consolidation or reclassification of the shares

b. probable or definitive discontinuation of stock exchange trading in the shares as a result of a merger by absorption or new company formation or takeover of the company of the Reference Instrument by another company

c. spin-off of a division of the company in such a manner that a new independent company is created or the division is absorbed by a third company

d. any other event, which the Index Calculation Agent may at its reasonable discretion deem to have a comparable or similar impact on the calculation of the Factor Index in the event no adjustments were to be made

In case of securities representing shares (ADR/GDR) as the Reference Instrument, the following provisions shall additionally apply:

e. any modification of the terms and conditions of the securities representing shares by their issuers

f. discontinuation of the stock exchange quotation of the securities representing shares or of the shares underlying them

g. insolvency of the issuer of the securities representing shares

h. end of the term of the securities representing shares as a result of termination by the issuer of the securities representing shares

For ADRs and GDRs or any other securities representing shares and other Dividend-bearing securities (e.g. profit participation rights, participation certificates) as the Reference Instrument the provisions specified under (a) to (c) shall apply mutatis mutandis with respect to the Reference Instrument and the issuing company.

"Fixing Price" of the Reference Instrument for an Index Calculation Day is – subject to an Extraordinary Adjustment to the calculation of the Index in accordance with section 3 – the official closing price, or for Italian stocks underlyings the reference closing price (“prezzo di riferimento”) of the Reference Instrument, as determined and published for that day by the Reference Exchange. If an Index Calculation Day falls on a day which is not a Trading Day, the Fixing Price of the immediately preceding Index Calculation Day shall continue to apply. If no Fixing Price for the Reference Instrument is determined or published on a Trading Day, the Index Calculation Agent shall determine the Fixing Price of the Reference Instrument for that day on the basis of the most recent prices set for the Reference Instrument at its due discretion.

"Index Calculation Agent" means ICF BANK AG, Xxxxxxxxxxxxx 0, 00000 Xxxxxxxxx, Xxxxxxx

"Index Calculation Day" means every day from Monday to Friday except holidays on which the Reference Exchange is closed

"Index Calculation Fee" is 0.7% per annum. The Index Calculation Fee is charged each calendar day, beginning as of the Index Start Date. It is calculated on the basis of a 360-day year and the most recently calculated Index Closing Value.

"Index Currency" means EUR

"Index Fixing Value" is calculated for each Index Calculation Day by the Index Calculation Agent in accordance with section 3 of this Index description on the basis of the Reference Price (“prezzo di riferimento”) of the Reference Instrument for this Index Calculation Day and published in accordance with section 4.1 of this Index description.

"Information Page" means xxxxx://xxx-xxxxxxx.xx/ "Index Start Date" means 26th August 2016

"Index Start Value" is 100 Index points and represents the Index Closing Value on Index Calculation Day T=0 for the purposes of calculating the Index in accordance with Section 3 of this document

"Interest Rate" means EONIA. EONIA (Euro Over Night Index Average) is a weighted average interest rate for overnight interbank money calculated act/360 by the European Central Bank since 4 January 1999 on the basis of effective turnover. If the Interest Rate is not set or published on an Index Calculation Day, the Interest Rate applied on the immediately preceding Index Calculation Day is used to calculate the Index in accordance with section 3 of this document. If the Interest Rate has neither been set nor published for ten consecutive Index Calculation Days, the Index Calculation Agent has the right and obligation to stipulate in its reasonable discretion an alternative relevant Interest Rate which has functions comparable to the previous Interest Rate.

"Leverage" describes the impact, that a change in the price of the Reference Instrument has on the relevant factor Index. The leverage on this Index is 2. See Lev parameter in section 3.

“Market Disruption Event” means each of the following events:

a) the failure of the Reference Exchange to open for trading during its regular trading sessions

b) the suspension or restriction of trading in the Reference Instrument on the Reference Exchange

c) in general the suspension or restriction of trading in a Derivative of the Reference Instrument on the Derivatives Exchange

"Reference Exchange" means Borsa Italiana S.p.A. – LSE Group

“Reference Instrument " means ASSICURAZIONI GENERALI S.p.A. Asset Type: Ordinary Share

Currency: EUR ISIN: IT0000062072

Bloomberg symbol: G IM EQUITY

"Reference Instrument Price" corresponds at any time during the trading period on the Reference Exchange to the price of the Reference Instrument

"Trading Day" means every day on which the Reference Instrument is traded on the Reference Exchange.

“VWAP” means volume weighted average price of the Reference Instrument. See section 3.1 of this document

"Withholding-Tax" shall be 26.00% on the Index Start Date. The Index Calculation Agent may change the Withholding-Tax Factor at its due discretion on any Index Calculation Day with prospective effect, if the relevant tax law applicable to the Index Calculation Agent changes, resulting in a change in the amount of the – after tax – Dividend virtually accruing to it. Check xxxxx://xxx- xxxxxxx.xx/ for current Withholding-Tax value.

2.2 Daily chaining

As mentioned in Section 2, the value of a factor Index is calculated by applying, on a daily basis, the corresponding leverage- and financial component to the daily change in the Reference Instrument. The Index is calculated on the basis of the change in the price of the Reference Instrument as compared to its most recent Fixing Price, which, in this case, will be represented by the “prezzo di riferimento” which is calculated at closing and published by the Reference Exchange. Thus every new fixing price for the Reference Instrument represents a new reference price, which serves as the basis for calculating the percentage variation in underlying Fixing Price and apply the daily constant leverage factor, according to the index calculation methodology described in the present document, in order to derive the fixing value of the index. This daily adjustment of the factor Index is automatic and is known as chaining.

3. Index calculation

The Index will be calculated on the basis of the following formula: Leverage Componentt:

IndexT

× (Lev × Stockt

(StockT − (Divt × (1 − WT))) × RFactorSSt

− (Lev − 1))

Financial Componentt:

Index

× ((Lev − 1) × IRT + ICFT) × D

T 360

t,T

Index Calculationt:

Indext = Leverage Coneonentt − Financial Coneonentt

The calculation formula is using the following parameters:

Parameter	Description
t	Represents the current calculation date
T	Represents the last fixing date, which is the date of the last closing price, represented by the “prezzo di riferimento”, as calculated and published by the Reference Exchange
Indext	Current Index level at calculation time t
IndexT	Recent Index fixing level as described in Section 2.2
Xxxxxx	Last traded share price of the Reference Instrument, traded on the Reference Exchange at calculation time t
StockT	Last Reference Instrument Fixing Price as described in Section 2.2
Dt,T	Number of calendar days between T and t
IRT	EONIA Rate (Euro Over Night Index Average), describes an overnight- loanrate that is determined by the European Central Bank. The value of IRT always equates the EONIA Rate of date T
ICFT	Index calculation fee which is charged by the Index Calculation Agent
Lev	Leverage (see definition in section 2.1)
Divt	Dividend correction, that equates the gross Dividend amount paid by the Reference Instrument on Ex-Dividend date t. If date t is not an Ex-Dividend date, this parameter has a value of 0. See Section 3.2 for more information
RFactorSSt	Represents the factor of a potential corporate action event of the Reference Instrument on date t. See Section 3.3 for more information. If date t is not a corporate action date, this parameter has a value of 1
WT	Withholding-Tax, that is subtracted from the Dividend correction in case date t is an Ex-Dividend date. See section 3.2 for more information

3.1 Intraday rebalancing

If, for instance, the price of the Reference Instrument suffers a 50% daily loss, the value of a factor long Index with a factor of 2 would have to drop to zero (total loss) since the factor Index would also double its losses. In order to counteract a total loss, factor indices feature a Barrier (represented by the parameter P), which triggers an intraday Index adjustment if the Reference Instrument reaches or falls below it.

In the event of an intraday rebalancing, new fixing values for the Index and the Reference Instrument calculated and therefore, a new day is simulated from which the ongoing calculation continues. The consequence is that the negative daily return for the factor Index is attenuated. However, if the calculated price of the index is significantly low, this can result in an intraday loss which, in economic terms, closely approximates a total loss.

The condition for triggering an intraday adjustment is as follows:

Stockt

((StockT − (Divt × (1 − WT))) × RFactorSSt)

− 1 ≤ P

Whereby the parameter P represents the Barrier. In this case, the value of P is -30% (-0.3).

In case of an intraday adjustment, the calculation of the Index is interrupted for half an hour (30 minutes) period, excluding the time of any Market Disruption Event. For this half an hour trading time calculation break, a volume weighted average price (VWAP) will be defined. The determined VWAP will then be used as new fixing value for the Reference Instrument in the continued calculation. Given the case, a rebalancing event occurs less than 30 minutes before market close, the calculation period for the VWAP will be prolonged into the next trading day, until the 30 minutes trading time window from the past trading day is completed. Note that the half an hour trading time window refers to 30 minutes of trading on the Reference Exchange. If the Reference Instrument is, for example, currently suspended, this does not add to the 30 minutes of trading time. Then the VWAP time will be prolonged until 30 minutes of trading time is reached.

For example, if an intraday adjustment is triggered at 03:28:15 p.m. CET (given that the Index calculation continues until 05:35:00 p.m. CET), the ongoing calculation of the Index immediately stops. The VWAP relevant calculation time then will include the timespan between 03:29:00 p.m. CET and 03:58:59 p.m. CET. At 03:59:00 p.m. CET the new fixing values for the Index and the Reference Instrument are calculated. Afterwards, the ongoing calculation will continue with the new fixing values.

