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iStock_000019403854Large
Credit Investment Product
5 Year Credit Linked Note in U.S. dollar
U.S. High Yield USD
III 2022
Last Subscription Date: 24 May 2017
Marketing material as of 11 May 2017*
This note does not constitute a participation in a collective investment scheme within the meaning of the Swiss Federal Act on Collective
Investment Schemes (CISA) and is therefore not subject to authorisation and supervision by the Swiss Financial Market Supervisory Authority
(FINMA). Investors bear the credit risk of the issuer (issuer risk). This document may be obtained from the distributor in English only (see section
entitled 'Legal Documentation' for contact details).
* This marketing material does not constitute any investment research or advice
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This note:
pays quarterly coupons of 3 months USD LIBOR plus an interest margin of indicatively 3.25% per annum
is exposed to the credit risk of the 100 non-investment grade North American companies in the Markit CDXTM North
American High Yield Series 28 index, version 1
offers protection against the first 25 credit events among the 100 companies in the index, but if 26 or more credit
events occur all capital is at risk, meaning that at worst the entire amount invested can be lost
is an alternative to a North American high yield bond investment
Underlying companies The 100 non-investment grade North American companies in the Markit CDXTM North American High Yield Series 28 index, version 1 (Annex Date 27 March 2017) on the first day of the exposure period.
Coupon 3 months USD LIBOR plus an interest margin of indicatively 3.25% per annum, the minimum level of the interest margin is 2.75% per annum. The coupon is paid quarterly. The coupon is subject to reduction if 26 or more credit events occur.
Capital at risk The nominal amount invested is protected against the first 25 credit events. For each credit event above 25, the redemption price will be reduced by 1/ 10. If 35 or more credit events occur, the entire amount invested will be lost.
Issuer Nordea Bank AB (publ).
Issue Price 100% of the nominal amount invested in the note.
Denomination per note USD 5,000.
Note 5 Year Credit Linked Note in U.S. dollar.
SVSP categorization Miscellaneous Products (9999), see www.svsp-verband.ch
U.S. High Yield USD III 2022
1. Product description
This note is a credit linked note, where the return depends on the credit risk of the 100 companies in the Markit CDXTM North
American High Yield Series 28 index, version 1. Credit risk is the risk that a company cannot fulfil its payment obligations, more
specifically, the risk that a company is subject to a so-called credit event. You can read more about credit events on page 6.
The note pays a coupon four times a year: 20 March, 20 June, 20 September, and 20 December. The coupon is variable and
determined as the sum of 3 months USD LIBOR calculated on the notional amount and an interest margin of indicatively 3.25%
per annum calculated on an adjusted notional amount. The adjusted notional amount is subject to reduction if 26 or more credit
events occur.
All capital is at risk and the redemption price at maturity is determined as the adjusted notional amount which depends on
whether 26 or more of the underlying companies have experienced a credit event during the exposure period. A credit event may
occur at any time during the exposure period.
If 25 or less of the underlying companies experience a credit event, the adjusted notional amount will be equal to the notional
amount and the note will be redeemed at 100% at maturity. If 26 or more of the underlying companies have experienced a credit
event, the adjusted notional amount as well as the redemption price will be reduced by 1/ 10 for each credit event above 25. If 35
or more of the underlying companies experience a credit event, the adjusted notional amount, and therefore also the redemption
price, will be zero and the entire amount invested will be lost.
For further illustrations of how the note works please see Figure 1 on page 3 together with the examples on page 3.
The note is not a liquid instrument, which may have an adverse effect on the market value of the note in the secondary market.
You can read more about the liquidity risk in section ‘3. Significant Risks for the Investors’.
Key product features
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Number of credit events
Figure 1 illustrates the relationship between the number of credit events and the redemption price at maturity
Example 1 Example 2 Example 3
In this example six of the underlying companies in the index have experienced a credit event during the exposure period.
The coupon consisting of 3 months USD LIBOR, calculated on the notional amount, and the interest margin of 3.25%* (2.75%**) per annum, calculated on the adjusted notional amount, is paid quarterly during the term of the note.
The adjusted notional amount is equal to the notional amount.
The note is redeemed at 100% of the nominal amount at maturity and none of the nominal amount invested has been lost.
