Aurora Dynamic. Bloomberg Code: BNPIAUDY Index. Reuters Code:.BNPIAUDY INDEX RULE BOOK

Transcription

1 Aurora Dynamic Bloomberg Code: BNPIAUDY Index Reuers Code:.BNPIAUDY INDEX RULE BOOK This Rule Book ses ou he descripion of he Index and he Index Rules which are applied by he Index Sponsor and he Index Calculaion Agen o deermine he calculaion of he Index from ime o ime. Final Version: 5 January / 39

2 . CONTENTS Secion Page I. Par A - Index Specific Rules DESCRIPTION OF THE INDEX ADJUSTMENTS TO INDEX COMPONENTS CALCULATION OF THE INDEX LEVEL AND PUBLICATION OF THE INDEX LEVEL NON-SCHEDULED TRADING DAYS, DISRUPTED DAYS AND NON-PUBLICATION OF AN INDEX COMPONENT LEVEL ADDITIONAL DEFINITIONS INDEX METHODOLOGY INDEX ADJUSTMENT, SUSPENSION AND TERMINATION EVENTS II. Par B - Index Componen Adjusmen Rules III. Par C - General Index Rules ROLES OF THE INDEX CALCULATION AGENT AND THE INDEX SPONSOR AND THE INDEX INVESTMENT ADVISOR WHERE APPLICABLE SUPPLEMENTS, AMENDMENTS, MODIFICATIONS AND WITHDRAWAL OF THE INDEX RULES RULES FOR THE PERIODICAL ADJUSTMENT OF THE INDEX COMPOSITION CORRECTIONS TO THE LEVEL OF THE INDEX DISCLAIMER IN RELATION TO THE INDEX OTHER IMPORTANT INFORMATION FORM OF DISCLAIMER TO BE USED ON TERM SHEETS AND ISSUANCE DOCUMENTATION FOR PRODUCTS LINKED TO THE INDEX IV. APPENDIX 1 - ADJUSTMENTS FOR INDEX COMPONENT TYPE "FUND SHARE" V. APPENDIX 2 - ADJUSTMENTS FOR INDEX COMPONENT TYPE "CUSTOM INDEX" / 39

3 . I. Par A - Index Specific Rules 1. DESCRIPTION OF THE INDEX The Aurora Dynamic (he "Index") is a euro (, he "Index Currency") denominaed Index. The objecive of he Index is o provide synheic exposure o he performance of a baske of accumulaion fund shares (each an Index Componen ), where he weigh of each Index Componen is rebalanced daily in accordance wih a proprieary allocaion algorihm aimed a maximizing reurn for a predeermined level of risk. The Index was esablished based on hisorical backesing on December 30 h, 2014 (he "Index Sar Dae") wih an iniial level of index poins (he "Iniial Index Level"). The mehodology of he Index is se ou in Secion 6 (Index Mehodology). The Index is a "Toal Reurn" index. As a consequence, he level of he index reflecs a value assuming reinvesmen of all dividends and disribuions declared. The Index is par of he Millenium Indices family of BNP Paribas indices. The Index is calculaed, mainained, rebalanced and published by BNP Paribas Arbirage SNC (he "Index Calculaion Agen") and sponsored by BNP Paribas (he "Index Sponsor"). The Index is calculaed and published on a daily basis by he Index Calculaion Agen. The Index Sponsor has no appoined an Index Invesmen Advisor in respec of he Index. Volailiy Conrol Mechanism In order o conrol he volailiy risks associaed wih he Index, a volailiy conrol mechanism is buil in. When he Index Calculaion Agen deermines ha he volailiy of he Index has exceeded he maximum volailiy arge (he "Maximum Volailiy Targe") of 10.00%, hen he exposure of he Index o Index Componens will be reduced and a corresponding porion of he Index will reference money marke asses, wih he aim of mainaining he volailiy of he Index below he Maximum Volailiy Targe. Composiion of he Index On he Index Sar Dae, he Index was comprised of Index Componens of he ype (each an "Index Componen Type") and currency denominaion se ou in he able below: n Name Index Componen Type 1 THEAM Quan - Equiy US Guru/Luxe mbourg P 2 BNP PARIBAS L1 Fund share Fund share ISIN BBG Currency Exchange LU LU TQEUSGP LX Equiy FOREQUI LX Equiy USD USD No No 3 / 39

4 EQUITY USA CORE 3 PARVEST EQUITY BEST SELECTIO N O Fund share LU FOEBSEI LX Equiy No 4 THEAM Quan Equiy Europe Guru Fund share FR HARQEEA FP Equiy No 5 BNP PARIBAS L1 EQUITY OPE Fund share LU FOREQEI LX Equiy No 6 PARVEST EQUITY WORLD LOW VOLATILI TY Fund share LU INTEBEI LX Equiy No 7 PARVEST EQUITY WORLD EMERGIN G Fund share LU FOEQWEI LX Equiy USD No 8 PARVEST BOND WORLD INFLATIO N-LINKED Fund share LU PAWDLIC LX Equiy No 9 PARVEST BOND O GOVERNM ENT Fund share LU PAREABI LX Equiy No 10 PARVEST BOND O Fund share LU PAREBOI LX Equiy No 11 PARVEST BOND O INFLATIO N-LINKED Fund share LU PAEILIC LX Equiy No 12 BNP PARIBAS L1 BOND Fund share LU GBDRPIL LX Equiy No 4 / 39

5 WORLD PLUS 13 PARVEST BOND O CORPORA TE Fund share LU PARECPI LX Equiy No 14 PARVEST BOND O HIGH YIELD Fund share LU FOCHYEI LX Equiy No 15 PARVEST BOND WORLD HIGH YIELD Fund share LU FLBHYIE LX Equiy No 16 PARVEST BOND WORLD EMERGIN G LOCAL Fund share LU FORBLIC LX Equiy USD No 17 PARVEST BOND WORLD EMERGIN G Fund share LU PAREMBI LX Equiy USD No 18 PARVEST CONVERTI BLE BOND OPE Fund share LU PARECBI LX Equiy No 19 BNP PARIBAS L1 MULTI- ASSET INCOME Fund share LU BMAINCI LX Equiy No 20 BNPP Paribas USD Forward Index Cusom Index XEEXTIDX 0184 BNPIUSEU index No To deermine he Index Levels from he Index Sar Dae, values of he Index Componens and he Index for a period beween December 30 h, 2013, he "Index Iniial Daa Dae" and he Index Sar Dae were used o esablish he necessary performance hisory required for he operaion of he Index Rules. No all values for he Index Componens were available (or were deemed suiable) from he Index Iniial Daa Dae. Consequenly, a any given dae prior o he Index Sar Dae, values for he Index Componens and he Index may have been simulaed or approximaed by or from subsiue asses obained from sources deemed o be appropriae and may include oher marke indices and excess reurn versions of he Index Componens when available. 5 / 39

