Trader Vic Index Methodology

Transcription

1 Trader Vc Index Methodology 1. General Descrpton The Trader Vc Index (the Index ) s an ndex whch follows a rules-based methodology desgned to reflect the prce trends n a dversfed portfolo of notonal futures contracts across 2 commodty and fnancal futures markets (each an Index Component ). These Futures Contracts are grouped nto Sectors and each Sector s represented on ether a Long Poston or Short Poston (wth the excepton of the Energy Sector, whch s represented on ether a Long Poston or Flat Poston) dependng on recent prce trends of that Sector. Wth the ablty to reference both Long Postons and Short Postons, the Index s desgned to reflect the economc beneft of prce trends wthn a cross secton of the futures markets over the long-term and does not seek to adust the long or short postonng of ts Sectors (or, wth respect to the Energy Sector, the long or flat poston) based on short-term movements n prces. Energy, due to sgnfcant demand, lmted reserves, and prce nelastcty and prcng controls, may be subect to rapd prce ncreases n the event of perceved or actual shortages. As such, there s never a Short Poston wth respect to the Energy Sector n the Index 1. The prmary obectve of the Index s to measure, n aggregate, the component trends based on prce movements of certan lqud commodty and fnancal Futures Contracts. As such, the Index reflects the proft (or loss) of those prce trends. The Index s mplemented n a rules-based methodology and s not ntended to be representatve of a partcular futures market or group of markets. Importantly, lqudty of the Index and lmtng the volatlty of the Index were key gudes n the determnaton of the methodology. Captalzed terms, unless otherwse defned heren, have the meanng gven to them n Secton Index Composton 2.1. Recognsed Exchanges To facltate the calculaton, replcaton and tradablty of the Index, all Futures Contracts ncluded n the Index must be publcly traded on one of the Recognsed Exchanges. At present, the Recognsed Exchanges are lsted below n Table 1. The Recognsed Exchanges may be altered from tme to tme by the Index Commttee. Table 1: Recognsed Exchange Abbrevaton Country Chcago Board of Trade CBOT US Chcago Mercantle Exchange CME US New York Mercantle Exchange NYMEX US Intercontnental Exchange ICE US 2.2. Index Components On the Index Launch Date, the Index was comprsed of the Index Components set forth n Table 2(a) below. 2 Index Components are dstrbuted nto 18 Sectors. Each Sector rebalances monthly to ts Sector Base Weght (or sw (0) ) and wll mantan a Long Poston or Short Poston, wth the excepton of the Energy Sector, whch wll mantan a Long or Flat Poston (see Sectons 3 and 5). Table 2(b) below dsplays the respectve Index Component Contract Factors. The Index Components rebalance annually to ther respectve Index Component Base Weghts (or w (0) ) (see Sectons 3 and 6). Table 2(a) below dsplays the Index Component Base Weghts to whch Index Components rebalance annually, unless the Energy Sector s n a Flat Poston, n whch case the respectve Index Component Base Weghts wll be rebalanced n accordance wth the formula descrbed n Secton The Natural Gas Sector, represented by the Natural Gas Index Component, may be held ether long or short by the Index, effectve as of May 1, See Appendx A. 2 See Appendx A for notable amendments made to ths Index methodology snce the Index Launch Date , v. 1

2 P a g e 2 Table 2(a): Sector Sector Base Weght sw (0) Index Component Index Component Base Weght w (0) Index Component Number of Roll Days NR Energy 17.50% Lght Crude (WTI) 10.50% 1 RBOB Gas 3.50% 1 Heatng Ol 3.50% 1 Natural Gas.60% Natural Gas.60% 2 Grans 11.85% Soybeans 5.15% 2 Corn.100% 2 Wheat 2.60% 2 Precous Metals 5.0% Gold 3.60% 1 Slver 1.80% 1 Hgh Grade 5.15% Hgh Grade 5.15% 3 Copper Copper Lvestock 2.50% Lve Cattle 1.50% 2 Lean Hogs 1.00% 3 Sugar 1.00% Sugar 1.00% 2 Cotton 0.50% Cotton 0.50% 2 Cocoa 0.50% Cocoa 0.50% Coffee 1.00% Coffee 1.00% 2 Euro 11.00% Euro 11.00% 1 Japanese Yen 10.00% Japanese Yen 10.00% 1 Swss Franc 10.00% Swss Franc 10.00% 3 Brtsh Pound 3.00% Brtsh Pound 3.00% 1 Australan Dollar 2.00% Australan Dollar 2.00% 1 Canadan Dollar 1.00% Canadan Dollar 1.00% 1 US 30Yr Bond 6.50% US 30Yr Bond 6.50% 1 US 10Yr Note 6.50% US 10Yr Note 6.50% 1 The Index Components shall be ntally weghted at the weghts n the Index based on the Settlement Prce of the Relevant Contract for each Index Component on the Index Launch Date. Index Component weghts may change based on Exponental Movng Average calculatons, as set forth n Secton 3. Annually, after the close on each Annual Re-weghtng Date, the Index Component weghts wll be readusted, as set forth n Sectons 3 and 6. For each Index Component covered by ths Index methodology, the Contract Factor (Factor ) s set forth n Table 2(b) below. The Contract Factor may be amended from tme to tme by the Index Sponsor wth the consent of the Index Commttee consstent wth the factors or fgures that the Recognsed Exchange uses. Table 2(b): Index Component Symbol Recognsed Exchange Factor Heatng Ol HO NYMEX 2,000 (US Gallons) Lght Crude (WTI) CL NYMEX 1,000 (US Barrels) Natural Gas NG NYMEX 10,000 (MMBtu) RBOB Gas XB NYMEX 2,000 (US Gallons) Lean Hogs LH CME 0,000 (Lbs) Lve Cattle LC CME 0,000 (Lbs) Corn C CBOT 5,000 (Bushels) Soybeans S CBOT 5,000 (Bushels) Wheat W CBOT 5,000 (Bushels) Hgh Grade Copper HG NYMEX 25,000 (Lbs) Gold GC NYMEX 100 (Troy oz) Slver SI NYMEX 5,000 (Troy oz) Cocoa CC ICE 10 (Metrc tons) Coffee KC ICE 37,500 (Lbs) Cotton CT ICE 50,000 (Lbs) Sugar SB ICE 112,000 (Lbs) Australan Dollar AD CME 100,000 (AUD) Brtsh Pound BP CME 62,500 (GBP) Canadan Dollar CD CME 100,000 (CAD) Euro EC CME 125,000 (EUR) , v. 1