Assuming that 3 months USD LIBOR is 1.15% for the whole term of the note, the yield per annum including maximum brokerage fee is 4.25%* (3.74%**).
In this example 26 of the underlying companies in the index have experienced a credit event during the exposure period.
The coupon consisting of 3 months USD LIBOR, calculated on the notional amount, and the interest margin of 3.25%* (2.75%**) per annum, calculated on the adjusted notional amount, is paid quarterly during the term of the note.
The adjusted notional amount is 100% until the 26th credit event occurs where the adjusted notional amount is reduced to 90.00%.
At maturity the note is redeemed at 100% - 1 x1/ 10 = 90.00% and 10.00% of the nominal amount invested has been lost.
Assuming that 3 months USD LIBOR is 1.15% for the whole term of the note, the yield per annum including maximum brokerage fee is 2.23%* (1.72%**).
In this example 30 of the underlying companies in the index have experienced a credit event during the exposure period.
The coupon consisting of 3 months USD LIBOR, calculated on the notional amount, and the interest margin of 3.25%* (2.75%**) per annum, calculated on the adjusted notional amount, is paid quarterly during the term of the note.
The adjusted notional amount is 100% until the 26th credit event occurs where the adjusted notional amount is reduced to 90.00%. Each time a credit event occurs, the adjusted notional amount is reduced by 1/ 10 and when the 30th credit event occurs, the adjusted notional amount is reduced to 50.00%.
At maturity the note is redeemed at 100% - 5x1/ 10 = 50.00% and you have lost 50.00% of the nominal amount invested.
Assuming that 3 months USD LIBOR is 1.15% for the whole term of the note, the yield per annum including maximum brokerage fee is -8.08%* (-8.60%**).
* Calculations based on the indicative interest margin of 3.25%, assuming that the first two credit event occurs in the beginning of the first interest period and
that two credit events then occur with an interval of three months until the final credit event in the example has occurred.
** Calculations based on the minimum interest margin of 2.75%, assuming that the first two credit event occurs in the beginning of the first interest period and
that two credit events then occur with an interval of three months until the final credit event in the example has occurred.
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2012 2013 2014 2015 2016 2017
No
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Figure 2 Historical number of credit events in the Markit CDXTM North American High Yield index
The figure shows the historical number of credit events in the Markit CDXTM North American High Yield index during the past five
years. The historical number of credit events is not to be regarded as an indication, guarantee or undertaking regarding future
number of credit events.
Source: Bloomberg
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Facts about the Note
Issuer Nordea Bank AB (publ) (Nordea).
Information about the Issuer
Nordea Bank AB (publ) is licensed to conduct banking operations, including capital markets transactions, and
is under the prudential supervision of the Swedish Financial Supervisory Authority. Nordea Bank AB (publ) is
rated Aa3 (stable outlook) by Moody’s Investors Service, Inc., AA- (negative outlook) by Standard & Poor’s
Financial Services LLC and AA- (stable outlook) by Fitch. A credit rating does not constitute a
recommendation to buy, sell or hold the investment and it may be changed or withdrawn at any time. The credit
rating does not mirror the risk related to the Note. For more information about Nordea Bank AB (publ), please
see the Legal Documentation and www.nordea.com under Investor Relations.
Head Office Smålandsgatan 17, SE-105 71 Stockholm, Sweden.
Distributors Nordea Bank S.A. and Nordea Bank S.A., Luxemburg, Zweigniederlassung Zürich.
Arranger Nordea Bank AB (publ).
Offering method Public offer in Luxembourg and Switzerland and private placement in Denmark, France, Spain, Sweden and
the UK.
Listing Application for listing will be made to the Irish Stock Exchange.
Clearing Euroclear and Clearstream.
ISIN XS1611524395.
Swiss Security Number CH036724525.
Currency of denomination U.S. dollar.
Denomination per Note
(Notional Amount)
USD 5,000.
Trading Volume Minimum trading volume is one Note.
Aggregate Principal Amount The Aggregate Principal Amount will be determined on or prior to the Issue Date and will be published in the
final terms confirmation announcement on the website of the Irish Stock Exchange, divided into
denominations of USD 5,000 per Note.
Subscription Period 15 May - 24 May 2017.