6 On any day, he curren composiion of he Index will be available on hps://indicesglobalmarkes.bnpparibas.com. 2. ADJUSTMENTS TO INDEX COMPONENTS If any Index Componen ceases o exis or is, or would be, subjec o an adjusmen pursuan o he provisions of any Appendix hereo, or if he Hedging Pary informs he Index Sponsor ha a Hedging Disrupion Even has occurred in respec of ha Index Componen, he Index Sponsor (and, where applicable, following consulaion wih he Index Invesmen Advisor), acing in good faih and in a commercially reasonable manner, may: (a) require he Index Calculaion Agen o (i) effec no change o he Index, (ii) adjus he Index in such manner as he Index Sponsor and, where applicable, he Index Invesmen Advisor, deem appropriae including, bu no limied o, replacing such Index Componen wih a replacemen Index Componen, or (iii) coninue o calculae and publish (as applicable) he Index wihou such Index Componen or any replacemen herefore, subjec o he provisions of Secion 6 (Index Mehodology); or (b) if he Index Sponsor deermines ha none of subparagraphs (a)(i) hrough (iii) are appropriae or pracicable, erminae he Index in accordance wih is policies and procedures. The aim of he Index Calculaion Agen when making any such operaional adjusmens is o ensure ha, so far as possible, he basis principles and economic effec of he Index are mainained. 3. CALCULATION OF THE INDEX LEVEL AND PUBLICATION OF THE INDEX LEVEL 3.1 The Index is calculaed on or in respec of each Index Level Calculaion Dae, as furher described in Secion 6 (Index Mehodology), subjec o he provisions of his Secion 3 (Calculaion of he Index Level and Publicaion of he Index Level) and Secion 4 (Non-Scheduled Trading Days, Disruped Days and Non-Publicaion of an Index Componen Level). The Iniial Index Level and he iniial composiion of he Index on he Index Sar Dae is se ou in Secion 1 (Descripion of he Index) and (Composiion of he Index) respecively. Where an Index Componen is denominaed in a currency oher han he Index Currency, he conversion of he level or price, as he case may be, for such Index Componen ino he Index Currency shall be deermined by he Index Calculaion Agen on he basis of he official fixing of he foreign exchange reference raes as published on Reuers page WMRSPOT01 based on he USD crossing, for he currency in which he relevan Index Componen is denominaed, or any oher source ha he Index Sponsor may deem appropriae. 3.2 Subjec o Secion 4 (Non-Scheduled Trading Days, Disruped Days and Non-publicaion of an Index Componen Level) of his Par A, on each Publicaion Dae he Index Calculaion Agen will publish he Index Level as a he las preceding Index Level Calculaion Dae (which is expeced o be 2 Business Days prior o he Publicaion Dae). The Index Level will be published by he Index Calculaion Agen on Bloomberg Screenpage BNPIAUDY Index and Reuers Ticker.BNPIAUDY, or any successor pages hereo, and on any oher daa provider as he Index Sponsor deems appropriae. In he even of inconsisency beween Index Levels published on Bloomberg or Reuers or any oher daa provider's sysem hen he Index Level published on Bloomberg shall prevail. 4. NON-SCHEDULED TRADING DAYS, DISRUPTED DAYS AND NON-PUBLICATION OF AN INDEX COMPONENT LEVEL 4.1 If any Business Day is a non-scheduled Trading Day, is no a Reference Index Level Publicaion Day, 6 / 39

7 or is a Disruped Day (as applicable) in respec of one or more Index Componens (an "affeced Index Componen(s)"), hen he Index Sponsor may : (i) deem such a day o be an Index Level Calculaion Dae and require he Index Calculaion Agen o calculae and publish he Index Level in respec of such day (a) using he las value which was available in respec of he affeced Index Componen(s), or (b) using a good faih esimae of he value of he affeced Index Componen(s) or (c) deeming, for he purposes of calculaing he Index Level, he value of any one or more of such affeced Index Componens o be equal o zero. The Index Sponsor may furher deermine ha such dae is no an Index Trading Day, nowihsanding ha i is an Index Level Calculaion Dae; or (ii) deem such a day no o be an Index Level Calculaion Dae and as a consequence require he Index Calculaion Agen no o calculae and publish he Index Level in respec of such day eiher (a) in he case of non-scheduled Trading Days, unil he nex following Scheduled Trading Day; or (b) in he case of Disruped Days, for a period no exceeding he Maximum Number of Days of Disrupion provided ha afer he Maximum Number of Days of Disrupion has elapsed, he Index Sponsor may require he Index Calculaion Agen o eiher resume he calculaion and publicaion of he Index Level in accordance wih subsecion (i) above or make such adjusmen o he Index as he Index Sponsor and he Index Invesmen Advisor, where applicable, deems appropriae in accordance wih Secion 2 (Adjusmens o Index Componens) above, including, bu no limied o, replacing such affeced Index Componen(s) wih replacemen Index Componen(s). 4.2 In addiion o he righs se ou in Secion 4.1 above, he Index Sponsor may require he Index Calculaion Agen o delay or suspend he calculaion and publicaion of he Index Level for a period no exceeding he Maximum Number of Days of Disrupion, or disconinue he calculaion and publicaion of he Index Level, if i deermines ha any even or circumsance has occurred and is coninuing which would make he deerminaion of he Index Level impossible or impracicable including, wihou limiaion, any even or circumsance ha does no resul in a Disruped Day and which is conemplaed in Par B (Index Componen Adjusmen Rules) of hese Index Rules or any even or circumsance ha inerrups he abiliy of he Index Sponsor, he Index Invesmen Advisor, where applicable, or Index Calculaion Agen o perform is duies in respec of he Index. 5. ADDITIONAL DEFINITIONS 5.1 In hese Index Rules: An Addiional Exraordinary Reference Fund Even shall be deemed o occur if, a any ime, he Hedge Provider, direcly or indirecly, holds, owns or conrols 20% or more (voing or non-voing) of he ousanding Reference Fund Shares of a Reference Fund (each as defined in Appendix 1) which is an Index Componen; "Business Day" means any week day excep for 25 December and 1 January in each year. 7 / 39