For example, if an intraday adjustment is triggered at 05:21:15 p.m. CET (given that the Index calculation continues until 05:35:00 p.m. CET), the ongoing calculation of the Index immediately stops. The VWAP relevant calculation time then will include the timespan between 05:22:00 p.m. CET and 09:16:59 a.m. CET of the following trading day. At 09:17:00 a.m. CET the new fixing values for the Index and the Reference Instrument are calculated. Afterwards, the ongoing calculation will continue with the new fixing values. In case of an overnight rebalancing, there will not be the regular fixing described in Section 2.2

After the 30 minute calculation break, new fixing values will be calculated as follows:

New Index Fixing value

Leverage Componentnew:

IndexT

× (Lev × VWAP

(StockT − (Divt × (1 − WT))) × RFactorSSt

− (Lev − 1))

Financial Componentnew:

Index

× ((Lev − 1) × IRT + ICFT) × D

Index Fixing valuenew:

T 360

t,T

T

Indexnew = Leverage Coneonentnew − Financial Coneonentnew

New Reference Instrument Fixing value

T

Stocknew = VWAP

After the calculation of the new fixing values, the suffix “new” shall be dropped from all relevant quantities, and the ongoing calculation of the new index values continues as described in Section 3.

Note the following: While calculating the new fixing values, Dt,T is still the difference in days between the actual calculation date t and the recent most fixing date T. After the ongoing fixing is completed, date T becomes the same date as the actual calculation date and therefore, when continuing the ongoing calculation, the value of Dt,T is 0.

Also note, that after an intraday adjustment, a potential correction of the Index level because of Dividend or corporate action (See Section 3.2 and Section 3.3 for more information) will be set to 0 for Parameter Divt and 1 for Parameter RFactorSSt after calculation of the new fixing values, because the newly calculated fixing is, for example, already Ex-Dividend.

3.2 Dividend Index Adjustments

In case date t is an Ex-Dividend day, a Dividend Index Adjustment is triggered. Therefore, the index calculation described in Section 3 will be influenced by the parameters Divt and WT. While the parameter Divt represents the correction of the Reference Underlying price by the paid Dividend, the parameter WT represents the withholding-tax, being payed as a government requirement for the payer of an item of income to withhold or deduct tax from the payment, and pay that tax to the government.

If date t is not an Ex-Dividend day, the value of the Parameters Divt and WT is 0.

3.3 Extraordinary Index Adjustments

On date t, for any “unforeseeable cases” not described under the present index rule, an extraordinary Index Adjustment is triggered. The Index Calculation Agent will generally modify the Index calculation by correcting at its due discretion the relevant Fixing Price for the Reference Instrument on Index Calculation Day t, taking into account all available information and client´s best interest, in order to factor into the Index calculation, the adjustments made on the Reference Exchange to the Reference Instrument traded there.

The Index Calculation Agent may also adapt the Index Calculation in some other manner if it deems this necessary in its due discretion in order to account for differences between this Factor Index and the Reference Instrument. Such adjustments may in particular relate to the Reference Instrument being replaced by a basket of shares, securities representing shares or other Dividend-bearing securities or in the event of a merger by an appropriate number of shares, securities representing shares or other Dividend-bearing securities issued by the absorbing or newly formed company and where necessary stipulating a different Reference Exchange and Reference Instrument Price.

The list of extraordinary adjustment events listed in section 2.1 is not exhaustive.

A deciding factor is whether the Derivatives Exchange considers it expedient to adjust the contract size, an underlying or involving the relevant Reference Exchange which determines the price of the Reference Instrument. If neither futures nor options linked to the Reference Instrument are traded on the Derivatives Exchange, the adjustment shall be made in such a manner in which the Derivatives Exchange would do so if corresponding futures or options were traded there. If doubts arise in this event relating to the application of the modification rules of the Derivatives Exchange, the Index Calculation Agent shall decide such questions in its reasonable discretion. The rules and regulations of the Derivatives Exchange shall apply in addition to the provisions set out above.

In the event the company issuing the Reference Instrument underlying the Factor Index is liquidated or insolvency, winding-up or similar proceedings are instituted against the assets of the company or of the possibility that such proceedings will be opened becomes known, the price of the Reference Instrument will continue to be factored into the Index Calculation for as long as the price of the Reference Instrument continues to be determined on the Reference Exchange. However, if pricing in such a case is temporarily or permanently suspended, the leverage component remains unchanged and the Index Level will be determined solely on the basis of the other components of the Index formula.

Therefore, the Index calculation described in Section 3 will be influenced by the parameter RFactorSSt. For example, if a split takes place with a stock split rate of 0.5, the Reference Instrument loses half of its value on date t. Therefore, to retain the Index level uninfluenced by the loss of value caused by the split, the parameter RFactorSSt has to hold a value of 0.5. In case date t holds an Extraordinary Index Adjustment and also a Corporate Action event, the Extraordinary Index Adjustment will always be performed before taking the Corporate Action event into calculation.

If date t is not an Ex-Dividend day, the value of the Parameters Divt and WT is 0.

The Index Calculation Agent defines in its reasonable discretion the adjustment method to be applied and published it by the means of a notice on xxxxx://xxx-xxxxxxx.xx/.

3.4 Index Split / Reverse Split Adjustments

On the 1st Friday of each month, the Index is reviewed regarding qualification for an Index Split or a Reverse Split. If the 1st Friday of the month is not a trading day, the following trading day after the 1st Friday of the month will be used for review.

If, on this trading day, the most recent Index fixing value has reached a level above 1000 Points, the Index qualifies for an Index split. If the Index has reached a level below 10, the Index qualifies for an Index Reverse Split.

In case of a qualification for an Index Split or an Index reverse split, the Index fixing value of the 3rd Friday, that is used for the ongoing calculation of the Index on the next trading day, will be unscaled, but will then be divided by 10 in case of Index Split (or multiplied by 10 for a reverse split) during the ongoing Index calculation of the next trading day. Therefore, the fixing value of the Index of the trading day after the 3rd Friday will be a scaled fixing value.

Modification of Index fixing value during a Split

IndexT

= IndexT

10

Modification of Index fixing value during a Reverse-Split

IndexT = IndexT × 10

In case the 3rd Friday of the month is not a trading day, the implementation will take place on the following trading day after the 3rd Friday of the month. Respectively, the Index fixing value of the next trading day after the 3rd Friday, that is used for the ongoing calculation of the Index on the second trading day after the 3rd Friday, will be divided by 10 in case of Index split (or multiplied by 10 for a reverse split) during the ongoing calculation of the Index. Therefore, the fixing value of the Index of the second trading day after the 3rd Friday will be the newly scaled fixing value.

3.5 Impossibility to complete intraday rebalancing:

In case the Index fixing value would become negative after an intraday rebalancing event, the Index level will be fixed at 0.0001. This Index level will continue to be broadcasted for 4 weeks after the reset occurred. Subsequently the Index will be discontinued.

The Index fixing value will become negative after an intraday rebalancing event, if the obtained VWAP (see Section 3.1) is significantly lower, so that the calculated Index fixing value will be negative and therefore, cannot reach a positive value anytime in the future.

Example:

Given the most recent fixing of the Reference Instrument StockT has a value of 100. Date t is not an Ex-Dividend day neither a corporate action date. The most recent calculated fixing value of the Index is 400 Points. During the 1-hour observation period calculated VWAP is 60. The leverage Factor is 2.

Calculating the Index fixing value (leaving aside the financial component):

IndexT

= IndexT

× (Lev × VWAP

(StockT − (Divt × (1 − WT))) × RFactorSSt

− (Lev − 1))

IndexT

= 400 × (2 × 60

(100 − (0 × (1 − 0))) × 1

− (2 − 1)) = 80

The newly calculated Index fixing is a positive value.

Now given the same values, except the value of the calculated VWAP, which is 20. Calculating the Index fixing value (leaving aside the financial component):

IndexT

= IndexT

× (Lev × VWAP

(StockT − (Divt × (1 − WT))) × RFactorSSt

− (Lev − 1))

IndexT

= 400 × (2 × 20

(100 − (0 × (1 − 0))) × 1

− (2 − 1)) = −240

The newly calculated Index fixing value is negative and can therefore no longer become positive.

4. Index parameters

Parameter	Value
Index-ISIN	XX000X0XXX00
Xxxxx-XXX	X0XXX0
Reuters-RIC	.ICFG00L2
Index-Name	ASSICURAZIONI GENERALI S.p.A. Leva 2 Long Daily Net Return EUR
Index-Type	Net Return
Index-Leverage	2
Index-Currency	EUR
Index-Starting Value	100 Points
Index-Starting Date	26.08.2016
Index-Starting Time	09:00 a.m. CET
Index-Ending Time	05:35 p.m. CET
Index-Calculation Fee	0.7% p.a.
Index-Withholding Tax	26.00% (Timestamp: 18.08.2016)
Barrier	-30%
Reference Instrument-ISIN	IT0000062072
Reference Instrument-Name	ASSICURAZIONI GENERALI S.p.A., ordinary share

4.1 Publications

ICF BANK AG publishes the Index on its website at xxx.xxx-xxxxxxx.xx and on Reuters. ICF BANK AG also publishes all information it deems relevant to the current calculation of the Index on its website.

4.2 Prices and frequency of Index calculation

ICF BANK AG calculates the Index each exchange trading day on the Reference Exchange, taking into account the last traded share price of the Reference Instrument, traded on the Reference Exchange at calculation time t. If no last traded share price is available during the calculation period, the Index is calculated using the most recently available last traded share price.

The Index is calculated each stock exchange day at a minimum of once per minute between 09:00 a.m. CET and 05:35 p.m. CET, except in the case of disruptions in ICF BANK AG's data or price feeds which prevent ICF BANK AG from calculating and/or publishing the Index. ICF BANK AG will promptly make any corrections to the Index deemed necessary and publish it on it´s website at xxx.xxx-xxxxxxx.xx and on Reuters.

The Index is calculated in points.

5. Authorisation/licences

Use of the Index as an underlying for derivative financial products must be authorised by separate agreement with the ICF BANK AG.

6. Rounding

If the Index is below 10 Points, the Index will be rounded to four decimal points.

If the Index is above or equal 10 Points and below 100 Points, the Index will be rounded to three decimal points. If the Index is equal or above 100 Points, the Index will be rounded to two decimal points.