Rights attached to the security Each Note entitles the holder to a Redemption Price and Coupon payments in accordance with the provisions
relating to Redemption Price and Coupon below. The Notes constitute direct and unsecured obligations of the
Issuer and will rank pari passu with the Issuer's unsecured and unsubordinated obligations.
Issue Date 29 May 2017, where the Note is issued by the Issuer and purchased by the investor.
Payment Dates Quarterly on 20 March, 20 June, 20 September and 20 December each year in the period from the Issue Date
up to and including the Maturity Date (except for the last Payment Date which will fall on the Maturity Date). For the avoidance of doubt, the first Payment Date will fall on 20 September 2017 (long first interest period).
Maturity Date 20 July 2022.
Issue Price 100% of the Notional Amount.
Coupon The Coupon is paid on each Payment Date and is determined by Nordea as the sum of:
(1) 3 months USD LIBOR x Notional Amount x Day Count Fraction
(2) Interest Margin x Adjusted Notional Amount x Day Count Fraction
For the first interest period from the Issue Date to 20 J une 2017, standard linear interpolation between 3
months USD LIBOR and 6 month USD LIBOR applies, and for the last interest period from 22 J une 2022 to
the Maturity Date, 1 month USD LIBOR applies. USD LIBOR is determined 2 business days prior to the first
day of each interest period.
USD LIBOR, London - Interbank Offered Rate - ICE Benchmark Administration Fixing for US Dollar. The fixing
is conducted each day at 11am & released at 11.45am (London time). The rate is an average derived from the
quotations provided by the banks determined by the ICE Benchmark Administration.
Source: Bloomberg
Exposure Period From and including the Issue Date to and including 22 J une 2022.
Underlying Companies The 100 non-investment grade companies in the Markit CDXTM North American High Yield Series 28 index,
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version 1 (Annex Date 27 March 2017) on the first day of the exposure period. An indicative list of Underlying
Companies is set out in Annex 1.
Markit CDXTM North American High Yield index is composed of 100 non-investment grade entities, distributed
among 2 sub-indices: B, BB. All entities are domiciled in North America. Markit CDX indices roll every 6
months in March & September. For further information on the Markit CDXTM North American High Yield Series
28 index, version 1, please see www.markit.com
Interest Margin Indicatively 3.25% per annum. The final and applicable value of the Interest Margin will be set after the
Subscription Period according to prevailing market conditions. The indicative Interest Margin is the expected
Interest Margin as of 11 May 2017 based on prevailing market conditions. If market conditions do not allow
the Interest Margin to be fixed at 2.75% or higher, the issue will be cancelled.
Day Count Fraction Actual/ 360 (the actual number of days in the relevant interest period divided by 360), adjusted.
Adjusted Notional Amount The Adjusted Notional Amount will be reduced upon the occurrence of 26 or more Credit Events during
the Exposure Period, and will be determined by Nordea as follows:
If 25 Credit Events or less have occurred:
The Adjusted Notional Amount is equal to the Notional Amount.
If 26 or more Credit Events have occurred:
The Adjusted Notional Amount is equal to Max(0%;100% - 1/ 10 x n) x Notional Amount, where n is the
number of Credit Events above 25.
The below illustrates the relationship between the number of Credit Events and the Adjusted Notional Amount.
Credit Events Adjusted Notional Amount
0-25 nominal amount * 100.00%
27 nominal amount * 80.00%
29 nominal amount * 60.00%
31 nominal amount * 40.00%
33 nominal amount * 20.00%
35-100 nominal amount * 0.00%
Please note that the effect of a Credit Event on the Adjusted Notional Amount is subject to adjustment as a
result of a Succession Event as set out in the Legal Documentation.
Redemption Price The Redemption Price per Note to be paid by the Issuer on the Maturity Date will be determined as the
Adjusted Notional Amount per Note. This means that if 26 or more Credit Events have occurred, the
Redemption Price will be less than the nominal amount invested and at worst you will lose the entire amount
invested if 35 or more Credit Events have occurred..
Credit Event The following are considered Credit Events as further described in the Legal Documentation:
Failure to Pay means e.g. that a company fails to pay a debt obligation which has fallen due or is otherwise in
default with respect to its debt obligation.
Bankruptcy means e.g. that a company is declared bankrupt is liquidated or becomes subject to any similar
procedures or circumstances.