8 "Disruped Day" in respec of any Index Componen has he meaning given o such erm in he Appendix of hese Index Rules for he relevan Index Componen Type deailed in Secion 1 (Descripion of he Index) of Par A. "Hedging Disrupion Even" means, in respec of any Index Componen(s), he occurrence of any even ha he Index Sponsor deermines in good faih and in a commercially and reasonable manner would maerially resric any Hedge Provider from: (i) acquiring, esablishing, re-esablishing, subsiuing, mainaining, unwinding or disposing of asse(s), ransacion(s) or any fuures or opion conracs on any asse o hedge any relevan price risk associaed wih enering ino and performing is obligaions in relaion o a relevan Index Componen(s); (ii) freely realising, recovering, receiving, repariaing, remiing or ransferring he proceeds of hedge posiions relaing o a relevan Index Componen beween accouns wihin he jurisdicion of he hedge posiions (he "Affeced Jurisdicion") or from accouns wihin he Affeced Jurisdicion o accouns ouside of he Affeced Jurisdicion; (iii) deermining a rae a which any currency relevan o he relevan Index Componen(s) or hedge posiions relaing o he Index may be convered ino he Index Currency; or (iv) convering any currency relevan o he Index Componen(s) or he hedge posiions relaing o he Index or he Index Componen(s) ino anoher currency relevan o such hedge posiions or Index Componen(s). "Hedge Provider" means a hypoheical pary ha would hedge an issuer's obligaions in respec of a produc linked o he Index. "Hedging Pary" means BNP Paribas S.A. or any of is affiliaes hedging a ransacion linked o he Index. "Index Level" means he level of he Index on any relevan day. "Index Level Calculaion Dae" means each Business Day on which he Index Calculaion Agen deermines ha i is able o calculae he Index Level, based on he availabiliy of he prices, levels or values of he Index Componens and subjec o he provisions of Secion 4 of Par A of he Index Rules. "Index Rules" means he rules in relaion o he Index as se ou in Pars A o C and each Appendix in respec of relevan Index Componen Types (inclusive) hereo. "Index Trading Day" means any Business Day on which a Hedging Pary deermines ha i is able o acquire, esablish, re-esablish, subsiue, mainain, unwind or dispose of any asse i deems necessary o hedge is obligaions in respec of such Index. "Maximum Number of Days of Disrupion" means 20 Scheduled Index Business Days. "Publicaion Dae" means he Business Day following each Index Level Calculaion Dae. "Scheduled Index Business Day" means any week day ha is scheduled o be boh an Index Level Calculaion Dae and an Index Trading Day. "Scheduled Trading Day" in respec of any Index Componen has he meaning given o such erm in he Appendix of hese Index Rules for he relevan Index Componen Type deailed in Secion 1 of Par A. 5.2 Unless a conrary indicaion appears any reference in he Index Rules o: 8 / 39

9 5.2.1 he "Index Calculaion Agen", he "Index Sponsor", he "Index Invesmen Advisor", where applicable, and any oher person shall be consrued so as o include is successors in ile, permied assigns and permied ransferees; any agreemen or insrumen is a reference o ha agreemen or insrumen as amended, novaed, supplemened, exended, replaced or resaed; a "person" includes any individual, firm, company, corporaion, governmen, sae or agency of a sae or any associaion, rus, join venure, consorium or parnership (wheher or no having separae legal personaliy); a "regulaion" includes any regulaion, rule, official direcive, reques or guideline (wheher or no having he force of law) of any governmenal, inergovernmenal or supranaional body, agency, deparmen or regulaory, self-regulaory or oher auhoriy or organisaion; and a provision of law is a reference o ha provision as amended or re-enaced. 5.3 Par, Secion, and Appendix headings are for ease of reference only. 6. INDEX METHODOLOGY 6.1 Index Level Calculaion On any Index Level Calculaion Dae, used Asse i, + 1 cash Cash + 1 Index = Index Noional i, 1 Noional 1 wih i Asse i, Cash Cash Cash Where: = Cash 1 + Eonia 1 1 ( 0 ) = Index(0) = 100 Ac( 1, ) 360 i 19 means i= 1 Index0 means 100, being he Iniial Index Level; used Noional i, Used Noional for Index Componen i, deermined in accordance wih he provisions of Secion 6.2 (Used Noional Calculaion), below; 9 / 39

10 cash Noional Used Noional for Cash, deermined in accordance wih he provisions of Secion 6.2 (Used Noional Calculaion), below; Eonia means he Euro Overnigh Index Average rae published a Cenral European Time on Bloomberg Screenpage EONIA Index, on TARGET 2 Selemen Day, provided ha, if no rae is so published, he Index Calculaion Agen will deermine such rae from such oher source as i in is absolue discreion may deem appropriae. Asse i, means: (i) in respec of Index Componens 3 o 6, 8 o 15, 18 and 19, he Ne Asse Value per Fund Share of Index Componen i on Index Level Calculaion Dae : Asse = i, Asse Curr i, (ii) in respec of Index Componens 1, 2, 7, and 16, he Ne Asse Value per Fund Share of Index Componen i on Index Level Calculaion Dae in he Index Currency, deermined in accordance wih he following formula: Asse Fx + Asse = ; Fx Curr i, + 1 i, + 1 Assei, Curr Assei, Curr 1 Curr (iii) in respec of Index Componen 17, he Ne Asse Value per Fund Share of Index Componen i on Index Level Calculaion Dae in he Index Currency, deermined in accordance wih he following formula: Asse = Asse Curr Curr Curr Asse i,+ 1 Fx Asse , ; Curr Curr Asse i, Fx Asse 20, i, + 1 i, Curr where: Asse i, 0 = 100 Asse, means Ne Asse Value per Fund Share of Index Componen i on Index Level Curr i Calculaion Dae Curr Asse 20, means he daily official level of Index Componen 20 on Index Level and Calculaion Dae, as deermined by he Index Calculaion Agen Fx Curr means he exchange rae a which he currency in which Index Componen i is denominaed on Index Level Calculaion Dae may be exchanged for he Index Currency, deermined in accordance wih he provisions of Secion / 39

11 6.2 Used Noional Calculaion Used Noional Calculaion if pb(,i) used used Noionali, = Noionali, 1 else used arge _ final Noional i, = Noionali, lag(i) and Noional cash = Index i Noional used i, Noional i, Noional = 0 for all i used used 0 = i, 1 = Targe Noional Calculaion if + lag(i) pb( + lag(i),i) arge_final Noional i, arge_final = Noional i, 1 else Noional arge_final i, = Noional arge_final i, 1 + arge_final arge_final max_move_noional _ UPi, [ W Index Noional ] i, i, 1 max_move_noional _ DOWNi, wih max_move_n oional _ UP = max_move Index max_move_noional _ DOWN = i, i arge_final ( max_move Index Noional ) i, max i, i, lag _ se ( i) arg e _ final Noional i, 0 = 0 for all i = Final Targe Weigh Calculaion if + lag(i) pb( + lag(i),i) arge_final W i, arge_final = W i, 1 else arge_aux [ Exposure ] W arge_final i, = Wi, cap final i, final i, floor wih arge_final ( maxmove ) cap + final i, = min cap i,wi, 1 i 11 / 39