7. Interruption or suspension of trading

The Index is not calculated in the event a Market Disruption Event occurs.

8. Annex

Published by / Contact

ICF BANK AG

Wertpapierhandelsbank Xxxxxxxxxxxxx 0

00000 Xxxxxxxxx xx Xxxx Xxxxxxx

xxxxxxxxxx.xxxxxxx@xxxxxxx.xx Phone x00 00 00000-0

Index Methodology

ASSICURAZIONI GENERALI S.p.A.

Leva 2 Short Daily Gross Return EUR

Timestamp: 02nd September 2016

Contents

1. General information 3

2. Description and functioning 4

2.1 Index definitions 5

2.2 Daily chaining 7

3. Index calculation 8

3.1 Intraday rebalancing 9

3.2 Dividend Index adjustments 10

3.3 Extraordinary Index adjustments 11

3.4 Index split / reverse split adjustments 12

3.5 Impossibility to complete intraday rebalancing 13

4. Index parameters 14

4.1 Publications 14

4.2 Prices and frequency of Index calculation 14

5. Authorisation/licences 15

6. Rounding 15

7. Interruption or suspension of trading 15

8. Annex 15

1. General information

This Index Methodology outlines the general methodology used to calculate the ASSICURAZIONI GENERALI S.p.A. Leva 2 short Daily Gross Return EUR (hereinafter: the "Index"). It sets forth the parameters, composition and calculation of the Index as well as the relevant criteria in this respect. ICF BANK AG exercises the utmost diligence when calculating and publishing the Index, and in implementing the criteria set out in this Methodology.

ICF BANK AG neither warrants nor guarantees the accuracy of the Index or the parameters Reference Instrument its composition and calculation, nor does it assume any liability for losses resulting from the flawed configuration or calculation of the Index or any other ratios derived therefrom. ICF BANK AG is under no obligation to notify third parties, including investors and/or financial intermediaries, of any errors or omissions pertaining to the Index.

ICF BANK AG publishes the Index on its website at xxx.xxx-xxxxxxx.xx. Publication of the Index constitutes neither investment advice nor a recommendation issued by ICF BANK AG to buy, sell or hold a given financial product. Specifically, the composition and calculation of the Index in no way represent a recommendation issued by ICF BANK AG to buy or sell individual, several or all Reference Instruments. This information does not constitute financial analysis within the meaning of § 34 b of the German Securities Trading Act (Wertpapierhandelsgesetz, "WpHG").

The statements contained in the following provide information relating to the composition and calculation of the Index.

The Index is calculated and published by ICF BANK AG. All rights to this Index are reserved to ICF BANK AG.

Index Details:

Index Name: ASSICURAZIONI GENERALI S.p.A. Leva 2 short Daily Gross Return EUR ISIN: DE000A2BNM34

WKN: A2BNM3 REUTERS-RIC:.ICFG00S2

Reference Instrument: ASSICURAZIONI GENERALI S.p.A., common shares Reference Instrument ISIN: IT0000062072

Index Calculation Agent: ICF BANK AG, Xxxxxxxxxxxxx 0, 00000 Xxxxxxxxx, Xxxxxxx Information Page: xxxxx://xxx-xxxxxxx.xx/

2. Description and functioning

The Index is a factor Index. A factor Index uses a constant factor to track the daily percentage change in the market price of an Reference Instrument (e.g., an equity, an Index or a commodity) as compared to the most recent Fixing Price (as defined in section 2.1) of that Reference Instrument. The factor defines in which direction (whether the same or inverse) and what degree of leverage the factor Index reflects the daily price change of the Reference Instrument. In this case, the Index Reference Instrument is represented by the ordinary share of ASSICURAZIONI GENERALI S.p.A., traded on the Reference Exchange, as defined in Section 2.1.

To calculate the increase or decrease of the Index, a leverage- and a financing-component is used.

The leverage component reflects the change in price of the Reference Instrument between two Fixing Prices and transfers this movement (either positive or negative) onto the Index by multiplying the percentage of change with the assigned leverage. Thereby, a disproportionate effect on the value of the Index occurs. This leverage effect inherits the risk of an over proportional capital loss (“downside risk”).

For example: (excluding the financial component and events like dividends, corporate actions, etc.) If a factor short Index has a factor of 2:

- a 5% increase in the price of the Reference Instrument (as compared to the latest Fixing Price), will result in the value of the Index decreasing by 2 x 5%.

- a 5% decrease in the price of the Reference Instrument (as compared to the latest Fixing Price), will result in the value of the Index increasing by 2 x 5%.

The financial component contains the costs of borrowing money at a one-day rate (EONIA Rate, see Section 3 for more information) increased by a per annum rate (ICF Rate) that reflects the Index calculation fee.

The Index will be continuously calculated during the Reference Instrument trading hours on the Reference Exchange by the Index Calculation Agent. This means, that the Index will be re-calculated at every change in price of the Reference Instrument. The Index Calculation Agent will charge an annual fee of 0.7% p.a., which will be deducted daily (based on a year comprising 360 days), during the calculation of the Index.

For periods longer than one day, the compounding effect shall be taken into account. Indeed, returns on the Reference Instrument cannot simply be multiplied with the selected factor since the performance of the factor Index depends on each individual daily performance of the Reference Instrument. If the performance of a factor Index is compared against that of the Reference Instrument over a period longer than one day, the observed price trends will deviate not only for prices of the Reference Instrument which constantly rise or fall, but also for those which fluctuate.

2.1 Index definitions

The definitions below shall apply for the purposes of this Index description.

"Barrier" indicates the maximum permitted negative (in case of a long Index) or positive (in case of a short Index) change in price of the Reference Instrument compared to its most recent Fixing Value before an intraday Index adjustment takes place. In this Index, indicated by parameter P, the Barrier is

+30%.

“Derivatives Exchange” are the main exchanges where options or futures of the Reference Instrument are traded.

"Dividend" shall mean the Dividend of the company, exclusive of which the Reference Instrument is traded on the reference exchange on the Ex-Dividend day.

"Ex-Dividend Date" means the Trading Day on which the Reference Instrument trades "Ex-Dividend" on the Reference Exchange.

"Extraordinary Adjustment Event" means any of the following events as they relate to the Reference Instrument:

a. capital increase by way of the issue of new shares in return for contributions in cash or in kind with the grant of a subscription right, capital increase from retained earnings, issue of securities with option or conversion rights into shares, distribution of special Dividends, share split, subdivision, consolidation or reclassification of the shares

b. probable or definitive discontinuation of stock exchange trading in the shares as a result of a merger by absorption or new company formation or takeover of the company of the Reference Instrument by another company

c. spin-off of a division of the company in such a manner that a new independent company is created or the division is absorbed by a third company

d. any other event, which the Index Calculation Agent may at its reasonable discretion deem to have a comparable or similar impact on the calculation of the Factor Index in the event no adjustments were to be made

In case of securities representing shares (ADR/GDR) as the Reference Instrument, the following provisions shall additionally apply:

e. any modification of the terms and conditions of the securities representing shares by their issuers

f. discontinuation of the stock exchange quotation of the securities representing shares or of the shares underlying them

g. insolvency of the issuer of the securities representing shares

h. end of the term of the securities representing shares as a result of termination by the issuer of the securities representing shares

For ADRs and GDRs or any other securities representing shares and other Dividend-bearing securities (e.g. profit participation rights, participation certificates) as the Reference Instrument the provisions specified under (a) to (c) shall apply mutatis mutandis with respect to the Reference Instrument and the issuing company.

"Fixing Price" of the Reference Instrument for an Index Calculation Day is – subject to an Extraordinary Adjustment to the calculation of the Index in accordance with section 3 – the official closing price, or for Italian stocks underlyings the reference closing price (“prezzo di riferimento”) of the Reference Instrument, as determined and published for that day by the Reference Exchange. If an Index Calculation Day falls on a day which is not a Trading Day, the Fixing Price of the immediately preceding Index Calculation Day shall continue to apply. If no Fixing Price for the Reference Instrument is determined or published on a Trading Day, the Index Calculation Agent shall determine the Fixing Price of the Reference Instrument for that day on the basis of the most recent prices set for the Reference Instrument at its due discretion.

"Index Calculation Agent" means ICF BANK AG, Xxxxxxxxxxxxx 0, 00000 Xxxxxxxxx, Xxxxxxx

"Index Calculation Day" means every day from Monday to Friday except holidays on which the Reference Exchange is closed

"Index Calculation Fee" is 0.7% per annum. The Index Calculation Fee is charged each calendar day, beginning as of the Index Start Date. It is calculated on the basis of a 360-day year and the most recently calculated Index Closing Value.

"Index Currency" means EUR

"Index Fixing Value" is calculated for each Index Calculation Day by the Index Calculation Agent in accordance with section 3 of this Index description on the basis of the Reference Price (“prezzo di riferimento”) of the Reference Instrument for this Index Calculation Day and published in accordance with section 4.1 of this Index description.

"Information Page" means xxxxx://xxx-xxxxxxx.xx/ "Index Start Date" means 26th August 2016

"Index Start Value" is 100 Index points and represents the Index Closing Value on Index Calculation Day T=0 for the purposes of calculating the Index in accordance with Section 3 of this document

"Interest Rate" means EONIA. EONIA (Euro Over Night Index Average) is a weighted average interest rate for overnight interbank money calculated act/360 by the European Central Bank since 4 January 1999 on the basis of effective turnover. If the Interest Rate is not set or published on an Index Calculation Day, the Interest Rate applied on the immediately preceding Index Calculation Day is used to calculate the Index in accordance with section 3 of this document. If the Interest Rate has neither been set nor published for ten consecutive Index Calculation Days, the Index Calculation Agent has the right and obligation to stipulate in its reasonable discretion an alternative relevant Interest Rate which has functions comparable to the previous Interest Rate.