3 P a g e 3 Japanese Yen JY CME 12,500,000 (JPY) Swss Franc SF CME 125,000 (CHF) US 30Yr Bond US CBOT 100,000 (USD) US 10Yr Note TY CBOT 100,000 (USD) 3. Index Weghtng Method 3.1. Roll Schedule The Relevant Contracts comprsng the Index wll be rolled, as per the schedule (the Roll Schedule ) n Table 3 below at the Rollover Tme durng the applcable Rollover Perod for each Index Component, except as otherwse contemplated by ths methodology. Table 3 below shows the relevant Roll Schedule for each Index Component and dsplays the applcable Contract Expraton of the Relevant Contract to be transtoned nto durng the applcable Rollover Perod. Durng any gven Rollover Perod, the Relevant Contract wll transton from the prevous Relevant Contract to the current Relevant Contract n accordance wth the Index Component Number of Roll Days outlned n Table 2(a). From tme to tme, the Index Commttee may deem t necessary to modfy the Index Component Number of Roll Days for one or more Index Components or other aspects of the Roll Schedule based on lqudty or market structure factors, provded that such modfcatons are made n accordance wth Sectons 7 and 10 below. Table 3: Roll Schedule Index Component Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Heatng Ol H K K N N U U X X F F H Lght Crude (WTI) J J M M Q Q V V Z Z G G Natural Gas J J M M Q Q V V Z Z G G RBOB Gas H K K N N U U X X F F H Lean Hogs M M M M Q Q Z Z Z Z G G Lve Cattle M M M M Q Q Z Z Z Z G G Corn H N N N N U U Z Z Z H H Soybeans H K K N N X X X X F F H Wheat H N N N N U U Z Z Z H H Hgh Grade Copper H K K N N U U Z Z Z H H Gold J J M M Q Q Z Z Z Z G G Slver H N N N N U U Z Z Z H H Cocoa H N N N N U U Z Z Z H H Coffee H N N N N U U Z Z Z H H Cotton H N N N N Z Z Z Z Z H H Sugar H K K N N V V V H H H H Australan Dollar H H M M M U U U Z Z Z H Brtsh Pound H H M M M U U U Z Z Z H Canadan Dollar H H M M M U U U Z Z Z H Euro H H M M M U U U Z Z Z H Japanese Yen H H M M M U U U Z Z Z H Swss Franc H H M M M U U U Z Z Z H US 30Yr Bond H M M M U U U Z Z Z H H US 10Yr Note H M M M U U U Z Z Z H H The above table uses the followng month letter code: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec F G H J K M N Q U V X Z For the avodance of doubt, and by way of example: The Relevant Contract applcable to Natural Gas n March s the June Futures Contract. Therefore, n accordance wth the Index Component Number of Roll Days lsted for Natural Gas n Table 2(a), the Natural Gas Index Component wll roll from the Aprl Futures Contract to the June Futures Contract over a two-day Rollng Perod commencng from the Rollover Tme on the last Busness Day n February Sector Returns In respect of each Index Component, the monthly rate of return and cumulatve rate of return for the relevant Poston Determnaton Date are calculated (the Monthly Return and the Cumulatve Return, respectvely). The Cumulatve Return of each Index Component assgned to the -th Sector wll determne the cumulatve rate of return of such -th Sector (the Sector Cumulatve , v. 1

4 P a g e Return ) for the relevant Poston Determnaton Date. In respect of each -th Sector, the rate of return durng the perod from (and ncludng) the Poston Determnaton Date mmedately precedng the relevant Poston Determnaton Date to (and ncludng) the relevant Poston Determnaton Date (the Sector Monthly Return ) wll be calculated based on the relevant Sector Cumulatve Return. In respect of each Sector, the relevant Sector Monthly Returns wll be used to calculate the contnuous cumulatve rate of return (the Rollng Sector Cumulatve Return ) for the relevant Poston Determnaton Date. The Index Component weghts are rebalanced to ther respectve Index Component Base Weghts over the Rollover Perod for each Index Component, n accordance wth the Index Component Number of Roll Days lsted for each Index Component, commencng on the Annual Re-Weghtng Date. Therefore, the frst monthly return affected by the rebalancng s calculated on the Poston Determnaton Date n January. For each Index Component, the Monthly Return s calculated n accordance wth the followng formula: P ( PDD) MR ( PDD) 1 P ( PDD 1) MR (PDD) P (PDD) P (PDD-1) means, n respect of the -th Index Component, the Monthly Return on the relevant Poston Determnaton Date; means, n respect of the -th Index Component, the Settlement Prce of the Relevant Contract on the relevant Poston Determnaton Date; and means, n respect of the -th Index Component, the Settlement Prce of the Relevant Contract on the Poston Determnaton Date mmedately precedng the relevant Poston Determnaton Date. For each Index Component, the Cumulatve Return s calculated n accordance wth the followng formula: On each Poston Determnaton Date n January of each year: CR (PDD) MR (PDD) CR ( PDD) MR ( PDD) means, n respect of the -th Index Component, the Cumulatve Return on the relevant Poston Determnaton Date; and means, n respect of the -th Index Component, the Monthly Return on the relevant Poston Determnaton Date. On each subsequent Poston Determnaton Date of each year: CR (PDD) MR (PDD) CR (PDD-1) 1 CR ( PDD 1) 1 MR ( PDD) 1 CR ( PDD) means, n respect of the -th Index Component, the Cumulatve Return on the relevant Poston Determnaton Date; means, n respect of the -th Index Component, the Monthly Return on the relevant Poston Determnaton Date; and means, n respect of the -th Index Component, the Cumulatve Return on the Poston Determnaton Date mmedately precedng the relevant Poston Determnaton Date. For each Sector, the Sector Cumulatve Return s calculated n accordance wth the followng formula: SCR (PDD) w (0) CR (PDD) n() n( ) w (0) CR ( PDD) 1 SCR ( PDD) n( ) w (0) 1 means, n respect of the -th Sector, the Sector Cumulatve Return on the relevant Poston Determnaton Date; means, n respect of the Index Components comprsng the -th Sector, the Index Component Base Weght; means, n respect of the Index Components comprsng the -th Sector, the Cumulatve Return for the -th Index Component on the relevant Poston Determnaton Date; means the number of Index Components comprsng the -th Sector; and means each -th Index Component that s assgned to the -th Sector , v. 1