12 floor final i, arge_final ( 0,W maxmove ) = max i, 1 i arge_final Wi,0 = 0 where: 0 pb(,i) lag(i) lag_se(i) maxmove i cap i floor i Gap i The Index Iniial Daa Dae; The las Business Day preceding Index Level Calculaion Dae which is a Scheduled Trading Day (as appropriae) in respec of each Index Componen i from 1 o 19; 2 Scheduled Trading Days; 5 Scheduled Trading Days; maximum weigh increase beween wo consecuive Scheduled Trading Days (as appropriae) for Index Componen i as saed in he able below maximum weigh for Index Componen i as saed in he able below minimum weigh for Index Componen i when calculaing he Gross Weighs in Secion as saed in he able below gap coefficien for Index Componen i when calculaing he Gross Weighs in Secion as saed in he able below Index Componen i floor cap maxmove Gap % % 1.65% 20.00% % % 1.65% 20.00% % % 3.30% 20.00% % % 3.30% 20.00% % % 3.30% 20.00% % % 2.64% 20.00% % % 0.66% 25.00% % % 0.58% 16.70% % % 2.31% 10.00% % % 2.31% 10.00% % % 0.58% 16.70% % % 0.68% 14.30% % % 0.68% 14.30% % % 0.68% 16.70% % % 0.68% 16.70% 12 / 39

13 % % 0.68% 20.00% % % 0.68% 20.00% % % 0.68% 16.70% % % 3.00% 16.70% Exposure Calculaion vol_arge Exposure = min 1, max( VolBsk, VolBsk ) where VolBsk n_volbsk n_volbsk -1 n_volbsk -1 n_volbsk = 252 ln( RBsk, k ) ln( RBsk n_volbsk -1 n_volbsk k= 0 n_volbsk k= 0, k 2 ) and arge_aux Assei, s RBsk = +, s 1 Wi, 1 i Assei, s 1 wih: vol_arge Maximum Volailiy Targe, as defined in Secion 1 (Descripion of he Index) Targe_aux Weigh Calculaion The Targe Weigh shall be deermined in accordance wih he following provisions: arge_aux arge_aux = i, 1 Wi, W if + lag( i) pb( + lag( i), i) else arge_aux, = W i W wih cap gross [ ] i, cap floor aux i, aux i, min( cap, W aux arge_aux i, = i i, 1 + maxmove ) i 13 / 39

14 aux arge_aux floor i, = max( 0, Wi, 1 maxmove i ) arge_aux W i,0 = Gross Weigh Calculaion The algorihm aims a maximising he Index reurn, while conrolling is volailiy. I is based on an opimisaion echnique used in he Capial Asse Pricing Model ( CAPM ) and Markowiz s Modern Porfolio Theory and is used o deermine wheher o increase or reduce hese weighs allocaed o each Index Componen Type. - Phase 1: Porfolio Calculaion The Index Calculaion Agen calculaes on each Index Level Calculaion Dae, a Porfolio_Targe_Reurn() and a Porfolio_Volailiy() for a finie number of weighed combinaions of Index Componens respecing he following consrains: N i= 1 N i= 1 W W gross i, gross i, max_sum_weighs Gap max_gap for each i, 1 i N, i floor W i gross i, cap i where max_sum_weighs is he maximum sum of weighs argeed and is equal o 100% and max_gap is he maximum gap argeed and is equal o 20% On any Index Level Calculaion Dae subsequen o he Index Sar Dae: abs gross gross ( W W ) maxmove for 1 i N i, i,-1 i - Phase 2: Volailiy selecion Among all he weighed combinaions found a he conclusion of Phase 1, he Index Calculaion Agen will reain only hose which mee he following crieria: Porfolio_Volailiy () < vol_arge If his canno be achieved, vol_arge shall be increased in incremens of 1% unil a leas one Porfolio mees he crieria. - Phase 3: Porfolio selecion Among all he weighed combinaions found a he conclusion of Phase 2, he Calculaion Agen will reain he combinaion ha maximizes he Porfolio_Targe_Reurn () 14 / 39

15 where: PV() = Porfolio_Volailiy (): Hisorical 60 Business Days half-life volailiy given by gross Covar( ) PV ( ) = W W gross where for any ineger i,j in [1,N] Covar Asse ) 252 Asse Asse 1 Asse i, j, i, j ( ) = λ n_var Covari, j ( 1) + (1 λn_var i, 1 j, 1 1 wih he iniial covariance deermined as follows: and for any ineger n 2 iniial_vol if i = Covar i, j (0) = 0 else j 1 λ n = 2 1 n n_var gross Porfolio covariance calculaion lengh, equal o 60 iniial_vol 10% and where: PTR() = Porfolio_Targe_Reurn() is given by PTR ( ) = W i, ARi, i gross where AR, represens he expeced reurn of i Asse i on Index Level Calculaion Dae : AR n _ asian 1 1 i, j i, = 1 n _ asian j= 0 Assei, j n _ rend Asse where n_asian number of days used o average he calculaion of AR i, equal o 5 15 / 39