A common feature of the Credit Events described above is the failure to fulfil payment obligations.
Investment Advice Where investment advice is provided by the Distributors, the Distributors will not make an additional charge for
investment advice given to investors in relation to the purchase of the Notes. The Distributor’s usual
distribution fee (which is included in the Issue Price – as described in Breakdown of the Issue Price – and
transferred by the Issuer to the Distributors on the investor’s behalf) and the Distributor’s brokerage fee (which
is not included in the Issue Price) will be payable in respect of the Note when advice has been provided to
investors, and these fees will be the Distributor’s “adviser charge” for the purposes of the UK’s FCA rules.
Total costs in connection with
the issue
In connection with the issuance of this Note, the Issuer and the Distributors incur costs for, among other
things, production, distribution, licenses, stock exchange listing and risk management. In order to cover these
costs, the Issuer and the Distributors charge a brokerage fee and a distribution fee. The distribution fee
amounts to a maximum of 4.00% of the amount invested and is included in the Issue Price. The Distributors
will acquire the Note from the Issuer at the Issue Price, and the Issuer will pay to the Distributors the
distribution fee. Such amounts received by the Distributors will be in addition to the brokerage fee applied by
the Distributors. The investor acknowledges that such distribution fee may be retained by the Distributors.
Further information is available from the Distributors on request. Further fees may be charged by the investor`s
banks for the keeping/ and or sale of the Notes.
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Assuming that the Note is redeemed at maturity, the maximum annual cost in per cent excluding the
brokerage fee (in Danish: årlige omkostninger i procent (ÅOP)) is therefore 0.78%. If the Note is redeemed
early or sold during the term of the Note, the annual cost in per cent will be higher. The brokerage fee is in
addition to the distribution fee and is not included in the Issue Price. Up to 1.00% in brokerage fee on the
nominal amount invested may be charged by the Distributors in addition to the Issue Price.
Maximum total cost calculated on a nominal amount invested of USD 5,000:
Maximum brokerage fee (in addition to the Issue Price): 1.00% = USD 50
Maximum distribution fee (included in the Issue Price): 4.00% = USD 200
Maximum total cost: 5.00% = USD 250.
Breakdown of the Issue Price The Note consists of three components: The zero coupon bond component, the derivative component and the
distribution fee which may be broken down as follows (calculated on the basis of the maturity of the Note as of
11 May 2017):
Zero coupon bond component: 87,96%
Derivative component: 8,04%
Distribution fee: 4.00%
The zero coupon bond component ensures that the Note is redeemed at a price of 100% if the value of the
derivative component is zero at maturity. The value of the zero coupon bond component depends among other
things on the current interest rates and the credit rating of the Issuer.
The derivative component expresses the exposure to the credit risk of the Underlying Companies and ensures
that the Note pays the Coupon. If 26 or more Credit Events have occurred at maturity, the value of the
derivative component will be negative and the Redemption Price will be below 100%.
Alternative investment
The alternative rate of return is the return that an investor can achieve by investing in another investment
product than the Note. However, the complexity of the Note makes it difficult to compare it with other
investment products. A possible alternative investment with a lower risk is a government bond with
approximately the same maturity and the same currency denomination as the Note, for example the U.S.
government bond 2 United States Treasury Note (ISIN US912828XQ82). The annual yield before tax on such
an investment was 1.98 % 11 May 2017.
Tradability / liquidity The Notes will not be registered under the United States Securities Act or any other securities laws. The
Notes are therefore subject to certain restrictions on resale and other transfer thereof (see section entitled
'Selling restrictions' below for further information). Accordingly, the Note is not a liquid instrument. The
Arranger endeavors under normal market conditions to maintain a secondary market in the Note, but does not
commit to do so (see section entitled 'Liquidity risk' below for further information).
Legal Documentation
A full description of the terms and conditions of the Note is given in the Issuer’s structured note programme
dated 19 December 2016 as supplemented from time to time (Base Prospectus) and the applicable final
terms (Final Terms) of the Note (together the Legal Documentation).
Prospective investors in Switzerland should carefully consider all the information given in this document which
contains the information required for a simplified prospectus pursuant to Art. 5 of the Swiss Federal Act on
Collective Investment Schemes (CISA) and carefully consider the information given in the Final Terms and the
Base Prospectus. These may be obtained free of charge in English from: Nordea Bank S.A. Luxemburg,
Zweigniederlassung Zürich, Mainaustrasse 21-23, CH-8008 Zürich, Tel +41 (0)44 421 42 42.