5 P a g e 5 For each Sector, the Sector Monthly Return s calculated n accordance wth the followng formula: On each Poston Determnaton Date n January of each year: SMR ( PDD) SCR ( PDD) SMR (PDD) SCR (PDD) means, n respect of the -th Sector, the Sector Monthly Return on the relevant Poston Determnaton Date; and means, n respect of the -th Sector, the Sector Cumulatve Return on the relevant Poston Determnaton Date. On each subsequent Poston Determnaton Date of each year: 1 SCR ( PDD) SMR ( PDD) 1 1 SCR ( PDD 1) SMR (PDD) SCR (PDD) SCR (PDD-1) means, n respect of the -th Sector, the Sector Monthly Return on the relevant Poston Determnaton Date; means, n respect of the -th Sector, the Sector Cumulatve Return on the relevant Poston Determnaton Date; and means, n respect of the -th Sector, the Sector Cumulatve Return on the Poston Determnaton Date mmedately precedng the relevant Poston Determnaton Date. For each Sector, the Rollng Sector Cumulatve Return, whch s compared to the Exponental Movng Average (defned n Secton 3.3) to determne the Sector Poston for the followng month, s calculated n accordance wth the followng formula: RSCR ( PDD) 1 RSCR ( PDD 1) 1 SMR ( PDD) 1 RSCR (PDD) RSCR (PDD-1) SMR (PDD) means, n respect of the -th Sector, the Rollng Sector Cumulatve Return on the relevant Poston Determnaton Date; means, n respect of the -th Sector, the Rollng Sector Cumulatve Return on the Poston Determnaton Date mmedately precedng the relevant Poston Determnaton Date; and means, n respect of the -th Sector, the Sector Monthly Return on the relevant Poston Determnaton Date. For the avodance of doubt, snce the Index Incepton Date s 31 July 1990, the frst Poston Determnaton Date s 28 July On that date, Rollng Sector Cumulatve Return s equal to zero Calculaton of Exponental Movng Averages The Index utlzes customzed Exponental Movng Averages or EMAs to take notonal Long Postons and Short Postons (or, n the case of the Energy Sector, Long Postons and Flat Postons) n an attempt to follow and reflect prce trends across the respectve commodty and fnancal futures ncluded n the Index as descrbed n ths Secton 3. An exponental movng average s a measure of average returns that can be used to gve greater weght to more recent returns n computng the average. Sectors whch are less senstve to changng trends are gven a more equal weghtng across ther returns, whle Sectors whch are more senstve to changng trends are gven a weghtng whch s more skewed towards the more recent returns. The EMA s customsed for each Sector n the Index based on a systematc propretary process desgned to reflect the hstorcal behavoural patterns and prce trends of the Index Components. The goal of the process s to determne the EMA for each Sector that best defnes the underlyng trendng nature of the Sector usng futures data over a long tme-frame. Seasonalty and hstorcal volatlty for each Index Component s consdered and bult nto the EMA for each Sector ncluded n the Index and ths forms the bass for drectonal Long Postons and Short Postons (or, n the case of the Energy Sector, drectonal Long Postons and Flat Postons). Gven the long-term outlook, the EMA for each Sector s fxed at the ncepton of the Index and s not revsed or ftted to any recent market condtons or movements n the short to medum term. Each EMA may only be modfed or adusted by the Index Commttee after the Index Launch Date pursuant to Secton 7 below. The calculaton of the EMA for each Sector s based on two key varables: () the number of months over whch the EMA for that Sector s calculated (M ) and () the multpler or coeffcent (α ) used to assgn weghtngs to the return values observed over the applcable number of months for the partcular Sector. These varables are selected wth the goal of allowng each EMA to capture the trendng nature of prces n that partcular commodty and fnancal futures market. The varables are selected for each Sector based on characterstcs such as seasonalty, varance and volatlty observed hstorcally for the underlyng Sector. The number of months used to calculate the EMA for a Sector depends on the perod deemed approprate to reflect underlyng trends n that , v. 1

6 P a g e 6 Sector, and ranges from four to 12 months for the Sectors ncluded n the Index. The multpler then allows for dfferent weghtngs to be assgned to each Rollng Sector Cumulatve Return value n the EMA calculaton. For example, a hgher multpler provdes greater weght to more recent return values observed and therefore allows the EMA to be more senstve to more recent movements n the movng average calculaton. The multpler ranges from one to two for the Sectors ncluded n the Index. Postons are determned on each Poston Determnaton Date for each Sector n accordance wth the followng formula for calculatng the EMA for a partcular Sector: EMA ( PDD) M 1 ( ) x0 M x1 M 1 x0 RSCR ( PDD x) ( ) x EMA (PDD) M means, n respect of the -th Sector, the Exponental Movng Average on the relevant Poston Determnaton Date; means, n respect of the -th Sector, the number of months; α means, n respect of the -th Sector, the multpler; and RSCR (PDD-x) means, n respect of the -th Sector, the Rollng Sector Cumulatve Return on the Poston Determnaton Date (where x=0,...,m( )-1). For the avodance of doubt, and by way of example: If α =1. and M =, then M 1 ( ) x0 x 3 x (1.) x and EMA ( PDD ) 3 RSCR ( PDD ) 1. RSCR 2 ( PDD 1) RSCR ( PDD 2) 1. RSCR 0 ( PDD 3) 3.. Determnaton of Sector Poston After the close of each Poston Determnaton Date, the Sector Poston for Sector (or SP (PDD) ) s determned as follows: Short Poston or SP (PDD)= -1 means, n respect of each Sector, but not where Sector represents Energy, the drecton of the poston of each Index Component relatng to such Sector s short; Flat Poston or SP (PDD)= 0 means, where Sector represents Energy, no poston n any Index Components relatng to such Sector; and Long Poston or SP (PDD)= 1 means, n respect of each Sector, the drecton of the poston of each Index Component relatng to such Sector s long. If RSCR (PDD) EMA (PDD), then SP (PDD) = 1; Otherwse, SP (PDD)= -1, unless Sector s the Energy Sector, n whch case, SP (PDD) = 0 (.e. SP Energy(PDD)=0); For the avodance of doubt, all the Index Components wthn a Sector mantan the same drecton; therefore for each Index Component comprsng Sector, the Relevant Contract Poston (or RCP ) s dentcal to the relevant Sector Poston: RCP (PDD)=SP (PDD) If, for Sector, the Rollng Sector Cumulatve Return s equal to or greater than ts Exponental Movng Average, a Long Poston n Sector s sgnalled and Long Poston n each Index Component ncluded n Sector s tracked. If, for Sector, the Rollng Sector Cumulatve Return s below ts Exponental Movng Average: If Sector s the Energy Sector, a Flat Poston s sgnalled, a Flat Poston n each Index Component ncluded n the Energy Sector s tracked and the Sector Base Weght for Energy s dstrbuted proportonately to the other Sectors (See Secton 3.6) Otherwse, a Short Poston n Sector s sgnalled and a Short Poston n each Index Component ncluded n Sector s tracked. Futures Contracts for each Index Component n a Sector are replaced over the Rollover Perod. The Index method of calculaton, as outlned n Secton, replaces Futures Contracts begnnng on the Rollover Date through the Rollover Perod, n accordance wth the Index Component Number of Roll Days lsted n Table 2(a), at the Rollover Tme wth new Relevant Contracts n accordance wth Secton , v. 1