16 n_rend number of Index Level Calculaion Daes for AR i, calculaion, equal o INDEX ADJUSTMENT, SUSPENSION AND TERMINATION EVENTS 7.1 Upon he occurrence of an Index Increased Cos of Mainenance Even, he Index Sponsor shall ake ino accoun as i deems appropriae, any amendmen, correcion or any poenial adjusmen of he Index of whasoever naure relaing o he Index Increased Cos of Mainenance Even and may require he Index Calculaion Agen o make adjusmens o he Index o reflec he Index Increased Cos of Mainenance Even. In making any such adjusmens he Index Sponsor may eiher i) require he Index Calculaion Agen o subsiue an exising componen in he Index wih a replacemen componen which i deems suiable and perform he necessary adjusmens o he Index, or ii) where he Index Sponsor deermines in good faih and a commercially reasonable manner ha no such subsiuion is appropriae or pracicable, erminae he Index in accordance wih is policies and procedures. Where: An "Index Increased Cos of Mainenance Even" shall be deemed o have occurred if he Index Sponsor acing in good faih and a commercially reasonable manner deems ha he amoun of ax, duies, expenses, fees and raes (including wihou limiaion any sock loan and/or sock borrowing and/or repo and/or replicaion coss or raes) of acquiring, esablishing, re-esablishing, subsiuing, mainaining, unwinding or disposing of any ransacions or asses i deems necessary o ener ino in order o compue, compile, hedge and/or mainain he Index has increased since he dae he Index was launched. 7.2 Upon he occurrence of an Index CSR Even, he Index Sponsor may require he Index Calculaion Agen o make any adjusmens o he Index as i deems appropriae o accoun for he Index CSR Even. In making any such adjusmens, he Index Sponsor may eiher i) require he Index Calculaion Agen o subsiue an exising Index Componen wih a replacemen Index Componen which i deems suiable and perform he necessary adjusmens o he Index or ii) where he Index Sponsor deermines in good faih and a commercially reasonable manner ha no such subsiuion is appropriae or pracicable, erminae he Index in accordance wih is policies and procedures. Where: An "Index CSR Even" shall be deemed o have occurred if he Index Sponsor, acing in good faih and a commercially reasonable manner, deermines ha he inclusion or reenion of any Index Componen in he Index would resul in he Index Sponsor breaching any corporae social responsibiliy policy mainained by he Index Sponsor or any of is affiliaes. 7.3 Upon he occurrence of an Index Force Majeure Even, he Index Sponsor may suspend he Index unil he end of he Index Force Majeure Even (he "Index Suspension Period"). If he Index Suspension Period exceeds one monh he Index Sponsor may eiher i) require he Index Calculaion Agen o adjus he Index aking ino accoun as i deems appropriae, any amendmen or poenial adjusmen of he Index of whasoever naure relaing o he Index Force Majeure Even and in making any such adjusmens he Index Sponsor may advise he Index Calculaion Agen o subsiue an Index Componen in he Index wih a replacemen componen which i deems suiable and subsequenly 16 / 39

17 perform he necessary adjusmens o he Index or ii) where he Index Sponsor deermines in good faih and a commercially reasonable manner ha no such adjusmen is appropriae or pracicable, erminae he Index in accordance wih is policies and procedures. Where: An "Index Force Majeure Even" shall be deemed o have occurred if he performance of he Index Sponsor and/or he Index Calculaion Agen s obligaions is prevened or maerially hindered or delayed due o (a) any ac, law, rule, regulaion, judgmen, order, direcive, inerpreaion, decree or maerial legislaive or adminisraive inerference of any Governmen Auhoriy or oherwise, or (b) he occurrence of civil war, disrupion, miliary acion, unres, poliical insurrecion, erroris aciviy of any kind, rio, public demonsraion and/or proes, or any oher financial or economic reasons or any oher causes or impedimens beyond such pary s conrol; or (c) any expropriaion, confiscaion, requisiion, naionalizaion or oher acion aken or hreaened by any Governmen Auhoriy ha deprives he Index Sponsor or Hedging Pary (or any of heir relevan affiliaes), of all or subsanially all of heir asses in he relevan currency jurisdicion; and "Governmen Auhoriy" means any naion, sae or governmen, any province or oher poliical subdivision hereof, any body, agency or minisry, any axing, moneary, foreign exchange or oher auhoriy, cour, ribunal or oher insrumenaliy and any oher eniy exercising, execuive, legislaive, judicial, regulaory or adminisraive funcions of or peraining o governmen. 7.4 Upon he occurrence of an Index Change in Law Even, he Index Sponsor may eiher i) require he Index Calculaion Agen o adjus he Index aking ino accoun as i deems appropriae, any amendmen or poenial adjusmen of he Index of whasoever naure relaing o he Index Change in Law Even and in making any such adjusmens he Index Sponsor may advise he Index Calculaion Agen o subsiue an exising componen in he Index wih a replacemen componen which i deems suiable and perform he necessary adjusmens o he Index or ii) where he Index Sponsor deermines in good faih and a commercially reasonable manner ha no such adjusmen is appropriae or pracicable, erminae he Index in accordance wih is policies and procedures. Where: An "Index Change in Law Even" shall be deemed o have occurred if, (a) due o he adopion of or any change in any applicable law or regulaion (including, wihou limiaion, in respec of ax, solvency or capial requiremens), or (b) due o he promulgaion of or any change in he inerpreaion by any cour, ribunal or regulaory auhoriy wih compeen jurisdicion of any applicable law or regulaion (including any acion aken by a axing or financial auhoriy) or he combined effec hereof if occurring more han once, he Index Sponsor deermines ha i has become illegal o hold, acquire or dispose of any Index Componens (or pars hereof) or any relevan hedge posiions relaing o he Index. 7.5 Upon he occurrence of an Index Tax Even, he Index Sponsor may review he composiion of he Index and make such adjusmens as i deems necessary. "Index Tax Even" means any change in any applicable ax law or ax regulaion, (b) he promulgaion of or any change in he inerpreaion by any cour, ribunal or regulaory auhoriy wih compeen jurisdicion of any applicable ax law or ax regulaion (including any acion aken by a axing auhoriy) 17 / 39

18 affecing he Index, or (c) where here is a subsanial likelihood of a change in any applicable ax or ax regulaion and pracice, save in each case in relaion o axes or samp axes which he Index Sponsor shall exclude for he purposes of his definiion. 7.6 Upon he occurrence of a License Even, he Index Sponsor may eiher (i) review he composiion of he index and make such adjusmens as i deems necessary or (ii) erminae he Index. Where: A "License Even" shall be deemed o have occurred if any license or permission o use an index which is an Index Componen (or sub-componen of an Index Componen) graned by a sponsor of such index is wihdrawn, erminaed or oherwise amended. 18 / 39

19 . II. Par B - Index Componen Adjusmen Rules The adjusmen and oher provisions se ou in Appendix 1 shall be applicable o Index Componens which are 'Fund Share' Index Componen Types as deailed in Secion 1 of Par A of he Index Rules. The adjusmen and oher provisions se ou in Appendix 2 shall be applicable o Index Componens which are 'Cusom Index' Index Componen Types as deailed in Secion 1 of Par A of he Index Rules. 19 / 39