The Base Prospectus is also available for viewing on www.nordea.com under Investor Relations
(www.nordeamarkets.com/ SNP-Base-Prospectus/ ).
This document contains indicative values. The definite version of this document will be available after
determination of the final values no later than on the Issue Date.
In case of differing provisions between this document on the one hand and the terms of the Base Prospectus
together with the Final Terms on the other hand, the provisions of the latter will prevail. Investors are urged to
read the Legal Documentation before investing in the Note. If investors have any additional questions to the
Legal Documentation, Nordea recommends that investors seek advice from relevant advisers.
Notices Notices regarding the Note, including Notices relating to unforeseen changes to the terms and conditions of
the Note which were not agreed contractually but which arise during the term of the Note will be published by
the Issuer (or on its behalf) on the website of the Irish Stock Exchange. Information about the Aggregate
Principal Amount and the Interest Margin will be published in a final terms confirmation announcement on the
website of the Irish Stock Exchange.
Paying Agent Citibank, N.A., London Branch, 13th Floor, Citigroup Centre, Canada Square, Canary Wharf, London E14 5LB.
Applicable law / jurisdiction Danish law / Danish courts (the City Court of Copenhagen (Københavns Byret) shall be court of first
instance).
Calculation Agent Nordea Bank AB (publ).
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2. Prospects for Profits and Losses
Suitability This product may be suitable for investors seeking an alternative to North American high yield bond
investments. An investor should have taken the view that no more than 25 of the Underlying Companies will
experience a Credit Event during the Exposure Period and plan to hold the Note until maturity. Persons
investing in this Note should be experienced investors and familiar with structured products.
Any prospective gain under these Notes results from and is limited to the quarterly Coupons which are the
sum of (i) a floating rate which is 3 months USD LIBOR times the Notional Amount times the Day Count
Fraction and (ii) the Interest Margin of indicatively 3.25 per cent per annum times the Adjusted Notional
Amount times the Day Count Fraction.
The entire amount invested is at risk and the repayment of the invested amount is subject to the credit risk
of the Underlying Companies. If 26 or more Credit Events occur with respect to the Underlying Companies,
the investor risks losing part of or even the entire invested amount. Accordingly, the risks of an investment
in these Notes are considerable.
Furthermore, investors are exposed to the credit risk of the Issuer, i.e. receipt of payment is contingent on
the Issuer’s ability to fulfil its payment obligations (which depends on the Issuer’s business and financial
performance).
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Pricing risk
The final and applicable interest margin will be set after the subscription period, according to prevailing market conditions, and could turn out
to be higher or lower than the indicative interest margin.
Credit risk
You assume a credit risk on the issuer. This means that the possibility of receiving payment under the note depends on the issuer’s ability to
fulfil its obligations to pay coupons and repay the redemption price, which in turn depends on the issuer’s business and financial performance.
You are therefore urged to take note of the risk factors, as described in the legal documentation, which may affect the issuer’s ability to fulfil
its repayment obligation under the note. There is no absolute certainty of repayment of the redemption price.
Please note that the note is not covered by any deposit guarantee scheme and that in case the issuer becomes subject to restructuring
proceedings or bankruptcy no deposit guarantee scheme will cover your loss.
Currency risk
Where the note is denominated in a currency other than your reference currency, or where shares, shares comprising an index, or instruments
invested into by an underlying fund are denominated in a different currency than such index or fund, you may incur an additional currency risk.
Changes in exchange rates may have an adverse effect on the value of the investment.
Market risk
The price of the note can fluctuate above or below the issue price during its lifetime. The credit risk of the underlying companies can be very
volatile and such volatility may be expected in the future. Increased credit risk of the underlying companies may result in a decline in the
market value of the note and may negatively impact the redemption price. The redemption price and coupon payments depend on the possible
occurrence of credit events among the underlying companies during the exposure period. If 35 or more credit events occur, you lose the entire
amount invested. Other factors such as market trends and time to maturity may also impact the market value of the note.