7 P a g e Sector Monthly Rebalancng Each Sector weght s rebalanced monthly to ts Sector Base Weght, subect to the Sector Poston and to the Sector Poston of the Energy Sector, as defned above, over the applcable Rollover Perod for each Index Component, n accordance wth the Index Component Number of Roll Days lsted for each Index Component. The monthly rebalancng of a Sector s weght occurs at the Rollover Tme over the applcable Rollover Perod for each of the Sector s Index Components. The value to whch the weght of Sector s rebalanced over the current month s Rollover Perod s calculated as follows: If on the most recent Poston Determnaton Date pror to the current month s Rollover Perod, SP Energy(PDD)=1, n other words, the Energy Sector s n a Long Poston: Otherwse, f SP Energy(PDD)=0: sw sw (0) sw (0) sw 1 swenergy (0) sw (RD) sw (0) means n respect of the -th Sector, the weght the Sector s to be rebalanced to over the relevant Rollover Perod; means, n respect of the -th Sector, the Sector Base Weght; and sw Energy(0) means, n respect of the Energy Sector, the Sector Base Weght. If on the Poston Determnaton Date mmedately precedng the current month s Rollover Perod, SP Energy(PDD)=0,.e. the trend sgnals a Flat Poston n the Energy Sector, then the Sector Base Weght of the Energy Sector s dstrbuted pro-rata to the remanng Sectors over the relevant Rollover Perod. If the start of the relevant Rollover Perod s an Annual Re-weghtng Date and the Energy Sector s due to be transtoned to a Flat Poston over such Rollover Perod, the Index Component Base Weghts wll change over the Rollover Perod to the values dsplayed n the followng table, by applcaton of the formula above: Sector Sector Base Weght Index Component Base Index Component sw (0) Weght w (0) Energy % Crude Ol % RBOB Gas % Heatng Ol % Natural Gas % Natural Gas % Grans % Soybeans 6.22% Corn.9697% Wheat % Precous Metals 6.555% Gold.3637% Slver % Hgh Grade Copper 6.22% Hgh Grade Copper 6.22% Lvestock % Lve Cattle % Lean Hogs % Sugar % Sugar % Cotton % Cotton % Cocoa % Cocoa % Coffee % Coffee % Euro % Euro % Japanese Yen % Japanese Yen % Swss Franc % Swss Franc % Brtsh Pound 3.636% Brtsh Pound 3.636% Australan Dollar 2.22% Australan Dollar 2.22% Canadan Dollar % Canadan Dollar % US 30Yr Bond % US 30Yr Bond % US 10Yr Note % US 10Yr Note % After the close of each Rollover Perod, all Sector weghts add up to 1,.e. N sw 1 1 where N means the total number of Sectors n the Index , v. 1

8 P a g e Intra-Sector Index Component Weghtng Whle Sectors are rebalanced to ther base weghts over each Rollover Perod, the relatve weghts of Index Components wthn any Sector wth more than one Index Component are allowed to fluctuate durng the year wthn such Sector and are only rebalanced to ther Index Component Base Weghts annually at the Rollover Tme over the Rollover Perod commencng on the Annual Reweghtng Date. Index Component weghts are determned each month usng the valuatons on the Rollover Date. Index Component weghts are determned by calculatng Sector returns as descrbed n Secton 3.2 where the date of observaton s P on the Rollover Date. The followng formulas shall be appled: MR 1 P ( RD 1) MR (RD) P (RD) P (RD-1) means, n respect of the -th Index Component, the Monthly Return on the relevant Rollover Date; means, n respect of the -th Index Component, the Settlement Prce of the Relevant Contract on the relevant Rollover Date; and means, n respect of the -th Index Component, the Settlement Prce of the Relevant Contract on the Rollover Date mmedately precedng the relevant Rollover Date. For each Index Component, the Cumulatve Return on the current Rollover Date s calculated as follows: On each Rollover Date n January of each year, CR (RD) s reset such that CR (RD) = MR (RD). CR (RD) MR (RD) CR MR means, n respect of the -th Index Component, the Cumulatve Return on the relevant Rollover Date; and means, n respect of the -th Index Component, the Monthly Return on the relevant Rollover Date. On each subsequent Rollover Date of each year: CR (RD) MR (RD) CR (RD-1) 1 CR ( RD 1) 1 MR 1 CR means, n respect of the -th Index Component, the Cumulatve Return on the relevant Rollover Date; means, n respect of the -th Index Component, the Monthly Return on the relevant Rollover Date; and means, n respect of the -th Index Component, the Cumulatve Return on the Rollover Date mmedately precedng the relevant Rollover Date. For each Sector, the Sector Cumulatve Return s calculated n accordance wth the followng formula: SCR (RD) w (0) CR (RD) n( ) w (0) CR 1 SCR n( ) w (0) 1 means, n respect of the -th Sector, the Sector Cumulatve Return on the relevant Rollover Date; means, n respect of each Index Component comprsng the -th Sector, the Index Component Base Weght; means, n respect of the -th Index Component comprsng the -th Sector, the Cumulatve Return on the relevant Rollover Date; , v. 1