20 . III. Par C - General Index Rules 1. ROLES OF THE INDEX CALCULATION AGENT AND THE INDEX SPONSOR AND THE INDEX INVESTMENT ADVISOR WHERE APPLICABLE 1.1 The Index Sponsor The Index Sponsor is responsible for devising he Index Rules, ensuring he Index level is published by he Index Calculaion Agen in accordance wih he Index Rules and making any required deerminaions. Whenever he Index Sponsor is required o ac, i will do so in good faih and a commercially reasonable manner, however he Index Sponsor acceps no liabiliy for errors or inaccuracies in he Index Rules or any deerminaions made in accordance herewih. The Index Sponsor owns all inellecual propery and oher proprieary righs in hese Index Rules, he Index and all associaed maerials, including he name of he Index, is composiion and he calculaion mehodology of he Index in accordance wih he Index Mehodology (he "Index Maerials"). No pary o which Index Maerials have been disclosed shall have any righ o use he Index unless such pary has been graned an express limied licence o use he Index Maerials solely for he purposes of assessing relevan business needs. 1.2 The Index Calculaion Agen The Index Calculaion Agen is responsible for he day o day calculaion and publicaion of he Index. The Index Calculaion Agen will ac in good faih and will make all commercially reasonable effors o ensure he accuracy of he composiion, calculaion, publicaion and adjusmen of he Index in accordance wih he Index Rules. However he Index Calculaion Agen acceps no liabiliy for errors or inaccuracies in prices, calculaions and he publicaion of any Index Componens or sub-componens hereof made by hird paries and shall no be responsible for any inaccuracies or errors in he Index resuling herefrom. If he Index Calculaion Agen becomes aware of any inaccuracies or errors in he Index as a resul of errors or inaccuracies in he prices, calculaion or publicaion of any Index Componens or sub-componens hereof or oherwise, i shall inform he Index Sponsor of he same. If, in accordance wih Secion 4 (Correcions o he level of he Index) of his Par C, he Index Sponsor insrucs he Index Calculaion Agen o publish a correcion in respec of he Index, i shall do so as soon as pracicable hereafer. 1.3 The Index Invesmen Advisor Where an Index Invesmen Advisor has been appoined, i shall be responsible for selecing he Index Componens in good faih and a commercially reasonable manner in accordance wih he erms of he Index Invesmen Advisor Agreemen. The Index Invesmen Advisor acceps no liabiliy for inaccuracies or errors in such selecions due o inaccuracies or errors in he calculaion or publicaion of he Index Level, any Index Componens or sub-componens hereof. 20 / 39

21 2. SUPPLEMENTS, AMENDMENTS, MODIFICATIONS AND WITHDRAWAL OF THE INDEX RULES The Index Sponsor, acing in good faih and a commercially reasonable manner, may supplemen, amend in whole or in par, modify or wihdraw hese Index Rules a any ime in accordance wih is policies and procedures. Supplemens, amendmens, modificaions and wihdrawals may also lead o changes in he Index Rules and he way he Index is compiled or calculaed or affec he Index in oher ways. Any supplemens, amendmens or modificaions o he Index Rules which are of a formal, minor or echnical naure or are made o correc a manifes or proven error and do no conflic wih he ineress of any affeced paries may be effeced immediaely and such supplemens, amendmens or modificaions shall be made available o ineresed paries. If he Index Sponsor deems ha any supplemen, amendmen or modificaion o he Index Rules or wihdrawal hereof may be in conflic wih he ineress of an affeced pary, he relevan supplemen, amendmen, modificaion or wihdrawal shall no ake effec unil a leas 15 calendar days have elapsed since is publicaion. The Index Sponsor acceps no liabiliy for any losses resuling from supplemening, amending, modifying or wihdrawing he Index Rules. 3. RULES FOR THE PERIODICAL ADJUSTMENT OF THE INDEX COMPOSITION Where so specified in Secion 6 (Index Mehodology), he composiion of he Index may be reviewed and adjused periodically. Any adjusmens made by he Index Sponsor or he Index Invesmen Advisor, where applicable, will be made in good faih and in a commercially reasonable manner and in accordance wih he relevan Index Rules. The Index Sponsor and, where applicable, he Index Invesmen Advisor, disclaim any liabiliy for any modificaion or change o he composiion of he Index or he Index Mehodology a any ime. 4. CORRECTIONS TO THE LEVEL OF THE INDEX The calculaion of he Index is based on he laes available marke daa relaing o he Index Componens (including bu no limied o closing prices, levels, relaed dividends and corporae adjusmens or oher similar marke daa) as of he relevan Index Level Calculaion Dae. In he even any such marke daa changes subsequen o he calculaion and publicaion of any Index Level, he Index Sponsor shall decide, in accordance wih is policies and procedure, wheher or no o require he Index Calculaion Agen o ake accoun of such changes in relaion o previously published Index Levels or curren Index Levels in order o mainain he sabiliy and consisency of he Index, o he exen he relevan rerospecive change is allowed by any applicable law or regulaion. 5. DISCLAIMER IN RELATION TO THE INDEX 5.1 Accuracy of he Index The Index Calculaion Agen, he Index Sponsor and, where applicable, he Index Invesmen Advisor, will make all reasonable effors o ensure he accuracy of he composiion, calculaion, publicaion and adjusmen of he Index in accordance wih he relevan Index Rules. This informaion is furnished by hird paries and is believed o be reliable, bu he accuracy and compleeness hereof has no been verified by any of he Index Sponsor, he Index Calculaion Agen or, where applicable, he Index Invesmen Advisor. 21 / 39

22 5.2 Suspension and inerrupion in he publicaion of he Index Alhough he Index Sponsor and he Index Calculaion Agen shall ac in good faih and a commercially reasonable manner in calculaing, publishing or disseminaing he Index (as applicable), hey disclaim all liabiliy for any suspension or inerrupion in he calculaion, publicaion or disseminaion of he Index ha may occur a any ime. Deails of any such suspension or inerrupion in he publicaion of he Index will be displayed by he Index Calculaion Agen on Bloomberg Screenpage BNPIAUDY Index and Reuers Ticker.BNPIAUDY, or any successor pages hereo, and on any oher daa provider as he Index Sponsor deems appropriae. 5.3 Index Level The Index Sponsor, he Index Calculaion Agen and, where applicable, he Index Invesmen Advisor, accep no liabiliy in connecion wih he use of he Index Level a any given ime or for any loss whasoever, wheher direcly or indirecly relaed o he Index. 6. OTHER IMPORTANT INFORMATION 6.1 Transacions involving he Index Componens The Index Sponsor, he Index Calculaion Agen and, where applicable, he Index Invesmen Advisor and heir affiliaes may from ime o ime engage in ransacions involving any Index Componen(s) (and/or sub-componens hereof) for heir proprieary accouns and for accouns under heir managemen. Such ransacions may have a posiive or negaive effec on he value or level of such Index Componen(s) (and/or sub-componens hereof) and consequenly upon he Index Level, and in engaging in such ransacions none of he Index Sponsor, Index Calculaion Agen or, where applicable, he Index Invesmen Advisor nor heir affiliaes shall be under any obligaion o ac in he ineress of paries exposed o producs referencing he Index. 6.2 Acing in oher capaciies and poenial conflics of ineres The Index Sponsor, he Index Calculaion Agen and, where applicable, he Index Invesmen Advisor or any of heir affiliaes may from ime o ime ac in muliple capaciies wih regard o he Index or any producs referencing he Index, including, bu no limied o, Index Calculaion Agen, Index Invesmen Advisor or calculaion agen hereof. The Index Sponsor has policies and procedures o idenify, consider and manage such poenial conflics of ineres. The Index Sponsor, Index Calculaion Agen and he Index Invesmen Advisor, where applicable, may also engage in rading aciviies (including hedging aciviies) relaing o he Index Componens for heir proprieary accouns or for oher accouns under heir managemen. The Index Sponsor and is affiliaes may also issue oher derivaive insrumens in respec of he Index Componens or ac as underwrier in connecion wih fuure offerings of shares or as financial advisor o cerain companies or companies whose shares or oher securiies are Index Componens or in a commercial banking capaciy for such companies. In respec of Index Componen Types which are Fund Shares or ETPs, he Index Sponsor or one or more of is Affiliaes may from ime o ime engage in business wih he relevan Fund or ETP, as he case may be, or companies in which a Fund or ETP, as he case may be, invess, including among oher 22 / 39