"Leverage" describes the impact, that a change in the price of the Reference Instrument has on the relevant factor Index. The leverage on this Index is 2. See Lev parameter in section 3.

“Market Disruption Event” means each of the following events:

a) the failure of the Reference Exchange to open for trading during its regular trading sessions

b) the suspension or restriction of trading in the Reference Instrument on the Reference Exchange

c) in general the suspension or restriction of trading in a Derivative of the Reference Instrument on the Derivatives Exchange

"Reference Exchange" means Borsa Italiana S.p.A. – LSE Group

“Reference Instrument " means ASSICURAZIONI GENERALI S.p.A. Asset Type: Ordinary Share

Currency: EUR ISIN: IT0000062072

Bloomberg symbol: G IM EQUITY

"Reference Instrument Price" corresponds at any time during the trading period on the Reference Exchange to the price of the Reference Instrument

"Trading Day" means every day on which the Reference Instrument is traded on the Reference Exchange.

“VWAP” means volume weighted average price of the Reference Instrument. See section 3.1 of this document

"Withholding-Tax" shall be 26.00% on the Index Start Date. The Index Calculation Agent may change the Withholding-Tax Factor at its due discretion on any Index Calculation Day with prospective effect, if the relevant tax law applicable to the Index Calculation Agent changes, resulting in a change in the amount of the – after tax – Dividend virtually accruing to it. Check xxxxx://xxx- xxxxxxx.xx/ for current Withholding-Tax value.

2.2 Daily chaining

As mentioned in Section 2, the value of a factor Index is calculated by applying, on a daily basis, the corresponding leverage- and financial component to the daily change in the Reference Instrument. The Index is calculated on the basis of the change in the price of the Reference Instrument as compared to its most recent Fixing Price, which, in this case, will be represented by the “prezzo di riferimento” which is calculated at closing and published by the Reference Exchange. Thus every new fixing price for the Reference Instrument represents a new reference price, which serves as the basis for calculating the percentage variation in underlying Fixing Price and apply the daily constant leverage factor, according to the index calculation methodology described in the present document, in order to derive the fixing value of the index. This daily adjustment of the factor Index is automatic and is known as chaining.

3. Index calculation

The Index will be calculated on the basis of the following formula:

Leverage Componentt:

IndexT

× (−Lev × Stockt

(StockT − (Divt)) × RFactorSSt

+ (Lev + 1))

Financial Componentt:

Index

× ((Lev + 1) × IRT − ICFT) × D

T 360

t,T

Index Calculationt:

Indext = Leverage Coneonentt + Financial Coneonentt

The calculation formula is using the following parameters:

Parameter	Description
t	Represents the current calculation date
T	Represents the last fixing date, which is the date of the last closing price, represented by the “prezzo di riferimento”, as calculated and published by the Reference Exchange
Indext	Current Index level at calculation time t
IndexT	Recent Index fixing level as described in Section 2.2
Xxxxxx	Last traded share price of the Reference Instrument, traded on the Reference Exchange at calculation time t
StockT	Last Reference Instrument Fixing Price as described in Section 2.2
Dt,T	Number of calendar days between T and t
IRT	EONIA Rate (Euro Over Night Index Average), describes an overnight- loanrate that is determined by the European Central Bank. The value of IRT always equates the EONIA Rate of date T
ICFT	Index calculation fee which is charged by the Index Calculation Agent
Lev	Leverage (see definition in section 2.1)
Divt	Dividend correction, that equates the gross Dividend amount paid by the Reference Instrument on Ex-Dividend date t. If date t is not an Ex-Dividend date, this parameter has a value of 0. See Section 3.2 for more information
RFactorSSt	Represents the factor of a potential corporate action event of the Reference Instrument on date t. See Section 3.3 for more information. If date t is not a corporate action date, this parameter has a value of 1

3.1 Intraday rebalancing

If, for instance, the price of the Reference Instrument gains a 50% daily increase, the value of a factor short Index with a factor of 2 would have to drop to zero (total loss) since the factor Index would also double its losses. In order to counteract a total loss, factor indices feature a Barrier (represented by the parameter P), which triggers an intraday Index adjustment if the Reference Instrument reaches or falls below it.

In the event of an intraday rebalancing, new fixing values for the Index and the Reference Instrument calculated and therefore, a new day is simulated from which the ongoing calculation continues. The consequence is that the negative daily return for the factor Index is attenuated. However, if the calculated price of the index is significantly low, this can result in an intraday loss which, in economic terms, closely approximates a total loss.

The condition for triggering an intraday adjustment is as follows:

Stockt

((StockT − (Divt)) × RFactorSSt)

− 1 ≥ P

Whereby the parameter P represents the Barrier. In this case, the value of P is +30% (+0.3).

In case of an intraday adjustment, the calculation of the Index is interrupted for half an hour (30 minutes) period, excluding the time of any Market Disruption Event. For this half an hour trading time calculation break, a volume weighted average price (VWAP) will be defined. The determined VWAP will then be used as new fixing value for the Reference Instrument in the continued calculation. Given the case, a rebalancing event occurs less than 30 minutes before market close, the calculation period for the VWAP will be prolonged into the next trading day, until the 30 minutes trading time window from the past trading day is completed. Note that the half an hour trading time window refers to 30 minutes of trading on the Reference Exchange. If the Reference Instrument is, for example, currently suspended, this does not add to the 30 minutes of trading time. Then the VWAP time will be prolonged until 30 minutes of trading time is reached.

For example, if an intraday adjustment is triggered at 03:28:15 p.m. CET (given that the Index calculation continues until 05:35:00 p.m. CET), the ongoing calculation of the Index immediately stops. The VWAP relevant calculation time then will include the timespan between 03:29:00 p.m. CET and 03:58:59 p.m. CET. At 03:59:00 p.m. CET the new fixing values for the Index and the Reference Instrument are calculated. Afterwards, the ongoing calculation will continue with the new fixing values.

For example, if an intraday adjustment is triggered at 05:21:15 p.m. CET (given that the Index calculation continues until 05:35:00 p.m. CET), the ongoing calculation of the Index immediately stops. The VWAP relevant calculation time then will include the timespan between 05:22:00 p.m. CET and 09:16:59 a.m. CET of the following trading day. At 09:17:00 a.m. CET the new fixing values for the Index and the Reference Instrument are calculated. Afterwards, the ongoing calculation will continue with the new fixing values. In case of an overnight rebalancing, there will not be the regular fixing described in Section 2.2

After the 30 minute calculation break, new fixing values will be calculated as follows:

New Index Fixing value

Leverage Componentnew:

IndexT

× (−Lev × VWAP

(StockT − (Divt)) × RFactorSSt

+ (Lev + 1))

Financial Componentnew:

Index

× ((Lev + 1) × IRT − ICFT) × D

Index Fixing valuenew:

T 360

t,T

T

Indexnew = Leverage Coneonentnew + Financial Coneonentnew

New Reference Instrument Fixing value

T

Stocknew = VWAP

After the calculation of the new fixing values, the suffix “new” shall be dropped from all relevant quantities, and the ongoing calculation of the new index values continues as described in Section 3.

Note the following: While calculating the new fixing values, Dt,T is still the difference in days between the actual calculation date t and the recent most fixing date T. After the ongoing fixing is completed, date T becomes the same date as the actual calculation date and therefore, when continuing the ongoing calculation, the value of Dt,T is 0.

Also note, that after an intraday adjustment, a potential correction of the Index level because of Dividend or corporate action (See Section 3.2 and Section 3.3 for more information) will be set to 0 for Parameter Divt and 1 for Parameter RFactorSSt after calculation of the new fixing values, because the newly calculated fixing is, for example, already Ex-Dividend.

3.2 Dividend Index Adjustments

In case date t is an Ex-Dividend day, a Dividend Index Adjustment is triggered. Therefore, the index calculation described in Section 3 will be influenced by the parameters Divt and WT. While the parameter Divt represents the correction of the Reference Underlying price by the paid Dividend, the parameter WT represents the withholding-tax, being payed as a government requirement for the payer of an item of income to withhold or deduct tax from the payment, and pay that tax to the government.

If date t is not an Ex-Dividend day, the value of the Parameters Divt and WT is 0.

3.3 Extraordinary Index Adjustments

On date t, for any “unforeseeable cases” not described under the present index rule, an extraordinary Index Adjustment is triggered. The Index Calculation Agent will generally modify the Index calculation by correcting at its due discretion the relevant Fixing Price for the Reference Instrument on Index Calculation Day t, taking into account all available information and client´s best interest, in order to factor into the Index calculation, the adjustments made on the Reference Exchange to the Reference Instrument traded there.

The Index Calculation Agent may also adapt the Index Calculation in some other manner if it deems this necessary in its due discretion in order to account for differences between this Factor Index and the Reference Instrument. Such adjustments may in particular relate to the Reference Instrument being replaced by a basket of shares, securities representing shares or other Dividend-bearing securities or in the event of a merger by an appropriate number of shares, securities representing shares or other Dividend-bearing securities issued by the absorbing or newly formed company and where necessary stipulating a different Reference Exchange and Reference Instrument Price.

The list of extraordinary adjustment events listed in section 2.1 is not exhaustive.

A deciding factor is whether the Derivatives Exchange considers it expedient to adjust the contract size, an underlying or involving the relevant Reference Exchange which determines the price of the Reference Instrument. If neither futures nor options linked to the Reference Instrument are traded on the Derivatives Exchange, the adjustment shall be made in such a manner in which the Derivatives Exchange would do so if corresponding futures or options were traded there. If doubts arise in this event relating to the application of the modification rules of the Derivatives Exchange, the Index Calculation Agent shall decide such questions in its reasonable discretion. The rules and regulations of the Derivatives Exchange shall apply in addition to the provisions set out above.