9 P a g e 9 n() means the number of Index Components comprsng the -th Sector; and means each -th Index Component that s assgned to the -th Sector. On each Rollover Date, Index Component weghts are calculated usng the Sector Poston and the Sector Poston of the Energy Sector as determned on the PDD mmedately precedng the current Rollover Date, and the Monthly Return of each Index Component wthn Sector as determned on the current Rollover Date. Over the Rollover Perod for each Index Component commencng on the Annual Re-weghtng Date, n accordance wth the Index Component Number of Roll Days lsted for each Index Component, each Index Component s rebalanced to ts Index Component Base Weght, as descrbed n Secton 2.2, unless the Energy Sector Poston s flat as determned by the December Poston Determnaton Date, n whch case, the Index Component Weght for Index Component (or w (RD) ), to be rebalanced to over the Rollover Perod for Index Component commencng on the Annual Re-weghtng Date, s defned as: SP Energy(PDD) w (0) sw Energy(0) w SPEnergy ( PDD ) w (0) Energy 1 swenergy(0) 1 1 SP ( PDD ) w (0) means, n respect of the Energy Sector, the Sector Poston on the Poston Determnaton Date mmedately precedng the relevant Rollover Perod; means, n respect of the -th Index Component, the Index Component Base Weght, as determned on each Annual Re-weghtng Date as per Secton 2.2; and means, n respect of the Energy Sector, the Sector Base Weght, as determned by the Index Commttee on each Annual Re-weghtng Date as per Secton 2.2. The Index Component Weght n respect of the -th Index Component, w (RD) to be rebalanced to over the Rollover Perod commencng on a Rollover Date other than the Annual Re-weghtng Date, and effectve to and ncludng the next Rollover Date, s calculated n accordance wth the followng formula: SP Energy(PDD) w (0) CR (RD) SCR (RD) sw Energy(0) w SP ( PDD) w (0) 1 CR Energy 1 SCR 1 1 CR 1 SPEnergy( PDD) w (0) 1 sw (0) 1 SCR Energy means, n respect of the Energy Sector, the Sector Poston on the Poston Determnaton Date mmedately precedng the relevant Rollover Date; means, n respect of the -th Index Component, the Index Component Base Weght, as determned on each Annual Re-weghtng Date as per Secton 2.2; means, n respect of the -th Index Component, the Cumulatve Return on the relevant Rollover Date; means, n respect of the -th Sector, the Sector Cumulatve Return on the relevant Rollover Date; and means, n respect of the Energy Sector, the Sector Base Weght, on each Annual Re-weghtng Date as per Secton Index Method of Calculaton The value of the Trader Vc Index Excess Return on the Index Incepton Date s Calculaton of the value of the Index Excess Return ( TVIER ) on all Busness Days excludng the Rollover Perod TVIER ( t) TVIER ( t 1) TVIER Z CSR , v. 1

10 P a g e 10 CSR t means, n respect of the -th Index Component, the daly component return, whch s calculated as follows P ( t) P ( t 1) CSR ( ) ( ) RCP RD w RD P means the current Busness Day; t-1 means the prevous Busness Day; RD means the Rollover Date mmedately precedng Busness Day t; TVIER(t) means the value of the Trader Vc Index Excess Return on Busness Day t; TVIER(t-1) means the value of the Trader Vc Index Excess Return on Busness Day t-1; TVIER(RD) Z RCP (RD) w (RD) P (t-1) P (t) means the value of the Trader Vc Index Excess Return on the Rollover Date mmedately precedng Busness Day t; means the total number of Index Components ncluded n the Index on Busness Day t; means, n respect of the -th Index Component, the Relevant Contract Poston on the Rollover Date mmedately precedng Busness Day t, as determned by Secton 3..; means, n respect of the -th Index Component, the Index Component Weght on the Rollover Date mmedately precedng Busness Day t; means, n respect of the -th Index Component, the Settlement Prce of the Relevant Contract on Busness Day t-1; means, n respect of the -th Index Component, the Settlement Prce of the Relevant Contract on Busness Day t; P (RD) means, n respect of the -th Index Component, the Settlement Prce of the Relevant Contract on the Rollover Date mmedately precedng Busness Day t..2. Calculaton of the value of the Index Excess Return ( TVIER ) durng a Rollover Perod[.e. t>rd] TVIER( t) TVIER( t 1) Z TVIER ( RD 1) CSR ( RD 1) TVIER( RD) CSR 1 CSR (RD-1) CSR (RD) means, n respect of the -th Index Component, the daly component return based on the Rollover Date (RD-1) mmedately precedng the Rollover Date (RD), whch s calculated as follows: CSR ( RD 1) RCP ( RD 1) w ( RD 1) RCP ( 1) ( 1) RD w RD DR NR P ( t) P ( t 1) P ( RD 1) means, n respect of the -th Index Component, the daly component return based on the Rollover Date (RD) mmedately precedng Busness Day t, whch s calculated as follows: , v. 1

11 P a g e 11 t RCP w CSR DR NR means the current Busness Day; P ( t) P ( t 1) P t-1 means the prevous Busness Day; RD means the Rollover Date mmedately precedng Busness Day t; RD-1 means the Rollover Date that precedes Rollover Date (RD); TVIER(t) means the value of the Trader Vc Index Excess Return on Busness Day t; TVIER(t-1) means the value of the Trader Vc Index Excess Return on Busness Day t-1; TVIER(RD) TVIER(RD-1) means the value of the Trader Vc Index Excess Return on the Rollover Date mmedately precedng Busness Day t; means the value of the Trader Vc Index Excess Return on the Rollover Date (RD-1) that mmedately precedes the Rollover Date (RD); Z means the total number of Index Components ncluded n the Index on Busness Day t; NR DR means, n respect of the -th Index Component, the Total Number of Roll Days for the Index Component as specfed n Table 2a by secton 2.2; means, n respect of the -th Index Component, the day of the component's Rollover Perod less than or equal to NR. If the number of days n the Rollover Perod (RP) s greater than NR, then DR s fxed at NR for the remanng days of the Rollover Perod. Example 1: If the Rollover Perod s four days and the number of Roll Days for Natural Gas s two days, then On day t=1 of the Rollover Perod, DR =1 for Natural Gas On day t=2 of the Rollover Perod, DR =2 for Natural Gas On day t=3 of the Rollover Perod, DR =2 for Natural Gas On day t= of the Rollover Perod, DR =2 for Natural Gas RCP (RD-1) P (RD-1) w (RD-1) P (t-1) Example 2: If the Rollover Perod s four days and the number of Roll Days for Sugar s one day, then On day t=1 of the Rollover Perod, DR =1 for Sugar On day t=2 of the Rollover Perod, DR =1 for Sugar On day t=3 of the Rollover Perod, DR =1 for Sugar On day t= of the Rollover Perod, DR =1 for Sugar means, n respect of the -th Index Component, the Relevant Contract Poston on the Rollover Date (RD-1) mmedately precedng the Rollover Date (RD), as determned by Secton 3.; means, n respect of the -th Index Component, the Settlement Prce of the Relevant Contract (wth respect to RD-1) on the Rollover Date (RD-1) mmedately precedng the Rollover Date (RD). means, n respect of the -th Index Component, the Index Component Weght on the Rollover Date (RD-1) mmedately precedng the Rollover Date (RD); means, n respect of the -th Index Component, the Settlement Prce of the Relevant Contract (wth respect to RD -1) on Busness Day precedng Busness Day t; for the avodance of doubt, f Relevant Contract wth respect to RD-1 s the same as the , v. 1