23 hings, exending loans o, or making invesmens in, or providing advisory services o hem, including merger and acquisiion advisory services, engaging in aciviies ha may include prime brokerage business, financing ransacions or enry ino derivaive ransacions. A Fund or ETP may pay a porion of is fees o he Index Sponsor or any of is Affiliaes for he provision of such services. 6.3 Derivaive insrumens in respec of he Index Componens The Index Sponsor, he Index Calculaion Agen and, where applicable, he Index Invesmen Advisor or any of heir affiliaes may issue, ener ino, creae, purchase, sell or disribue derivaive insrumens (wheher securiized or oherwise) in respec of he Index or any Index Componen(s) (and/or subcomponens hereof) and he inroducion of such producs ino he markeplace may affec he Index Level, due o hedging aciviies associaed wih such derivaive insrumens. 6.4 Marke-Making for he Index Componens The Index Sponsor, he Index Calculaion Agen and, where applicable, he Index Invesmen Advisor may, in cerain cases, ac as a marke-maker or sponsor for any Index Componen(s) (or subcomponens hereof). By such marke-making or sponsoring, he Index Sponsor, he Index Calculaion Agen, or, where applicable, he Index Invesmen Advisor may, o a large exen, deermine he price of such Index Componen(s) (or sub-componens hereof), and consequenly influence he Index Level. 6.5 Obaining of non-public informaion The Index Sponsor, he Index Calculaion Agen and, where applicable, he Index Invesmen Advisor or any of heir affiliaes may acquire non-public informaion wih respec o any Index Componen(s) (or sub-componens hereof), and neiher he Index Sponsor, Index Calculaion Agen, nor he Index Invesmen Advisor where applicable, nor any of heir affiliaes underakes o disclose any such informaion o any pary exposed o producs referencing he Index. In addiion, one or more affiliaes of he Index Sponsor, Index Calculaion Agen or, where applicable, he Index Invesmen Advisor may publish research repors wih respec o such Index Componen(s) (or sub-componens hereof). Research may be modified from ime o ime wihou noice and may express opinions or provide recommendaions ha are inconsisen wih he objecives of he Index. Such aciviies could presen cerain conflics of ineres and could influence he value of he Index. 7. FORM OF DISCLAIMER TO BE USED ON TERM SHEETS AND ISSUANCE DOCUMENTATION FOR PRODUCTS LINKED TO THE INDEX The following disclaimer wording should be used on erm shees and issuance documenaion for producs linked o he Index: "The mehodology of and rules governing he index (he "Index Mehodology" and he "Index") are proprieary and may no be reproduced or disseminaed wihou he permission of he sponsor of he Index (he "Index Sponsor"), he index calculaion agen (where such pary is no also he Index Sponsor, he "Index Calculaion Agen") nor, where applicable, he index Invesmen Advisor (he "Index Invesmen Advisor"). None of he Index Sponsor, he Index Calculaion Agen nor, where applicable, he Index Invesmen Advisor guaranees ha here will be no errors or omissions in compuing or disseminaing he Index. The Index Mehodology is based on cerain assumpions, cerain pricing models and calculaion mehods adoped by he Index Sponsor, he Index Calculaion Agen and, where applicable, he Index Invesmen Advisor, 23 / 39

24 and may have cerain inheren limiaions. Informaion prepared on he basis of differen models, calculaion mehods or assumpions may yield differen resuls. You have no auhoriy o use or reproduce he Index Mehodology in any way, and neiher BNP Paribas nor any of is affiliaes shall be liable for any loss whasoever, wheher arising direcly or indirecly from he use of he Index or Index Mehodology or oherwise in connecion herewih. The Index Sponsor reserves he righ o amend or adjus he Index Mehodology from ime o ime in accordance wih he rules governing he Index and acceps no liabiliy for any such amendmen or adjusmen. Neiher he Index Sponsor nor he Index Calculaion Agen is under any obligaion o coninue he calculaion, publicaion or disseminaion of he Index and accep no liabiliy for any suspension or inerrupion in he calculaion hereof which is made in accordance wih he rules governing he Index. None of he Index Sponsor, he Index Calculaion Agen nor, where applicable, he Index Invesmen Advisor accep any liabiliy in connecion wih he publicaion or use of he level of he Index a any given ime. BNP Paribas and is affiliaes may ener ino derivaive ransacions or issue financial insrumens (ogeher, he "Producs") linked o he Index. The Producs are no in any way sponsored, endorsed, sold or promoed by he sponsor of any index componen (or par hereof) which may comprise he Index (each a "Reference Index") ha is no affiliaed wih BNP Paribas (each such sponsor, a "Reference Index Sponsor"). The Reference Index Sponsors make no represenaion whasoever, wheher express or implied, eiher as o he resuls o be obained from he use of he relevan Reference Index and/or he levels a which he relevan Reference Index sands a any paricular ime on any paricular dae or oherwise. No Reference Index Sponsor shall be liable (wheher in negligence or oherwise) o any person for any error in he relevan Reference Index and he relevan Reference Index Sponsor is under no obligaion o advise any person of any error herein. None of he Reference Index Sponsors makes any represenaion whasoever, wheher express or implied, as o he advisabiliy of purchasing or assuming any risk in connecion wih he Producs. BNP Paribas and is affiliaes have no righs agains or recourse o any Reference Index Sponsor should any Reference Index no be published or for any errors in he calculaion hereof or on any oher basis whasoever in relaion o any Reference Index, is producion, or he level or consiuens hereof. BNP Paribas and is affiliaes shall have no liabiliy o any pary for any ac or failure o ac by any Reference Index Sponsor in connecion wih he calculaion, adjusmen or mainenance of he relevan Reference Index and have no affiliaion wih or conrol over any Reference Index or he relevan Reference Index Sponsor or he compuaion, composiion or disseminaion of any Reference Index. Alhough he Index Calculaion Agen will obain informaion concerning each Reference Index from publicly available sources ha i believes reliable, i will no independenly verify his informaion. Accordingly, no represenaion, warrany or underaking (express or implied) is made and no responsibiliy is acceped by BNP Paribas or any of is affiliaes nor he Index Calculaion Agen as o he accuracy, compleeness and imeliness of informaion concerning any Reference Index. BNP Paribas and/or is affiliaes may ac in a number of differen capaciies in relaion o he Index and/or producs linked o he Index, which may include, bu no be limied o, acing as marke-maker, hedging counerpary, issuer of componens of he Index, Index Sponsor and/or Index Calculaion Agen. Such aciviies could resul in poenial conflics of ineres ha could influence he price or value of a Produc." BNP Paribas. All righs reserved." 24 / 39

