Principal Protected Notes

Lyxor Hedge Fund Index Notes, S1
(formally the MSCI Hedge Invest Index Notes, S1)

Product Summary

Inception Date December 19, 2003
Maturity Date August 31, 2013
Offering Price $10.00
Guarantee Amount $......
Market Price Per Note $......

The ONE Financial MSCI Hedge Invest Index Notes™, Series 1 (the "Notes") are a new guaranteed investment designed to provide conservative investors with an alternative to traditional stock market and GIC investments. The Notes offer investors returns linked to the MSCI® Hedge Invest Index, an index consisting of a diverse sample of hedge funds. This index represents a broad range of hedge fund strategies that offer the potential for positive returns in both up and down markets. The Notes also provide 100% principal protection and a 10% guaranteed minimum return at maturity.

  • Issued by Société Générale (Canada) and guaranteed by its parent Société Générale, one of the largest banks in the world (approximately twice the size of Canada's largest bank)
  • 100% principal guarantee plus a 10% guaranteed minimum return at maturity (matures in 8+ years*)
  • Historical pro-forma returns are 15.5% per year (November 30th, 1993 to August 31st, 2003)
  • Returns linked to a diversified hedge fund index currently consisting of 81 experienced hedge fund managers, with the potential for positive performance in all stock market environments
  • 100% RRSP, RRIF, RESP, and DPSP eligible as Canadian property
  • Tax efficient structure defers taxes on growth above the guaranteed minimum return
  • Initial Offering Period: until December 15th, 2003

Investment Details

Style Hedge Fund / Index / Principal-Guaranteed
Underlying investment MSCI Hedge Invest Lyxor Tracker Fund
Index provider Morgan Stanley Capital International Inc.
Guarantor Société Générale (Rated A+ by S&P)
Administrator ONE Financial
Enhanced return potential Yes
Liquidity Weekly
RSP eligibility 100% (Canadian content)
Performance as at June 30, 2009
Returns as at June 30, 2009
1 Month -0.57%
3 Months -2.67%
6 Months -4.68%
Year-To-Date -4.68%
1 Year -0.25%
3 Year (annualized) 0.09%
5 Year (annualized) -0.23%
Total Return since Inception -9.58%
Initial Price $10.0000
Current Price $9.0420
Index Composition as at June 30, 2009
Long/Short Equity, Long Bias 2%
Long/Short Equity, Credit Arbitrage 1%
Long/Short Equity, Market Neutral 4%
Long/Short Equity, Short Bias 0%
Statistical Arbitrage 7%
Long/Short Equity, Variable Bias 14%
Global Macro 9%
Fixed Income Arbitrage 6%
Event Driven, Special Situations 15%
Event Driven, Merger Arbitrage 7%
Event Driven, Distressed 1%
CTA Short Term 13%
CTA Long Term 11%
Convertible Bonds Arbitrage 10%
Commentary as at June 30, 2009

The ONE Financial MSCI Hedge Invest Index Notes, Series 1 (the "Notes") provide returns linked to the MSCI Hedge Invest Index (the "Index") through the MSCI Hedge Invest Lyxor Tracker Fund (the "Index Fund"). The Index was up 1.7% for the second quarter of 2009 after being down 0.4% for the first quarter of 2009. The best-performing MSCI Hedge Invest sub-index this quarter was Long/Short Credit Arbitrage (up 21.3%), while the worst-performing sub-index over the last three months was Long/Short Equity Short Bias (down 10.7%).

Investors in the Notes have benefited from the evolution of the Index which has raised its number of constituent funds from 74 at the end of 2003 to 79 at the end of the fourth quarter. The continuing refinement of the Index makes for a more diversified and representative benchmark of the hedge fund universe, providing investors with potentially lower portfolio volatility. Investors in the Notes automatically gain access to new investment managers and processes as they become part of the Index.

The Notes posted a decrease of 2.7% for the second quarter, and are down 9.6% since inception. Investors in the Notes should keep in mind that the price of the Notes prior to maturity will not directly track the performance of the Index, and is affected by many inter-related factors, including:

  • changes in the level of interest rates,
  • the Notes' maturity payoff formula,
  • the performance of the Index Fund,
  • time remaining until the Notes' maturity date,
  • the level of volatility of the underlying Index Fund, and
  • market demand for the Notes.

The difference between the performance of the Notes and the performance of the Index since inception of the Notes can partly be attributed to the fact that the Notes are a principalguaranteed investment, which makes them highly sensitive to changes in the level of interest rates (especially in the early years following the Notes' inception dates). Over time, the impact of interest rates on the market price of the Notes gradually disappears, and investors benefit from the full payoff (in accordance with the terms of the Notes) linked to the performance of the Index Fund at maturity.

Purchase

This Note has matured.

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