In the event the company issuing the Reference Instrument underlying the Factor Index is liquidated or insolvency, winding-up or similar proceedings are instituted against the assets of the company or of the possibility that such proceedings will be opened becomes known, the price of the Reference Instrument will continue to be factored into the Index Calculation for as long as the price of the Reference Instrument continues to be determined on the Reference Exchange. However, if pricing in such a case is temporarily or permanently suspended, the leverage component remains unchanged and the Index Level will be determined solely on the basis of the other components of the Index formula.

Therefore, the Index calculation described in Section 3 will be influenced by the parameter RFactorSSt. For example, if a split takes place with a stock split rate of 0.5, the Reference Instrument loses half of its value on date t. Therefore, to retain the Index level uninfluenced by the loss of value caused by the split, the parameter RFactorSSt has to hold a value of 0.5. In case date t holds an Extraordinary Index Adjustment and also a Corporate Action event, the Extraordinary Index Adjustment will always be performed before taking the Corporate Action event into calculation.

If date t is not an Ex-Dividend day, the value of the Parameters Divt and WT is 0.

The Index Calculation Agent defines in its reasonable discretion the adjustment method to be applied and published it by the means of a notice on xxxxx://xxx-xxxxxxx.xx/.

3.4 Index Split / Reverse Split Adjustments

On the 1st Friday of each month, the Index is reviewed regarding qualification for an Index Split or a Reverse Split. If the 1st Friday of the month is not a trading day, the following trading day after the 1st Friday of the month will be used for review.

If, on this trading day, the most recent Index fixing value has reached a level above 1000 Points, the Index qualifies for an Index split. If the Index has reached a level below 10, the Index qualifies for an Index Reverse Split.

In case of a qualification for an Index Split or an Index reverse split, the Index fixing value of the 3rd Friday, that is used for the ongoing calculation of the Index on the next trading day, will be unscaled, but will then be divided by 10 in case of Index Split (or multiplied by 10 for a reverse split) during the ongoing Index calculation of the next trading day. Therefore, the fixing value of the Index of the trading day after the 3rd Friday will be a scaled fixing value.

Modification of Index fixing value during a Split

IndexT

= IndexT

10

Modification of Index fixing value during a Reverse-Split

IndexT = IndexT × 10

In case the 3rd Friday of the month is not a trading day, the implementation will take place on the following trading day after the 3rd Friday of the month. Respectively, the Index fixing value of the next trading day after the 3rd Friday, that is used for the ongoing calculation of the Index on the second trading day after the 3rd Friday, will be divided by 10 in case of Index split (or multiplied by 10 for a reverse split) during the ongoing calculation of the Index. Therefore, the fixing value of the Index of the second trading day after the 3rd Friday will be the newly scaled fixing value.

3.5 Impossibility to complete intraday rebalancing:

In case the Index fixing value would become negative after an intraday rebalancing event, the Index level will be fixed at 0.0001. This Index level will continue to be broadcasted for 4 weeks after the reset occurred. Subsequently the Index will be discontinued.

The Index fixing value will become negative after an intraday rebalancing event, if the obtained VWAP (see Section 3.1) is significantly lower, so that the calculated Index fixing value will be negative and therefore, cannot reach a positive value anytime in the future.

Example:

Given the most recent fixing of the Reference Instrument StockT has a value of 100. Date t is not an Ex-Dividend day neither a corporate action date. The most recent calculated fixing value of the Index is 400 Points. During the 1-hour observation period calculated VWAP is 140. The leverage Factor is 2.

Calculating the Index fixing value (leaving aside the financial component):

IndexT

= IndexT

× (−Lev × VWAP

(StockT − (Divt)) × RFactorSSt

+ (Lev + 1))

IndexT

= 400 × (−2 × 140

(100 − (0)) × 1

+ (2 + 1)) = 80

The newly calculated Index fixing is a positive value.

Now given the same values, except the value of the calculated VWAP, which is 180. Calculating the Index fixing value (leaving aside the financial component):

IndexT

= IndexT

× (−Lev × VWAP

(StockT − (Divt)) × RFactorSSt

+ (Lev + 1))

IndexT

= 400 × (2 × 180

(100 − (0)) × 1

+ (2 + 1)) = −240

The newly calculated Index fixing value is negative and can therefore no longer become positive.

4. Index parameters

Parameter	Value
Index-ISIN	XX000X0XXX00
Xxxxx-XXX	X0XXX0
Reuters-RIC	.ICFG00S2
Index-Name	ASSICURAZIONI GENERALI S.p.A. Leva 2 Short Daily Gross Return EUR
Index-Type	Gross Return
Index-Leverage	2
Index-Currency	EUR
Index-Starting Value	100 Points
Index-Starting Date	26.08.2016
Index-Starting Time	09:00 a.m. CET
Index-Ending Time	05:35 p.m. CET
Index-Calculation Fee	0.7% p.a.
Index-Withholding Tax	26.00% (Timestamp: 18.08.2016)
Barrier	+30%
Reference Instrument-ISIN	IT0000062072
Reference Instrument-Name	ASSICURAZIONI GENERALI S.p.A., ordinary share

4.1 Publications

ICF BANK AG publishes the Index on its website at xxx.xxx-xxxxxxx.xx and on Reuters. ICF BANK AG also publishes all information it deems relevant to the current calculation of the Index on its website.

4.2 Prices and frequency of Index calculation

ICF BANK AG calculates the Index each exchange trading day on the Reference Exchange, taking into account the last traded share price of the Reference Instrument, traded on the Reference Exchange at calculation time t. If no last traded share price is available during the calculation period, the Index is calculated using the most recently available last traded share price.

The Index is calculated each stock exchange day at a minimum of once per minute between 09:00 a.m. CET and 05:35 p.m. CET, except in the case of disruptions in ICF BANK AG's data or price feeds which prevent ICF BANK AG from calculating and/or publishing the Index. ICF BANK AG will promptly make any corrections to the Index deemed necessary and publish it on it´s website at xxx.xxx-xxxxxxx.xx and on Reuters.

The Index is calculated in points.

5. Authorisation/licences

Use of the Index as an underlying for derivative financial products must be authorised by separate agreement with the ICF BANK AG.

6. Rounding

If the Index is below 10 Points, the Index will be rounded to four decimal points.

If the Index is above or equal 10 Points and below 100 Points, the Index will be rounded to Three decimal points. If the Index is equal or above 100 Points, the Index will be rounded to two decimal points.

7. Interruption or suspension of trading

The Index is not calculated in the event a Market Disruption Event occurs.

8. Annex

Published by / Contact

ICF BANK AG

Wertpapierhandelsbank Xxxxxxxxxxxxx 0

00000 Xxxxxxxxx xx Xxxx Xxxxxxx

xxxxxxxxxx.xxxxxxx@xxxxxxx.xx Phone x00 00 00000-0

Index Methodology

Enel S.p.A.

Leva 2 Long Daily Net Return EUR

Timestamp: 02nd September 2016

Contents

1. General information 3

2. Description and functioning 4

2.1 Index definitions 5

2.2 Daily chaining 7

3. Index calculation 8

3.1 Intraday rebalancing 9

3.2 Dividend Index adjustments 10

3.3 Extraordinary Index adjustments 11

3.4 Index split / reverse split adjustments 12

3.5 Impossibility to complete intraday rebalancing 13

4. Index parameters 14

4.1 Publications 14

4.2 Prices and frequency of Index calculation 14

5. Authorisation/licences 15

6. Rounding 15

7. Interruption or suspension of trading 15

8. Annex 15

1. General information

This Index Methodology outlines the general methodology used to calculate the Enel S.p.A. Leva 2 Long Daily Net Return EUR (hereinafter: the "Index"). It sets forth the parameters, composition and calculation of the Index as well as the relevant criteria in this respect. ICF BANK AG exercises the utmost diligence when calculating and publishing the Index, and in implementing the criteria set out in this Methodology.

ICF BANK AG neither warrants nor guarantees the accuracy of the Index or the parameters Reference Instrument its composition and calculation, nor does it assume any liability for losses resulting from the flawed configuration or calculation of the Index or any other ratios derived therefrom. ICF BANK AG is under no obligation to notify third parties, including investors and/or financial intermediaries, of any errors or omissions pertaining to the Index.

ICF BANK AG publishes the Index on its website at xxx.xxx-xxxxxxx.xx. Publication of the Index constitutes neither investment advice nor a recommendation issued by ICF BANK AG to buy, sell or hold a given financial product. Specifically, the composition and calculation of the Index in no way represent a recommendation issued by ICF BANK AG to buy or sell individual, several or all Reference Instruments. This information does not constitute financial analysis within the meaning of § 34 b of the German Securities Trading Act (Wertpapierhandelsgesetz, "WpHG").

The statements contained in the following provide information relating to the composition and calculation of the Index.

The Index is calculated and published by ICF BANK AG. All rights to this Index are reserved to ICF BANK AG.

Index Details:

Index Name: Enel S.p.A. Leva 2 Long Daily Net Return EUR ISIN: DE000A2BNM67

WKN: A2BNM6 REUTERS-RIC:.ICFENEL2

Reference Instrument: Enel S.p.A., common shares Reference Instrument ISIN: IT0003128367

Index Calculation Agent: ICF BANK AG, Xxxxxxxxxxxxx 0, 00000 Xxxxxxxxx, Xxxxxxx Information Page: xxxxx://xxx-xxxxxxx.xx/

2. Description and functioning

The Index is a factor Index. A factor Index uses a constant factor to track the daily percentage change in the market price of an Reference Instrument (e.g., an equity, an Index or a commodity) as compared to the most recent Fixing Price (as defined in section 2.1) of that Reference Instrument. The factor defines in which direction (whether the same or inverse) and what degree of leverage the factor Index reflects the daily price change of the Reference Instrument. In this case, the Index Reference Instrument is represented by the ordinary share of Enel S.p.A, traded on the Reference Exchange, as defined in Section 2.1.

To calculate the increase or decrease of the Index, a leverage- and a financing-component is used.