25 . IV. APPENDIX 1 - ADJUSTMENTS FOR INDEX COMPONENT TYPE "FUND SHARE" The following provisions shall apply in respec of any Index Componen in respec of which he Index Componen Type is "Fund Share", any shares or unis comprising such Index Componen being he "Reference Fund Shares". 1. Adjusmens Following he declaraion by a Reference Fund of he erms of any Reference Fund Share Poenial Adjusmen Even, he Index Sponsor will deermine wheher such Reference Fund Share Poenial Adjusmen Even has a diluing or concenraive effec on he heoreical value of he relevan Reference Fund Shares and, if so, will require he Index Calculaion Agen o (i) make he corresponding adjusmen(s), if any, o he Index ha he Index Sponsor deermines appropriae o accoun for ha diluing or concenraive effec (provided ha no adjusmens will be made o accoun solely for changes in volailiy, expeced dividends, sock loan rae or liquidiy relaive o he relevan Reference Fund Share) and (ii) deermine he effecive dae(s) of he adjusmen(s). 2. Deerminaion of Exraordinary Reference Fund Evens The Index Sponsor will deermine if an Exraordinary Reference Fund Even has occurred acing in good faih and in a commercially reasonable manner. Where he occurrence of an even or se of circumsances resuls in more han one Exraordinary Reference Fund Even poenially being riggered, he Index Sponsor may deermine which Exraordinary Reference Fund Even(s) have been riggered. In considering wheher he occurrence of an even or se of circumsances riggers an Exraordinary Reference Fund Even, he Index Sponsor may have regard o he combined effec, from he Index Sar Dae, of any even or se of circumsances, as he case may be, if such even or se of circumsances occurs more han once. 3. Consequences of Exraordinary Reference Fund Evens If he Index Sponsor deermines, in respec of any Reference Fund and/or Reference Fund Shares, ha an Exraordinary Reference Fund Even exiss, i may require he Index Calculaion Agen o adjus he Index in such manner ha he Index Sponsor deems appropriae in accordance wih Secion 2 of Par A of he Index Rules. Such adjusmens will only occur once he Hedge Provider has received he full redempion proceeds following redempion orders placed following he Exraordinary Reference Fund Even. 4. Consequences of Disruped Days If any Business Day is a Disruped Day in respec of a Reference Fund Share, he provisions se ou in Secion 4 of Par A of he Index Rules shall apply in relaion o he Index. 5. Definiions "Affiliae(s)" means in relaion o any eniy (he "Firs Eniy"), any eniy conrolled, direcly or indirecly, by he Firs Eniy, any eniy ha conrols, direcly or indirecly, he Firs Eniy or any eniy direcly or indirecly under common conrol wih he Firs Eniy. For hese purposes "conrol" means 25 / 39

26 ownership of a majoriy of he voing power of an eniy; "AUM Level" means 50,000,000. "Baske Trigger Even" means ha an Exraordinary Reference Fund Even occurs in respec of one or more Reference Funds comprising he Fund Baske which has or, in he even ha an Exraordinary Reference Fund Even has occurred in respec of more han one Reference Fund, ogeher have, an Index Weighing in he Fund Baske equal o or greaer han he Baske Trigger Level; "Baske Trigger Level" means 50 per cen; "Calculaion Dae" means each day which is a Reference Fund Business Day; "Currency Business Day" means, in respec of any Reference Fund Share, any day on which commercial banks are open for business (including dealings in foreign exchange and foreign currency deposis) in he principal financial cenre for currency of denominaion of such Reference Fund Share. In respec of any Reference Fund Share denominaed in euro, any day on which he Trans-European Auomaed Real-ime Gross selemen Express Transfer (TARGET2) sysem is open shall be a Currency Business Day; "Disruped Day" means, wih respec o any Reference Fund Share, any day on which a Reference Fund Disrupion Even has occurred or is coninuing; "Exraordinary Dividend" means any dividend or porion hereof characerised as an Exraordinary Dividend by he Index Sponsor. "Exraordinary Reference Fund Even" means, in he deerminaion of he Index Sponsor, he occurrence a any ime on or afer he Index Sar Dae of any of he following evens: Global Evens: 5.1 he Reference Fund or any Reference Fund Service Provider (i) ceases rading and/or, in he case of a Reference Fund Service Provider, ceases adminisraion, porfolio managemen, invesmen services, cusodian, prime brokerage, or any oher relevan business (as applicable) (ii) is dissolved or has a resoluion passed, or here is any proposal, for is dissoluion, winding-up, official liquidaion (oher han pursuan o a consolidaion, amalgamaion or merger); (iii) makes a general assignmen or arrangemen wih or for he benefi of is crediors; (iv) (1) insiues or has insiued agains i, by a regulaor, supervisor or any similar official wih primary insolvency, rehabiliaive or regulaory jurisdicion over i in he jurisdicion of is incorporaion or organisaion or he jurisdicion of is head or home office, a proceeding seeking a judgmen of insolvency or bankrupcy or any oher relief under any bankrupcy or insolvency law or oher similar law affecing crediors' righs, or a peiion is presened for is winding-up or liquidaion by i or such regulaor, supervisor or similar official, or (2) has insiued agains i a proceeding seeking a judgmen of insolvency or bankrupcy or any oher relief under any bankrupcy or insolvency law or oher similar law affecing crediors' righs, or a peiion is presened for is winding-up or liquidaion, and such proceeding or peiion is insiued or presened by a person or eniy no described in sub-clause (iv) (1) above and eiher (x) resuls in a judgmen of insolvency or bankrupcy or he enry of an order for relief or he making of an order for is winding-up or liquidaion or (y) is no immediaely dismissed, discharged, sayed or resrained; (v) seeks or becomes subjec o he appoinmen of an adminisraor, provisional liquidaor, conservaor, 26 / 39