Liquidity risk
The note is not a liquid instrument. The arranger of the note endeavors under normal market conditions to maintain a secondary market in the
note, but does not commit to do so. If such market is established no assurance can be given that any trading market for the note will be liquid.
There may be periods when there is a lack of liquidity, or low trading volume, in the market for the note, which may have a severely adverse
effect on the market value of the note. Therefore, investors may not be able to sell their note easily or at all or at prices that will provide them
with a yield comparable to similar investments that have a developed secondary market. The investor should be prepared to hold the note until
maturity. If the investor wishes to sell the note before maturity, the investor may not receive the entire amount invested. If the market value at
the time of selling is less than the issue price, a sale will result in a price loss. If, on the other hand, the market value at the time of selling is
higher than the issue price a sale will result in a price gain.
Bid/offer spread
During the term of the note, the quoted bid and offer prices may possibly differ to a greater or lesser extent (bid/ offer spread).
All capital at risk
The entire amount invested is at risk and the repayment of the invested amount depends on the credit risk of the underlying companies. If 35
or more credit events occur, the final redemption price repaid at maturity will be zero and the entire amount invested will be lost.
The notes may be redeemed prior to maturity
The notes may be redeemed prior to their scheduled maturity date for taxation reasons. Early redemption may result in noteholders receiving a
lower return on investment and in some circumstances may result in a loss of part or all of their investment. Prospective investors should
consider reinvestment risk in light of other investments available at that time.
Payments under the notes may be deferred
The issuer may defer payment of the redemption price, any early redemption price or any other relevant payment if for example the issuer has
not been able to determine whether or not one or more credit events have occurred or, if applicable, the recovery rate thereto relating or if the
Issuer will not receive full payment under its hedging contract in due time.
Risk labelling
According to the Danish Executive Order on Risk-Labelling of Investment Products this investment product is labelled: Red.
For further information see www.nordea.dk/ risikomærkning.
The note is exposed to the following additional risks
Credit markets may be affected negatively by certain factors such as: i) a slowdown in economic activity which decreases the financial
soundness of companies, ii) an increase in interest rate levels that decreases the ability to pay debt obligations and/ or iii) the leading central
banks perform less accommodative monetary policies which may have a negative effect on financial performance of companies.
Factors which are seen to have a positive influence on the credit markets are: i) the leading central banks continue to support financial
performance of companies through accommodative monetary policy, ii) the economic upswing of the leading economies continues, which
increases the financial soundness of companies and/ or iii) an increase in inflation rate levels allow companies to pay debt obligations easier.
3. Significant Risks for the Investors
All investments are associated with a number of risks. Below some of the most significant risks associated with investing in the note are described.
However, there may be other risks associated with investing in the note, and neither the issuer, the arranger nor the distributors claim or warrant that
the below points constitute a complete and exhaustive description of all such possible risks. You are therefore urged to take note of the risk factors, as
described in the legal documentation.
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4. Additional Information
The terms and conditions stated in this marketing material are indicative only and subject to immediate change at any time until the issue date.
The arranger reserves the right to cancel the issue if:
incidents of an economic, financial or political nature occur that, in the arranger’s judgment, could jeopardize the launch of the note; and/ or
the subscribed amount is less than an amount equivalent to EUR 1,500,000 or above an amount equivalent to EUR 5,000,000.
If an interest margin of 2.75% or higher cannot be achieved, the issue will be cancelled.
The Financial Ombudsman Service and Financial Services Compensation Scheme will not be available for eligible UK investors investing in the
Note.
This marketing material has been prepared by the arranger of the note. The information contained herein is subject to, and qualified by, the legal
documentation as defined above. In case of any discrepancies the legal documentation should prevail.
Tax treatment in Switzerland
The following is a summary only of the Issuer's understanding of current law and practice in Switzerland relating to the taxation of the note as per
the date of this document. As such, the Issuer expressly excludes all liability in respect of any tax implications for investors in the note, whether a
Swiss resident or a non-Swiss resident. The Issuer has not sought, and will not be seeking, any indication, written or oral, from any taxation
authority in Switzerland as to the law and practice in Switzerland relating to the taxation of the note.
Investors are liable for all current and future taxes and duties resulting from an investment in the note
Swiss income tax
For Swiss income tax purposes, the notes qualify as bonds carrying changeable yearly interest. Investors with tax residence in Switzerland holding
such notes have to pay income tax on interest received at the due date of such interest.