12 P a g e 12 Relevant Contract wth respect to RD then P (t-1) = P (t-1); P (t) RCP (RD) w (RD) P (t-1) P (t) P (RD) means, n respect of the -th Index Component, the Settlement Prce of the Relevant Contract (wth respect to RD -1) on Busness Day t; f Relevant Contract wth respect to RD-1 s the same as the Relevant Contract wth respect to RD then P (t-1) = P (t-1); means, n respect of the -th Index Component, the Relevant Contract Poston on the Rollover Date mmedately precedng Busness Day t, as determned by Secton 3..; means, n respect of the -th Index Component, the Index Component Weght on the Rollover Date mmedately precedng Busness Day t; means, n respect of the -th Index Component, the Settlement Prce of the Relevant Contract on the Busness Day precedng Busness Day t; means, n respect of the -th Index Component, the Settlement Prce of the Relevant Contract on Busness Day t; means, n respect of the -th Index Component, the Settlement Prce of the Relevant Contract on the Rollover Date mmedately precedng Busness Day t. For the avodance of doubt, when the -th Index Component has a one-day roll (.e. NR = 1), CSR (RD-1) and CSR (RD) wll be computed as shown below, durng a four-day Rollover Perod: t NR DR CSR ( RD 1) CSR (RD) P ( t 1) P ( t RD) RCP w P P ( t 2) P ( t 1) RCP w P P ( t 3) P ( t 2) RCP w P P ( t ) P ( t 3) RCP w P For the avodance of doubt, when the -th Index Component has a two-day roll (.e. NR = 2), CSR (RD-1) and CSR (RD) wll be computed as shown below, durng a four-day Rollover Perod: t NR DR CSR ( RD 1) CSR (RD) 1 P ( t 1) P ( t RD) RCP ( RD 1) w ( RD 1) 2 P ( RD 1) RCP w 1 2 P ( t 1) P ( t RD) P P ( t 2) P ( t 1) RCP w P P ( t 3) P ( t 2) RCP w P P ( t ) P ( t 3) RCP w P , v. 1

13 P a g e 13 For the avodance of doubt, when the -th Index Component has a four-day roll (.e. NR = ), CSR (RD-1) and CSR (RD) wll be computed as shown below, durng a four-day Rollover Perod: t NR DR CSR ( RD 1) CSR (RD) 3 P 1 1 ( t 1) P ( t RD) RCP ( RD 1) w ( RD 1) P ( RD 1) 1 P ( t 1) P ( t RD) RCP ( ) ( ) RD w RD P P ( 2) P RCP t ( t 1) 2 P ( t 2) P ( t 1) ( RD 1) w ( RD 1) P ( RD 1) RCP ( ) ( ) RD w RD P 3 3 RCP (RD 1) w (RD 1) 1 ( P (t = 3) P (t = 2) ) P (RD 1) 3 P ( t 3) P ( t 2) RCP ( ) ( ) RD w RD P P ( t ) P ( t 3) 0 RCP ( ) ( ) RD w RD P.3. Calculatng the TVIER when an Index Component settles at a Lmt Prce durng a Rollover Perod When an Index Component settles at a Lmt Prce on any Busness Day durng the Rollover Perod, that Index Component s roll s held untl a followng Busness Day where the Index Component does not settle at a Lmt Prce. Ths lmt condton apples to both the current Relevant Contract and the prevous Relevant Contract (f applcable because of a scheduled roll). Holdng an Index Component s roll mpacts ts Day of Roll (DR ) value n the followng manner: DR means, n respect of the -th Index Component, the day of the Index Component's Rollover Perod less than or equal to NR. If the number of days n the Rollover Perod (RP) s greater than NR, then DR s fxed at NR for the remanng days of the Rollover Perod. If a lmt move takes place for the -th Index Component on day one of the Rollover Perod then DR =0,untl a followng Busness Day where the Index Component does not settle at a Lmt Prce. If a lmt move takes place on any other day of the Rollover Perod, then the DR s set to the prevous Busness Day s value Example 1: f a lmt move occurs on day t=1 for an Index Component wth a two-day roll durng a four-day Rollover Perod (RP), then on day t=1, DR =0 on day t=2, DR =1 on day t=3, DR =2 on day t=, DR =2 Example 2: f lmt moves occur on days t=2 and t=3 for an Index Component wth a four-day roll durng a sx-day Rollover Perod (RP), then on day t=1, DR =1 on day t=2, DR =1 on day t=3, DR =1 on day t=, DR =2 on day t=5, DR =3 on day t=6, DR = Example 3: f lmt moves occur on days t=1, and t=3 of an Index Component wth a four-day roll, durng a sx-day Rollover Perod (RP), then , v. 1

14 P a g e 1 on day t=1, DR =0 on day t=2, DR =1 on day t=3, DR =1 on day t=, DR =2 on day t=5, DR =3 on day t=6, DR = For the avodance of doubt, when the -th Index Component has a one-day roll (.e. NR = 1), CSR (RD-1) and CSR (RD) wll be computed as shown below, durng a four-day Rollover Perod and a lmt move on day t=1: t NR DR CSR ( RD 1) CSR (RD) P ( t 1) P ( t RD) RCP ( RD 1) w ( RD 1) 0 P ( RD 1) P ( t 2) P ( t 1) RCP w P P ( t 3) P ( t 2) RCP w P P ( t ) P ( t 3) RCP w P For the avodance of doubt, when the -th Index Component has a four-day roll (.e. NR = ), CSR (RD-1) and CSR (RD) wll be computed as shown below, durng a fve-day Rollover Perod and a lmt move on day t=3: t NR DR CSR ( RD 1) CSR (RD) 3 P 1 1 ( t 1) P ( t RD) RCP ( RD 1) w ( RD 1) P ( RD 1) 1 P ( t 1) P ( t RD) RCP ( ) ( ) RD w RD P P ( 2) P RCP t ( t 1) 2 P ( t 2) P ( t 1) ( RD 1) w ( RD 1) P ( RD 1) RCP ( ) ( ) RD w RD P 3 2 RCP 2 ( RD 1) w ( RD 1) P ( t 3) P ( t 2) P ( RD 1) 2 P ( t 3) P ( t 2) RCP ( ) ( ) RD w RD P 3 1 P ( ) P RCP t ( t 3) 3 P ( t ) P ( t 3) ( RD 1) w ( RD 1) P ( RD 1) RCP ( ) ( ) RD w RD P P ( t 5) P ( t ) 5 0 RCP ( ) ( ) RD w RD P For the avodance of doubt, when the -th Index Component has a four-day roll (.e. NR = ), CSR (RD-1) and CSR (RD) wll be computed as shown below, durng a sx-day Rollover Perod and lmt moves on days t=2 and t=3: , v. 1