The leverage component reflects the change in price of the Reference Instrument between two Fixing Prices and transfers this movement (either positive or negative) onto the Index by multiplying the percentage of change with the assigned leverage. Thereby, a disproportionate effect on the value of the Index occurs. This leverage effect inherits the risk of an over proportional capital loss (“downside risk”).

For example: (excluding the financial component and events like dividends, corporate actions, etc.) If a factor long Index has a factor of 2:

- a 5% increase in the price of the Reference Instrument (as compared to the latest Fixing Price), will result in the value of the Index increasing by 2 x 5%.

- a 5% decrease in the price of the Reference Instrument (as compared to the latest Fixing Price), will result in the value of the Index decreasing by 2 x 5%.

The financial component contains the costs of borrowing money at a one-day rate (EONIA Rate, see Section 3 for more information) increased by a per annum rate (ICF Rate) that reflects the Index calculation fee.

The Index will be continuously calculated during the Reference Instrument trading hours on the Reference Exchange by the Index Calculation Agent. This means, that the Index will be re-calculated at every change in price of the Reference Instrument. The Index Calculation Agent will charge an annual fee of 0.7% p.a., which will be deducted daily (based on a year comprising 360 days), during the calculation of the Index.

For periods longer than one day, the compounding effect shall be taken into account. Indeed, returns on the Reference Instrument cannot simply be multiplied with the selected factor since the performance of the factor Index depends on each individual daily performance of the Reference Instrument. If the performance of a factor Index is compared against that of the Reference Instrument over a period longer than one day, the observed price trends will deviate not only for prices of the Reference Instrument which constantly rise or fall, but also for those which fluctuate.

2.1 Index definitions

The definitions below shall apply for the purposes of this Index description.

"Barrier" indicates the maximum permitted negative (in case of a long Index) or positive (in case of a short Index) change in price of the Reference Instrument compared to its most recent Fixing Value before an intraday Index adjustment takes place. In this Index, indicated by parameter P, the Barrier is

-30%.

“Derivatives Exchange” are the main exchanges where options or futures of the Reference Instrument are traded.

"Dividend" shall mean the Dividend of the company, exclusive of which the Reference Instrument is traded on the reference exchange on the Ex-Dividend day.

"Ex-Dividend Date" means the Trading Day on which the Reference Instrument trades "Ex-Dividend" on the Reference Exchange.

"Extraordinary Adjustment Event" means any of the following events as they relate to the Reference Instrument:

a. capital increase by way of the issue of new shares in return for contributions in cash or in kind with the grant of a subscription right, capital increase from retained earnings, issue of securities with option or conversion rights into shares, distribution of special Dividends, share split, subdivision, consolidation or reclassification of the shares

b. probable or definitive discontinuation of stock exchange trading in the shares as a result of a merger by absorption or new company formation or takeover of the company of the Reference Instrument by another company

c. spin-off of a division of the company in such a manner that a new independent company is created or the division is absorbed by a third company

d. any other event, which the Index Calculation Agent may at its reasonable discretion deem to have a comparable or similar impact on the calculation of the Factor Index in the event no adjustments were to be made

In case of securities representing shares (ADR/GDR) as the Reference Instrument, the following provisions shall additionally apply:

e. any modification of the terms and conditions of the securities representing shares by their issuers

f. discontinuation of the stock exchange quotation of the securities representing shares or of the shares underlying them

g. insolvency of the issuer of the securities representing shares

h. end of the term of the securities representing shares as a result of termination by the issuer of the securities representing shares

For ADRs and GDRs or any other securities representing shares and other Dividend-bearing securities (e.g. profit participation rights, participation certificates) as the Reference Instrument the provisions specified under (a) to (c) shall apply mutatis mutandis with respect to the Reference Instrument and the issuing company.

"Fixing Price" of the Reference Instrument for an Index Calculation Day is – subject to an Extraordinary Adjustment to the calculation of the Index in accordance with section 3 – the official closing price, or for Italian stocks underlyings the reference closing price (“prezzo di riferimento”) of the Reference Instrument, as determined and published for that day by the Reference Exchange. If an Index Calculation Day falls on a day which is not a Trading Day, the Fixing Price of the immediately preceding Index Calculation Day shall continue to apply. If no Fixing Price for the Reference Instrument is determined or published on a Trading Day, the Index Calculation Agent shall determine the Fixing Price of the Reference Instrument for that day on the basis of the most recent prices set for the Reference Instrument at its due discretion.

"Index Calculation Agent" means ICF BANK AG, Xxxxxxxxxxxxx 0, 00000 Xxxxxxxxx, Xxxxxxx

"Index Calculation Day" means every day from Monday to Friday except holidays on which the Reference Exchange is closed

"Index Calculation Fee" is 0.7% per annum. The Index Calculation Fee is charged each calendar day, beginning as of the Index Start Date. It is calculated on the basis of a 360-day year and the most recently calculated Index Closing Value.

"Index Currency" means EUR

"Index Fixing Value" is calculated for each Index Calculation Day by the Index Calculation Agent in accordance with section 3 of this Index description on the basis of the Reference Price (“prezzo di riferimento”) of the Reference Instrument for this Index Calculation Day and published in accordance with section 4.1 of this Index description.

"Information Page" means xxxxx://xxx-xxxxxxx.xx/ "Index Start Date" means 26th August 2016

"Index Start Value" is 100 Index points and represents the Index Closing Value on Index Calculation Day T=0 for the purposes of calculating the Index in accordance with Section 3 of this document

"Interest Rate" means EONIA. EONIA (Euro Over Night Index Average) is a weighted average interest rate for overnight interbank money calculated act/360 by the European Central Bank since 4 January 1999 on the basis of effective turnover. If the Interest Rate is not set or published on an Index Calculation Day, the Interest Rate applied on the immediately preceding Index Calculation Day is used to calculate the Index in accordance with section 3 of this document. If the Interest Rate has neither been set nor published for ten consecutive Index Calculation Days, the Index Calculation Agent has the right and obligation to stipulate in its reasonable discretion an alternative relevant Interest Rate which has functions comparable to the previous Interest Rate.

"Leverage" describes the impact, that a change in the price of the Reference Instrument has on the relevant factor Index. The leverage on this Index is 2. See Lev parameter in section 3.

“Market Disruption Event” means each of the following events:

a) the failure of the Reference Exchange to open for trading during its regular trading sessions

b) the suspension or restriction of trading in the Reference Instrument on the Reference Exchange

c) in general the suspension or restriction of trading in a Derivative of the Reference Instrument on the Derivatives Exchange

"Reference Exchange" means Borsa Italiana S.p.A. – LSE Group

“Reference Instrument " means Enel S.p.A. Asset Type: Ordinary Share

Currency: EUR ISIN: IT0003128367

Bloomberg symbol: ENEL IM EQUITY

"Reference Instrument Price" corresponds at any time during the trading period on the Reference Exchange to the price of the Reference Instrument

"Trading Day" means every day on which the Reference Instrument is traded on the Reference Exchange.

“VWAP” means volume weighted average price of the Reference Instrument. See section 3.1 of this document

"Withholding-Tax" shall be 26.00% on the Index Start Date. The Index Calculation Agent may change the Withholding-Tax Factor at its due discretion on any Index Calculation Day with prospective effect, if the relevant tax law applicable to the Index Calculation Agent changes, resulting in a change in the amount of the – after tax – Dividend virtually accruing to it. Check xxxxx://xxx- xxxxxxx.xx/ for current Withholding-Tax value.

2.2 Daily chaining

As mentioned in Section 2, the value of a factor Index is calculated by applying, on a daily basis, the corresponding leverage- and financial component to the daily change in the Reference Instrument. The Index is calculated on the basis of the change in the price of the Reference Instrument as compared to its most recent Fixing Price, which, in this case, will be represented by the “prezzo di riferimento” which is calculated at closing and published by the Reference Exchange. Thus every new fixing price for the Reference Instrument represents a new reference price, which serves as the basis for calculating the percentage variation in underlying Fixing Price and apply the daily constant leverage factor, according to the index calculation methodology described in the present document, in order to derive the fixing value of the index. This daily adjustment of the factor Index is automatic and is known as chaining.

3. Index calculation

The Index will be calculated on the basis of the following formula: Leverage Componentt:

IndexT

× (Lev × Stockt

(StockT − (Divt × (1 − WT))) × RFactorSSt

− (Lev − 1))

Financial Componentt:

Index

× ((Lev − 1) × IRT + ICFT) × D

T 360

t,T

Index Calculationt:

Indext = Leverage Coneonentt − Financial Coneonentt

The calculation formula is using the following parameters:

Parameter	Description
t	Represents the current calculation date
T	Represents the last fixing date, which is the date of the last closing price, represented by the “prezzo di riferimento”, as calculated and published by the Reference Exchange
Indext	Current Index level at calculation time t
IndexT	Recent Index fixing level as described in Section 2.2
Xxxxxx	Last traded share price of the Reference Instrument, traded on the Reference Exchange at calculation time t
StockT	Last Reference Instrument Fixing Price as described in Section 2.2
Dt,T	Number of calendar days between T and t
IRT	EONIA Rate (Euro Over Night Index Average), describes an overnight- loanrate that is determined by the European Central Bank. The value of IRT always equates the EONIA Rate of date T
ICFT	Index calculation fee which is charged by the Index Calculation Agent
Lev	Leverage (see definition in section 2.1)
Divt	Dividend correction, that equates the gross Dividend amount paid by the Reference Instrument on Ex-Dividend date t. If date t is not an Ex-Dividend date, this parameter has a value of 0. See Section 3.2 for more information
RFactorSSt	Represents the factor of a potential corporate action event of the Reference Instrument on date t. See Section 3.3 for more information. If date t is not a corporate action date, this parameter has a value of 1
WT	Withholding-Tax, that is subtracted from the Dividend correction in case date t is an Ex-Dividend date. See section 3.2 for more information

3.1 Intraday rebalancing

If, for instance, the price of the Reference Instrument suffers a 50% daily loss, the value of a factor long Index with a factor of 2 would have to drop to zero (total loss) since the factor Index would also double its losses. In order to counteract a total loss, factor indices feature a Barrier (represented by the parameter P), which triggers an intraday Index adjustment if the Reference Instrument reaches or falls below it.