Swiss securities transfer tax
Secondary market transactions in the note are subject to Swiss securities transfer tax (Umsatzabgabe), provided a Swiss securities dealer is
involved in the transaction and no exemption applies.
Swiss withholding tax
Income derived from the note is not subject to Swiss withholding tax (Verrechnungssteuer).
EU tax classification code
in scope (TK 19).
Bilateral agreements on final withholding Tax
For investors resident in a state with which Switzerland has concluded an agreement on final withholding tax (Abgeltungssteuerabkommen;
currently in place with Austria and the United Kingdom) and provided the note is held in a custody account with a qualifying Swiss paying agent,
any investment income or realised capital gains might be subject to the final withholding tax as laid out in the respective bilateral agreement.
Tax disclaimer
Regarding the investor’s individual tax situation, it is recommended that the investor obtains advice about potential taxation in
Luxembourg/ Switzerland/ Denmark/ France/ Spain/ Sweden/ UK and in his/ her country of residence, from external sources. The information in
this marketing material is intended to give general guidelines only and the issuer, arranger and distributors cannot accept responsibility for any tax
consequences resulting from actions taken on the basis of the information in this publication, or from any errors or omissions contained herein.
Selling restrictions
The note has not been and will not be registered under the U.S. Securities Act of 1933 as amended (the “Securities Act”) and, subject to certain
exceptions, the note may not be offered, sold or delivered within the United States or to U.S. persons. Further selling restrictions are set forth in
the Base Prospectus and the Final Terms, in particular on pages 644 et seq. of the Base Prospectus and section C.5 of the annex to the Final
Terms. Persons in possession of the Base Prospectus, the Final Terms or this document are required to comply with all applicable laws,
regulations and rules in each country or jurisdiction in or from which they purchase, offer, sell or deliver the notes or have in their possession or
distribute such offering material, in all cases at their own expense.
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French Disclaimer
(i) This offer does not require a prospectus to be submitted to the Autorité des marchés financiers for approval; (ii) investors must participate in
the offering on their own account; and (iii) the direct or indirect offer or sale, to the public in France, of the notes can only be made in accordance
with articles L.411-1, L.411-2, L.412-1 and L.621-8 to L.621-8-3 of the French “Code monétaire et financier”.
Disclaimer
The information provided herein is intended for background information only and for the sole use of the intended recipient. The views and other
information provided herein are the current views of the arranger as of the date of this marketing material and are subject to change without
notice. This marketing material is not an exhaustive description of the described product or the risks related to it, and it should not be relied on as
such, nor is it a substitute for the judgment of the recipient. The information provided herein is not intended to constitute and does not constitute
investment advice nor is the information intended as an offer or solicitation for the purchase or sale of any financial instrument. The information
contained herein has no regard to the specific investment objectives, the financial situation or particular needs of any particular recipient. Relevant
and specific professional advice should always be obtained before making any investment or credit decision. It is important to note that past
performance is not indicative of future results. The distributors are not and do not purport to be an adviser as to legal, taxation, accounting or
regulatory matters in any jurisdiction. This document may not be reproduced, distributed or published for any purpose without the prior written
consent from the arranger.
Index Disclaimer
CDXTM is a service marks of Markit Indices Limited and has been licensed for use by Nordea Bank AB (publ).
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Annex 1 Indicative list of underlying companies of the Markit CDXTM North American High Yield Series 28 index
Source: Bloomberg as of 5 May 2017.