15 P a g e 15 t NR DR CSR ( RD 1) CSR (RD) 3 P 1 1 ( t 1) P ( t RD) RCP ( RD 1) w ( RD 1) P ( RD 1) 1 P ( t 1) P ( t RD) RCP ( ) ( ) RD w RD P P ( 2) P RCP t ( t 1) 1 P ( t 2) P ( t 1) ( RD 1) w ( RD 1) P ( RD 1) RCP ( ) ( ) RD w RD P 3 1 RCP 3 ( RD 1) w ( RD 1) P ( t 3) P ( t 2) P ( RD 1) 1 P ( t 3) P ( t 2) RCP ( ) ( ) RD w RD P 2 2 P ( ) P RCP t ( t 3) 2 P ( t ) P ( t 3) ( RD 1) w ( RD 1) P ( RD 1) RCP ( ) ( ) RD w RD P 5 3 RCP 1 ( RD 1) w ( RD 1) P ( t 5) P ( t ) P ( RD 1) 3 P ( t 5) P ( t ) RCP ( ) ( ) RD w RD P P ( t 6) P ( t 5) 6 0 RCP ( ) ( ) RD w RD P For the avodance of doubt, when the -th Index Component has a four-day roll (.e. NR = ), CSR (RD-1) and CSR (RD) wll be computed as shown below, durng a sx-day Rollover Perod and lmt moves on days t=1 and t=3: t NR DR CSR ( RD 1) CSR (RD) 1 0 P ( t 1) P ( t RD) RCP ( RD 1) w ( RD 1) 0 P ( RD 1) 2 1 RCP 3 ( RD 1) w ( RD 1) P ( t 2) P ( t 1) P ( RD 1) 1 P ( t 2) P ( t 1) RCP ( ) ( ) RD w RD P P ( 3) P RCP t ( t 2) 1 P ( t 3) P ( t 2) ( RD 1) w ( RD 1) P ( RD 1) RCP ( ) ( ) RD w RD P 2 RCP 2 ( RD 1) w ( RD 1) P ( t ) P ( t 3) P ( RD 1) 2 P ( t ) P ( t 3) RCP ( ) ( ) RD w RD P P ( 5) P RCP t ( t ) 3 P ( t 5) P ( t ) ( RD 1) w ( RD 1) P ( RD 1) RCP ( ) ( ) RD w RD P P ( t 6) P ( t 5) 6 0 RCP ( ) ( ) RD w RD P , v. 1

16 P a g e 16.. Calculaton of the value of the Trader Vc Index ( TVI ) The Index s a total return Index, whch means t ncorporates the returns of the Index Excess Return and the Interest Rate Component. The value of the Index ( Index Value ) wll be calculated and publshed by the Index Calculator on every Busness Day t accordng to the followng formula, subect to a Market Dsrupton Event: On the Index Incepton Date (t=0), the ntal Index Value wll be USD ( Intal Index Value ): TVI(0)=1000 On all other days, the value of the Index s comprsed of two components: For any tme t (t > RD): TVI(t) = I(t) + R(t), TVIER( t) TVIER( RD) I( t) TVI( RD) 1 TVIER( RD) I(t) TVI(RD) means the value of the Index wthout the mpact of the Interest Rate Component on Busness Day t; and means the value of Index on the Rollover Date mmedately precedng Busness Day t. On the Rollover Date (t=rd), I(t) s frst calculated usng the current Relevant Contract before the Relevant Contract s rolled over accordng to the rules descrbed n Secton 3: The Interest Rate Component s calculated as follows (t>rd): R(t) s re-nvested based on the value of the Index Total Return on the most recent Rollover Date, and represents the accrued nterest from the prevous Rollover Date to (and ncludng) the current Busness Day, whch may also be a Rollover Date. R( t) TVI( RD) RD means the most recent Rollover Date pror to Busness Day t; t d RD ( d d r( d') ') d means the Busness Day t; d means the Busness Day t-1 mmedately precedng Busness Day t; TVI(RD) means the value of the Index Total Return on Rollover Date mmedately precedng Busness Day t; R(t) means the value of the Interest Rate Component on Busness Day t; r(d ) (d-d ) means the US 3-Month T-Bll hgh dscount rate at aucton as publshed on Bloomberg page USB3MTA <Index>; and means the number of calendar days between d and d. 5. Re-balancng of the Index The weght of each Sector wll be rebalanced monthly to the relevant Sector Base Weght over the Rollover Perod applcable to each Sector Index Component, subect to the Sector Poston of Energy ( Re-balancng ), n accordance wth Sectons 2.2 and 3. The monthly rebalancng of a Sector s weght s transtoned nto at the Rollover Tme over the applcable Rollover Perod for each of the Sector s Index Components. For each Sector wth more than one Index Component, the relatve weghtng of each Index Component wthn such Sector s allowed to fluctuate ntra-year and wll rebalance to the relevant Index Component Base Weght only at the Rollover Tme over the Rollover Perod for each Index Component commencng on the Annual Re-weghtng Date , v. 1