In the event of an intraday rebalancing, new fixing values for the Index and the Reference Instrument calculated and therefore, a new day is simulated from which the ongoing calculation continues. The consequence is that the negative daily return for the factor Index is attenuated. However, if the calculated price of the index is significantly low, this can result in an intraday loss which, in economic terms, closely approximates a total loss.

The condition for triggering an intraday adjustment is as follows:

Stockt

((StockT − (Divt × (1 − WT))) × RFactorSSt)

− 1 ≤ P

Whereby the parameter P represents the Barrier. In this case, the value of P is -30% (-0.3).

In case of an intraday adjustment, the calculation of the Index is interrupted for half an hour (30 minutes) period, excluding the time of any Market Disruption Event. For this half an hour trading time calculation break, a volume weighted average price (VWAP) will be defined. The determined VWAP will then be used as new fixing value for the Reference Instrument in the continued calculation. Given the case, a rebalancing event occurs less than 30 minutes before market close, the calculation period for the VWAP will be prolonged into the next trading day, until the 30 minutes trading time window from the past trading day is completed. Note that the half an hour trading time window refers to 30 minutes of trading on the Reference Exchange. If the Reference Instrument is, for example, currently suspended, this does not add to the 30 minutes of trading time. Then the VWAP time will be prolonged until 30 minutes of trading time is reached.

For example, if an intraday adjustment is triggered at 03:28:15 p.m. CET (given that the Index calculation continues until 05:35:00 p.m. CET), the ongoing calculation of the Index immediately stops. The VWAP relevant calculation time then will include the timespan between 03:29:00 p.m. CET and 03:58:59 p.m. CET. At 03:59:00 p.m. CET the new fixing values for the Index and the Reference Instrument are calculated. Afterwards, the ongoing calculation will continue with the new fixing values.

For example, if an intraday adjustment is triggered at 05:21:15 p.m. CET (given that the Index calculation continues until 05:35:00 p.m. CET), the ongoing calculation of the Index immediately stops. The VWAP relevant calculation time then will include the timespan between 05:22:00 p.m. CET and 09:16:59 a.m. CET of the following trading day. At 09:17:00 a.m. CET the new fixing values for the Index and the Reference Instrument are calculated. Afterwards, the ongoing calculation will continue with the new fixing values. In case of an overnight rebalancing, there will not be the regular fixing described in Section 2.2

After the 30 minute calculation break, new fixing values will be calculated as follows:

New Index Fixing value

Leverage Componentnew:

IndexT

× (Lev × VWAP

(StockT − (Divt × (1 − WT))) × RFactorSSt

− (Lev − 1))

Financial Componentnew:

Index

× ((Lev − 1) × IRT + ICFT) × D

Index Fixing valuenew:

T 360

t,T

T

Indexnew = Leverage Coneonentnew − Financial Coneonentnew

New Reference Instrument Fixing value

T

Stocknew = VWAP

After the calculation of the new fixing values, the suffix “new” shall be dropped from all relevant quantities, and the ongoing calculation of the new index values continues as described in Section 3.

Note the following: While calculating the new fixing values, Dt,T is still the difference in days between the actual calculation date t and the recent most fixing date T. After the ongoing fixing is completed, date T becomes the same date as the actual calculation date and therefore, when continuing the ongoing calculation, the value of Dt,T is 0.

Also note, that after an intraday adjustment, a potential correction of the Index level because of Dividend or corporate action (See Section 3.2 and Section 3.3 for more information) will be set to 0 for Parameter Divt and 1 for Parameter RFactorSSt after calculation of the new fixing values, because the newly calculated fixing is, for example, already Ex-Dividend.

3.2 Dividend Index Adjustments

In case date t is an Ex-Dividend day, a Dividend Index Adjustment is triggered. Therefore, the index calculation described in Section 3 will be influenced by the parameters Divt and WT. While the parameter Divt represents the correction of the Reference Underlying price by the paid Dividend, the parameter WT represents the withholding-tax, being payed as a government requirement for the payer of an item of income to withhold or deduct tax from the payment, and pay that tax to the government.

If date t is not an Ex-Dividend day, the value of the Parameters Divt and WT is 0.

3.3 Extraordinary Index Adjustments

On date t, for any “unforeseeable cases” not described under the present index rule, an extraordinary Index Adjustment is triggered. The Index Calculation Agent will generally modify the Index calculation by correcting at its due discretion the relevant Fixing Price for the Reference Instrument on Index Calculation Day t, taking into account all available information and client´s best interest, in order to factor into the Index calculation, the adjustments made on the Reference Exchange to the Reference Instrument traded there.

The Index Calculation Agent may also adapt the Index Calculation in some other manner if it deems this necessary in its due discretion in order to account for differences between this Factor Index and the Reference Instrument. Such adjustments may in particular relate to the Reference Instrument being replaced by a basket of shares, securities representing shares or other Dividend-bearing securities or in the event of a merger by an appropriate number of shares, securities representing shares or other Dividend-bearing securities issued by the absorbing or newly formed company and where necessary stipulating a different Reference Exchange and Reference Instrument Price.

The list of extraordinary adjustment events listed in section 2.1 is not exhaustive.

A deciding factor is whether the Derivatives Exchange considers it expedient to adjust the contract size, an underlying or involving the relevant Reference Exchange which determines the price of the Reference Instrument. If neither futures nor options linked to the Reference Instrument are traded on the Derivatives Exchange, the adjustment shall be made in such a manner in which the Derivatives Exchange would do so if corresponding futures or options were traded there. If doubts arise in this event relating to the application of the modification rules of the Derivatives Exchange, the Index Calculation Agent shall decide such questions in its reasonable discretion. The rules and regulations of the Derivatives Exchange shall apply in addition to the provisions set out above.

In the event the company issuing the Reference Instrument underlying the Factor Index is liquidated or insolvency, winding-up or similar proceedings are instituted against the assets of the company or of the possibility that such proceedings will be opened becomes known, the price of the Reference Instrument will continue to be factored into the Index Calculation for as long as the price of the Reference Instrument continues to be determined on the Reference Exchange. However, if pricing in such a case is temporarily or permanently suspended, the leverage component remains unchanged and the Index Level will be determined solely on the basis of the other components of the Index formula.

Therefore, the Index calculation described in Section 3 will be influenced by the parameter RFactorSSt. For example, if a split takes place with a stock split rate of 0.5, the Reference Instrument loses half of its value on date t. Therefore, to retain the Index level uninfluenced by the loss of value caused by the split, the parameter RFactorSSt has to hold a value of 0.5. In case date t holds an Extraordinary Index Adjustment and also a Corporate Action event, the Extraordinary Index Adjustment will always be performed before taking the Corporate Action event into calculation.

If date t is not an Ex-Dividend day, the value of the Parameters Divt and WT is 0.

The Index Calculation Agent defines in its reasonable discretion the adjustment method to be applied and published it by the means of a notice on xxxxx://xxx-xxxxxxx.xx/.

3.4 Index Split / Reverse Split Adjustments

On the 1st Friday of each month, the Index is reviewed regarding qualification for an Index Split or a Reverse Split. If the 1st Friday of the month is not a trading day, the following trading day after the 1st Friday of the month will be used for review.

If, on this trading day, the most recent Index fixing value has reached a level above 1000 Points, the Index qualifies for an Index split. If the Index has reached a level below 10, the Index qualifies for an Index Reverse Split.

In case of a qualification for an Index Split or an Index reverse split, the Index fixing value of the 3rd Friday, that is used for the ongoing calculation of the Index on the next trading day, will be unscaled, but will then be divided by 10 in case of Index Split (or multiplied by 10 for a reverse split) during the ongoing Index calculation of the next trading day. Therefore, the fixing value of the Index of the trading day after the 3rd Friday will be a scaled fixing value.

Modification of Index fixing value during a Split

IndexT

= IndexT

10

Modification of Index fixing value during a Reverse-Split

IndexT = IndexT × 10

In case the 3rd Friday of the month is not a trading day, the implementation will take place on the following trading day after the 3rd Friday of the month. Respectively, the Index fixing value of the next trading day after the 3rd Friday, that is used for the ongoing calculation of the Index on the second trading day after the 3rd Friday, will be divided by 10 in case of Index split (or multiplied by 10 for a reverse split) during the ongoing calculation of the Index. Therefore, the fixing value of the Index of the second trading day after the 3rd Friday will be the newly scaled fixing value.

3.5 Impossibility to complete intraday rebalancing:

In case the Index fixing value would become negative after an intraday rebalancing event, the Index level will be fixed at 0.0001. This Index level will continue to be broadcasted for 4 weeks after the reset occurred. Subsequently the Index will be discontinued.

The Index fixing value will become negative after an intraday rebalancing event, if the obtained VWAP (see Section 3.1) is significantly lower, so that the calculated Index fixing value will be negative and therefore, cannot reach a positive value anytime in the future.

Example:

Given the most recent fixing of the Reference Instrument StockT has a value of 100. Date t is not an Ex-Dividend day neither a corporate action date. The most recent calculated fixing value of the Index is 400 Points. During the 1-hour observation period calculated VWAP is 60. The leverage Factor is 2.

Calculating the Index fixing value (leaving aside the financial component):

IndexT

= IndexT

× (Lev × VWAP

(StockT − (Divt × (1 − WT))) × RFactorSSt

− (Lev − 1))

IndexT

= 400 × (2 × 60

(100 − (0 × (1 − 0))) × 1

− (2 − 1)) = 80

The newly calculated Index fixing is a positive value.