*Please see Annex 2 for a further description of the credit ratings
Underlying Companies of the Markit CDX™ North American High Yield index series 28
version 1
Moody’s long term credit rating *
S&P long term credit rating*
Advanced Micro Devices Inc B3 B- AK Steel Corp B2 B Alcatel-Lucent USA Inc B3 BB+ Ally Financial Inc Ba3 BB+ American Airlines Group Inc Ba3 BB- American Axle & Manufacturing Inc B1 BB- Amkor Technology Inc B1 BB Arconic Inc Ba2 BBB- Avis Budget Group Inc Ba3 BB Avon Products Inc B1 B Ball Corp Ba1 BB+ Beazer Homes USA Inc B3 B- Bombardier Inc B2 B- Boyd Gaming Corp B2 B+ CalAtlantic Group Inc Ba2 BB California Resources Corp Caa2 CCC+ Calpine Corp Ba3 B+ CCO Holdings LLC B1 - CenturyLink Inc Ba2 BB Chesapeake Energy Corp Caa1 B- CIT Group Inc Ba2 BB+ Community Health Systems Inc - B CSC Holdings LLC Ba1 B DaVita Inc Ba2 BB Dell Inc Ba1 - DISH DBS Corp Ba3 B+ Dynegy Inc B2 B+ Equinix Inc Ba3 BB+ First Data Corp B1 B+ Freeport-McMoRan Inc B1 BB- Frontier Communications Corp B1 B+ Genworth Holdings Inc Ba3 - HCA Inc B1 BB HD Supply Inc Ba3 BB iStar Inc B2 B+ JC Penney Co Inc B1 B+ K Hovnanian Enterprises Inc Caa3 - KB Home B1 B L Brands Inc Ba1 BB+ Lennar Corp Ba1 BB Level 3 Communications Inc Ba3 BB Liberty Interactive LLC Ba3 - MDC Holdings Inc Ba2 BB+ MBIA Insurance Corp Caa1 - Meritor Inc B1 B+ MGIC Investment Corp Ba3 - MGM Resorts International Ba3 BB- Murphy Oil Corp Ba3 BBB- Navient Corp Ba3 BB- New Albertsons Inc - B+ NOVA Chemicals Corp Ba1 BB+ NRG Energy Inc Ba3 BB-
13
Annex 1 Indicative list of underlying companies of the Markit CDXTM North American High Yield Series 28 index
Source: Bloomberg as of 5 May 2017.
*Please see Annex 2 for a further description of the credit ratings
Olin Corp Ba1 BB ONEOK Inc Ba1 BB+ Owens-Illinois Inc Ba3 BB Pactiv LLC Caa2 B+ Parker Drilling Co B3 B- PolyOne Corp Ba2 BB PulteGroup Inc Ba1 BB+ RR Donnelley & Sons Co B1 B+ Radian Group Inc Ba3 - Realogy Group LLC Ba3 BB- Rite Aid Corp B2 B Royal Caribbean Cruises Ltd Baa3 BB+ Safeway Inc B3 B+ Sanmina Corp Ba1 BB+ Sealed Air Corp Ba2 BB Sears Roebuck Acceptance Corp Caa3 CCC+ Springleaf Finance Corp B2 B Sprint Communications Inc B1 B SUPERVALU Inc B1 B+ T-Mobile USA Inc Ba3 - Talen Energy Supply LLC B1 B+ Targa Resources Partners LP Ba2 BB- Teck Resources Ltd Ba3 BB TEGNA Inc Ba1 BB+ Tenet Healthcare Corp B2 B Tesoro Corp Ba1 BB+ ADT Corp/ The Ba3 - AES Corp/ VA Ba3 BB Gap Inc/ The Baa2 BB+ Hertz Corp/ The B1 B+ McClatchy Co/ The Caa1 B- Neiman Marcus Group LLC/ The Caa1 CCC+ Williams Cos Inc/ The Ba2 BB+ Toll Brothers Inc Ba1 BB+ Toys R Us Inc B3 B- TransDigm Inc B1 B+ Transocean Inc B2 B+ Unisys Corp B2 B United Rentals North America Inc Ba3 BB- United States Steel Corp B3 B Uniti Group Inc B2 B+ Universal Health Services Inc Ba1 BB+ Univision Communications Inc B2 B+ Valeant Pharmaceuticals International Inc B3 B Weatherford International Ltd B3 - Whiting Petroleum Corp B2 BB- Windstream Services LLC B1 - Yum! Brands Inc Ba3 BB
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Annex 2 A basic explanation of the meaning of S&P and Moody’s credit rating
S&P credit
rating
Explanation Moody’s credit
rating
Investment grade AAA Highest possible credit rating Aaa
AA Very high credit rating Aa
A High credit rating A
BBB Somewhat high credit rating Baa
Speculative grade BB Somewhat speculative Ba
(high yield) B Speculative B
CCC Clearly speculative Caa
CC Very speculative Ca
C Near payment default on financial obligations C
D Payment default on financial obligations Not provided by
Moody´s