17 P a g e 17 The bass for the Re-balancng shall be the Settlement Prces of the Relevant Contracts (ncludng both the prevous Relevant Contract and the current Relevant Contract beng transtoned nto, where applcable) of the Index Components at the Rollover Tme durng the applcable Rollover Perod for each Index Component respectvely. 6. Annual Re-weghtng of the Index The weght of each Index Component n a Sector wth more than one Index Component wll be rebalanced to the relevant Index Component Base Weght over the Rollover Perod for the relevant Index Component commencng on the Annual Re-weghtng Date, subect to the Sector Poston of Energy ( Annual Re-weghtng ). Annual Re-weghtng of the Index wll be appled n accordance wth the Index Component Number of Roll Days shown n Table 2(a), begnnng at the Rollover Tme over the applcable Rollover Perod for the Index Component commencng on the Annual Re-Weghtng Date. 7. Trader Vc Index Commttee In order to best adapt to changes n commodty and fnancal futures markets, such as contnuous adverse tradng condtons for a Futures Contract, a sgnfcant change n the outlook for an underlyng or crtcal changes n the global consumpton pattern, an ndex commttee ( Index Commttee ) formulates and enacts all busness assessments and decsons regardng the calculaton, composton and management of the Index, ncludng but not lmted to changes n Index Components, Futures Contracts, the Roll Schedule, the Index Component Number of Roll Days, Sector Base Weghts and/or Index Component Base Weghts. As the Index Commttee s comprsed of ndvduals wth substantal knowledge and expertse n the commodtes and fnancals felds, the Index Commttee plays a sgnfcant role n the mantenance of the Index. The Index Commttee may assemble on any day of the year to deal wth sgnfcant changes to underlyng Index Components. The Index s desgned to be a stable ndex, and the Index Commttee may meet and enact changes that seek to keep the Index performance stable. As of the date of ths Index methodology, the Index Commttee conssts of the followng members: Member s name Nomnated Representatve Vctor Sperandeo (Index charperson) EAM Partners L.P. Adam Watts EAM Partners L.P. A member apponted by NatWest Markets Plc (prevously The Royal Bank of Scotland plc) (1) A member apponted by NatWest Markets Plc (prevously The Royal Bank of Scotland plc) (2) Any amendments or alteratons to the Index methodology wll requre at least a specal maorty (75%) approval vote by the Index Commttee members to be accepted. The Index Commttee wll use commercally reasonable efforts to provde, on a tmely bass, Index lcensees and the Index Calculator wth pror notce of all amendments or alteratons to the Index methodology. New members may be added to the Index Commttee f agreed by all of the exstng members of the commttee at the tme such decson s taken. Any current member (other than Vctor Sperandeo) may be removed from the Index Commttee f agreed by all other exstng members of the commttee at the tme such decson s made. In order to consttute a quorum, all current Index Commttee members (or ther appontees) must partcpate n the Index Commttee meetng. 8. Publcaton of the Index The daly prces of the Index and the Index Excess Return wll be publshed on Bloomberg pages TVICTR <Index> and TVICER <Index>, respectvely. Upon the occurrence of a Market Dsrupton Event on any Busness Day, the Index Value wll be calculated and publshed as set forth under Secton 9 below, whch n general provdes that the Index Calculator shall not publsh the Index Value on such day or any subsequent Busness Day on whch the Market Dsrupton Event s contnung. 9. Market Dsrupton Event Dsclamer If, n the determnaton of the Index Calculator, a Market Dsrupton Event has occurred on any Busness Day, the Index Value wll be calculated and publshed by the Index Calculator on the frst succeedng Busness Day on whch the Index Calculator determnes that there s no Market Dsrupton Event, unless the Index Calculator determnes that there s a Market Dsrupton Event occurrng on each of the eght Busness Days mmedately followng the orgnal Busness Day on whch (but for the Market Dsrupton Event) the Index Value would have been calculated and publshed by the Index Calculator. In that case, on such nnth Busness Day, the Index Calculator shall determne the Settlement Prce of the Relevant Contract of the Index Component affected by the Market Dsrupton Event and the Index Value havng regard to the then prevalng market condtons, the last reported tradng prce of the respectve , v. 1

18 P a g e 18 Index Components and such other factors as the Index Calculator determnes to be relevant. Any such determnaton shall be made wth the pror consent of the Index Commttee. If, n the determnaton of the Index Calculator, a Market Dsrupton Event has occurred for an Index Component on a Busness Day durng the Rollover Perod, the relevant roll for such Index Component on such Busness Day, shall be postponed to the frst succeedng Busness Day on whch the Index Calculator determnes that there s no Market Dsrupton Event, unless the Index Calculator determnes that there s a Market Dsrupton Event occurrng on each of the subsequent Busness Days mmedately followng the orgnal Busness Day on whch such Index Component would have rolled (but for the Market Dsrupton Event) up to the nnth Busness Day of the month. In that case () the relevant roll of the Index Component shall take place on the nnth Busness Day of the month (and each subsequent Busness Day f there s more than one Busness Day remanng n the applcable Rollover Perod for such Index Component) regardless of the Market Dsrupton Event; and () the Index Calculator shall determne the Settlement Prce of the Relevant Contract (or Contracts) of the Index Component affected by the Market Dsrupton and the Index Value havng regard to the then prevalng market condtons, the last reported tradng prce of the respectve Index Components and such other factors as the Index Calculator determnes to be relevant. Any such determnaton shall be made wth the pror consent of the Index Commttee. Any determnatons or actons by the Index Calculator wth the consent of the Index Commttee as descrbed above may nclude, among others but wthout lmtaton: () () () (v) (v) acceptng the prce or level of any Index Component of or nstrument referenced by the Index publshed on any alternatve prce source; f no alternatve prce source s avalable, selectng a substantally smlar component for the Index or nstrument at a value determned by the Index Calculator; removng the affected Index Component from the Index at a value determned by the Index Calculator, thereby resultng n a decrease n the Index Value by a commensurate amount; f no alternatve prce source or smlar nstrument or component s avalable, adust, amend or otherwse alter the methodology n accordance wth sectons 10 and 12; and f none of the foregong wll acheve the obectve of the Index, permanently cease to calculate and/or dssemnate levels for the Index. Further, notwthstandng the foregong, f, on any Busness Day, there s a suspenson of or lmtaton on tradng by the Recognsed Exchange by reason of movements n prce of one or more Futures Contracts of an Index Component settlng at the Lmt Prce (up n the case of lmt-up or down n the case of lmt-down) permtted by the Recognsed Exchange and such suspenson or lmtaton occurs durng the Rollover Perod for such Index Component then the closng value of the Index may be adusted as descrbed n Secton above. 10. Adustment Events The Index methodology may be adusted, amended, deleted or otherwse altered by the Index Sponsor at any tme, effectve on such date as the Index Sponsor shall desgnate, wth the consent of the Index Commttee. These adustments may nclude, but are not lmted to the followng: (a) (b) (c) (d) Illegalty: any adustments requred because t has become unlawful n any applcable ursdcton to () sell or purchase any of the Index Components or Futures Contracts or () use any Index Component or Futures Contract n the Index; or Clarfcaton: any adustments requred for clarfcaton or for mnor or techncal reasons, ncludng (wthout lmtaton) () to correct any manfest or proven error or to cure, correct or supplement any ambguty or defectve provson contaned n ths Index methodology and () clarfyng, mnor or techncal adustments made to the Index to ensure that the Index comples wth the requrements of the Councl Drectve of 20 December 1985 on the co-ordnaton of laws, regulatons and admnstratve provsons relatng to undertakngs for collectve nvestment n transferable securtes (No 85/611/EEC) as amended from tme to tme and supplemented n smlar laws or regulatons for fnancal ndces; or Termnaton: any Index Component or Futures Contract referenced n the Index s termnated or modfed or changed n any other way; or Integrty: such other adustments as are necessary to ensure the ntegrty of the Index; each an Adustment Event. The Index Sponsor wll use commercally reasonable efforts to provde, on a tmely bass, Index lcensees and the Index Calculator wth pror notce of all Adustment Events. The Index Sponsor shall publsh notces of any Adustment Events n accordance wth Secton 11 (Notce) below , v. 1