Now given the same values, except the value of the calculated VWAP, which is 20. Calculating the Index fixing value (leaving aside the financial component):

IndexT

= IndexT

× (Lev × VWAP

(StockT − (Divt × (1 − WT))) × RFactorSSt

− (Lev − 1))

IndexT

= 400 × (2 × 20

(100 − (0 × (1 − 0))) × 1

− (2 − 1)) = −240

The newly calculated Index fixing value is negative and can therefore no longer become positive.

4. Index parameters

Parameter	Value
Index-ISIN	XX000X0XXX00
Xxxxx-XXX	X0XXX0
Reuters-RIC	.ICFENEL2
Index-Name	Enel S.p.A. Leva 2 Long Daily Net Return EUR
Index-Type	Net Return
Index-Leverage	2
Index-Currency	EUR
Index-Starting Value	100 Points
Index-Starting Date	26.08.2016
Index-Starting Time	09:00 a.m. CET
Index-Ending Time	05:35 p.m. CET
Index-Calculation Fee	0.7% p.a.
Index-Withholding Tax	26.00% (Timestamp: 18.08.2016)
Barrier	-30%
Reference Instrument-ISIN	IT0003128367
Reference Instrument-Name	Enel S.p.A., ordinary share

4.1 Publications

ICF BANK AG publishes the Index on its website at xxx.xxx-xxxxxxx.xx and on Reuters. ICF BANK AG also publishes all information it deems relevant to the current calculation of the Index on its website.

4.2 Prices and frequency of Index calculation

ICF BANK AG calculates the Index each exchange trading day on the Reference Exchange, taking into account the last traded share price of the Reference Instrument, traded on the Reference Exchange at calculation time t. If no last traded share price is available during the calculation period, the Index is calculated using the most recently available last traded share price.

The Index is calculated each stock exchange day at a minimum of once per minute between 09:00 a.m. CET and 05:35 p.m. CET, except in the case of disruptions in ICF BANK AG's data or price feeds which prevent ICF BANK AG from calculating and/or publishing the Index. ICF BANK AG will promptly make any corrections to the Index deemed necessary and publish it on it´s website at xxx.xxx-xxxxxxx.xx and on Reuters.

The Index is calculated in points.

5. Authorisation/licences

Use of the Index as an underlying for derivative financial products must be authorised by separate agreement with the ICF BANK AG.

6. Rounding

If the Index is below 10 Points, the Index will be rounded to four decimal points.

If the Index is above or equal 10 Points and below 100 Points, the Index will be rounded to three decimal points. If the Index is equal or above 100 Points, the Index will be rounded to two decimal points.

7. Interruption or suspension of trading

The Index is not calculated in the event a Market Disruption Event occurs.

8. Annex

Published by / Contact

ICF BANK AG

Wertpapierhandelsbank Xxxxxxxxxxxxx 0

00000 Xxxxxxxxx xx Xxxx Xxxxxxx

xxxxxxxxxx.xxxxxxx@xxxxxxx.xx Phone x00 00 00000-0

Index Methodology

Enel S.p.A.

Leva 2 Short Daily Gross Return EUR

Timestamp: 02nd September 2016

Contents

1. General information 3

2. Description and functioning 4

2.1 Index definitions 5

2.2 Daily chaining 7

3. Index calculation 8

3.1 Intraday rebalancing 9

3.2 Dividend Index adjustments 10

3.3 Extraordinary Index adjustments 11

3.4 Index split / reverse split adjustments 12

3.5 Impossibility to complete intraday rebalancing 13

4. Index parameters 14

4.1 Publications 14

4.2 Prices and frequency of Index calculation 14

5. Authorisation/licences 15

6. Rounding 15

7. Interruption or suspension of trading 15

8. Annex 15

1. General information

This Index Methodology outlines the general methodology used to calculate the Enel S.p.A. Leva 2 short Daily Gross Return EUR (hereinafter: the "Index"). It sets forth the parameters, composition and calculation of the Index as well as the relevant criteria in this respect. ICF BANK AG exercises the utmost diligence when calculating and publishing the Index, and in implementing the criteria set out in this Methodology.

ICF BANK AG neither warrants nor guarantees the accuracy of the Index or the parameters Reference Instrument its composition and calculation, nor does it assume any liability for losses resulting from the flawed configuration or calculation of the Index or any other ratios derived therefrom. ICF BANK AG is under no obligation to notify third parties, including investors and/or financial intermediaries, of any errors or omissions pertaining to the Index.

ICF BANK AG publishes the Index on its website at xxx.xxx-xxxxxxx.xx. Publication of the Index constitutes neither investment advice nor a recommendation issued by ICF BANK AG to buy, sell or hold a given financial product. Specifically, the composition and calculation of the Index in no way represent a recommendation issued by ICF BANK AG to buy or sell individual, several or all Reference Instruments. This information does not constitute financial analysis within the meaning of § 34 b of the German Securities Trading Act (Wertpapierhandelsgesetz, "WpHG").

The statements contained in the following provide information relating to the composition and calculation of the Index.

The Index is calculated and published by ICF BANK AG. All rights to this Index are reserved to ICF BANK AG.

Index Details:

Index Name: Enel S.p.A. Leva 2 Short Daily Gross Return EUR ISIN: DE000A2BNM75

WKN: A2BNM7 REUTERS-RIC:.ICFENES2

Reference Instrument: Enel S.p.A., common shares Reference Instrument ISIN: IT0003128367

Index Calculation Agent: ICF BANK AG, Xxxxxxxxxxxxx 0, 00000 Xxxxxxxxx, Xxxxxxx Information Page: xxxxx://xxx-xxxxxxx.xx/

2. Description and functioning

The Index is a factor Index. A factor Index uses a constant factor to track the daily percentage change in the market price of an Reference Instrument (e.g., an equity, an Index or a commodity) as compared to the most recent Fixing Price (as defined in section 2.1) of that Reference Instrument. The factor defines in which direction (whether the same or inverse) and what degree of leverage the factor Index reflects the daily price change of the Reference Instrument. In this case, the Index Reference Instrument is represented by the ordinary share of Enel S.p.A., traded on the Reference Exchange, as defined in Section 2.1.

To calculate the increase or decrease of the Index, a leverage- and a financing-component is used.

The leverage component reflects the change in price of the Reference Instrument between two Fixing Prices and transfers this movement (either positive or negative) onto the Index by multiplying the percentage of change with the assigned leverage. Thereby, a disproportionate effect on the value of the Index occurs. This leverage effect inherits the risk of an over proportional capital loss (“downside risk”).

For example: (excluding the financial component and events like dividends, corporate actions, etc.) If a factor short Index has a factor of 2:

- a 5% increase in the price of the Reference Instrument (as compared to the latest Fixing Price), will result in the value of the Index decreasing by 2 x 5%.

- a 5% decrease in the price of the Reference Instrument (as compared to the latest Fixing Price), will result in the value of the Index increasing by 2 x 5%.

The financial component contains the costs of borrowing money at a one-day rate (EONIA Rate, see Section 3 for more information) increased by a per annum rate (ICF Rate) that reflects the Index calculation fee.

The Index will be continuously calculated during the Reference Instrument trading hours on the Reference Exchange by the Index Calculation Agent. This means, that the Index will be re-calculated at every change in price of the Reference Instrument. The Index Calculation Agent will charge an annual fee of 0.7% p.a., which will be deducted daily (based on a year comprising 360 days), during the calculation of the Index.

For periods longer than one day, the compounding effect shall be taken into account. Indeed, returns on the Reference Instrument cannot simply be multiplied with the selected factor since the performance of the factor Index depends on each individual daily performance of the Reference Instrument. If the performance of a factor Index is compared against that of the Reference Instrument over a period longer than one day, the observed price trends will deviate not only for prices of the Reference Instrument which constantly rise or fall, but also for those which fluctuate.

2.1 Index definitions

The definitions below shall apply for the purposes of this Index description.

"Barrier" indicates the maximum permitted negative (in case of a long Index) or positive (in case of a short Index) change in price of the Reference Instrument compared to its most recent Fixing Value before an intraday Index adjustment takes place. In this Index, indicated by parameter P, the Barrier is

+30%.

“Derivatives Exchange” are the main exchanges where options or futures of the Reference Instrument are traded.

"Dividend" shall mean the Dividend of the company, exclusive of which the Reference Instrument is traded on the reference exchange on the Ex-Dividend day.

"Ex-Dividend Date" means the Trading Day on which the Reference Instrument trades "Ex-Dividend" on the Reference Exchange.

"Extraordinary Adjustment Event" means any of the following events as they relate to the Reference Instrument:

a. capital increase by way of the issue of new shares in return for contributions in cash or in kind with the grant of a subscription right, capital increase from retained earnings, issue of securities with option or conversion rights into shares, distribution of special Dividends, share split, subdivision, consolidation or reclassification of the shares

b. probable or definitive discontinuation of stock exchange trading in the shares as a result of a merger by absorption or new company formation or takeover of the company of the Reference Instrument by another company

c. spin-off of a division of the company in such a manner that a new independent company is created or the division is absorbed by a third company

d. any other event, which the Index Calculation Agent may at its reasonable discretion deem to have a comparable or similar impact on the calculation of the Factor Index in the event no adjustments were to be made

In case of securities representing shares (ADR/GDR) as the Reference Instrument, the following provisions shall additionally apply:

e. any modification of the terms and conditions of the securities representing shares by their issuers

f. discontinuation of the stock exchange quotation of the securities representing shares or of the shares underlying them

g. insolvency of the issuer of the securities representing shares

h. end of the term of the securities representing shares as a result of termination by the issuer of the securities representing shares

For ADRs and GDRs or any other securities representing shares and other Dividend-bearing securities (e.g. profit participation rights, participation certificates) as the Reference Instrument the provisions specified under (a) to (c) shall apply mutatis mutandis with respect to the Reference Instrument and the issuing company.