RMB EUR G10 Yield Intelligence Index Rule Book

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2 RMB EUR G10 Yield Intelligence Index Bloomberg: RMBEUGTT Index & RMBEUGTE Index Reuters:.RMBEUGTT &.RMBEUGTE Rule Book This Rule Book sets out the description of the Index and the Index Rules which are applied by the Index Sponsor and the Index Calculation Agent to determine the calculation of the Index from time to time. Final Version: 09 January

3 Contents Part A Index specific rules Description of the Index Composition of the Index Calculation of the Index level and publication of the Index level Non-scheduled trading days and disrupted days Adjustments to Index components Definitions Description and formula for calculating the Index Index adjustment, suspension and termination events Part B Index component adjustment rules Part C General Index rules Roles of the Index calculation agent and the Index sponsor and the Index adviser where applicable Supplements, amendments, revisions, modifications and withdrawal of the Index Rules Rules for the periodical adjustment 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 Schedule 1 Adjustments for index component type Money Market Rate. 26 Schedule 2 Adjustments for index component type FX

4 Part A Index specific rules 1. Description of the Index 1.1 General The RMB EUR G10 Yield Intelligence Index (the "Index") is a Euro-denominated Index (the Index Currency ). The objective of the Index is to provide exposure to the performance of a yield weighted basket of G10 currencies and earn the respective yield. The Index is fully investable and the weight of each component is derived monthly allocated on yield proportionate principles with exposure to respective overnight reference rates. 1.2 Index start date The Index was established, based on historical backtesting, on 30 April 2001 (the "Index Start Date") with an initial level of 100 Index points ( Initial Index Level ). 1.3 Index type The RMB EUR G10 Yield Intelligence Index is a Total Return Index as it is constituted of components that require cash to obtain the economic exposure and risk required by the Index strategy. As a consequence, the level of the Index does take into account overnight interest rates that would ordinarily be payable when hedging the performance of an Index which would require a cash investment equal to the value of the Index. The RMB EUR G10 Yield Intelligence Index Excess Return is an Excess Return Index. As a consequence, the level of this Index reflects the performance of the RMB EUR G10 Yield Intelligence Index Total Return above the EONIA money market rate (i.e. it is an outperformance Index). 1.4 Index calculation agent and Index sponsor The Index is calculated, maintained, rebalanced and published by FirstRand Bank Limited (acting through its Rand Merchant Bank Division) ( RMB ) (the "Index Calculation Agent") and sponsored by RMB (the "Index Sponsor"). The Index is calculated on a daily basis by the Index Calculation Agent. 1.5 Index methodology The frequency of the calculation will be daily. The methodology of the Index (the Index Methodology ) is based on dynamic exposure to the currency market using the respective FX and overnight reference rates (each an Index Component ), as performance drivers. The Index will be reweighted monthly. The weight of each Index Component is derived from the monthly monitoring of respective 3-month LIBOR rates, relative to the sum of all 3-month LIBOR rates, after exclusion of those rates which are below the 2 nd quartile (the median) of all the 3-month LIBOR rates. The number of Index Components and the weight thereof may be adjusted on a monthly basis by the Index Calculation Agent acting in accordance with the Index Methodology and the formulae set forth in Section 7, Description and Formula for Calculating the Index below. 1.6 Index replication costs The Index Methodology embeds certain costs in the strategy which cover amongst other things trade replication costs in running the Index which may vary over time in line with prevailing market conditions. The level of such costs (if any) as they vary over time in accordance with market conditions are as determined by the Index Calculation Agent acting in a commercially reasonable manner

5 2. Composition of the Index At the Index Start Date and thereafter until the date of publication hereof the Index composition is as given in Table 1 with the specific of the Index Components (each an "Index Component Type") and the Currency denomination ( Index Component Currency ) as set out next to each Index Component. The Index Calculation Agent shall review the composition of the Index and the Index Weightings of the Index Components within the Index on an ongoing basis and in accordance with the Index Rules and Index Methodology. Table 1 (I) Index component Index component type Bloomberg code Component currency 1. EUR TR Money Market Rate (Please refer to Section 7 below for definition of Index Component 1 ) 2. EURUSD TR FX Rate and Money Market Rate (Please refer to Section 7 below for definition of Index Component 2 ) 3. EURJPY TR FX Rate and Money Market Rate (Please refer to Section 7 below for definition of Index Component 3 ) 4. EURGBP TR FX Rate and Money Market Rate (Please refer to Section 7 below for definition of Index Component 4 ) 5. EURCAD TR FX Rate and Money Market Rate (Please refer to Section 7 below for definition of Index Component 5 ) 6. EURAUD TR FX Rate and Money Market Rate (Please refer to Section 7 below for definition of Index Component 6 ) 7. EURNZD TR FX Rate and Money Market Rate (Please refer to Section 7 below for definition of Index Component 7 ) 8. EURCHF TR FX Rate and Money Market Rate (Please refer to Section 7 below for definition of Index Component 8 ) 9. EURDKK TR FX Rate and Money Market Rate (Please refer to Section 7 below for definition of Index Component 9 ) 10. EURNOK TR FX Rate and Money Market Rate (Please refer to Section 7 below for definition of Index Component 10 ) 11. EURSEK TR FX Rate and Money Market Rate (Please refer to Section 7 below for definition of Index Component 11 ) See Definition in Section 7 below See Definition in Section 7 below See Definition in Section 7 below See Definition in Section 7 below See Definition in Section 7 below See Definition in Section 7 below See Definition in Section 7 below See Definition in Section 7 below See Definition in Section 7 below See Definition in Section 7 below See Definition in Section 7 below EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR - 5 -

6 3. Calculation of the Index level and publication of the Index level 3.1 The Index is calculated by the Index Calculation Agent on each Index Level Determination Date (as defined below), subject to the provisions of this Section 3 (Calculation of the Index Level and Publication of the Index Level) and Section 4 (Non-Scheduled Trading Days and Disrupted Days). 3.2 The Index currency is Euros (the Index Currency ). The conversion of the Index Components into the Index Currency is determined by the Calculation Agent on the basis of the official fixing of each Index Component Currency foreign exchange reference rates as published on Bloomberg based on the EUR crossing, or ascertained from any other source as the Index Calculation Agent may deem appropriate. 3.3 Subject to Section 4 (Non-Scheduled Trading Days and Disrupted Days) of this Part A, on each Publication Date the Index Calculation Agent will publish the Index Level in respect of the last preceding Index Level Determination Date (which is expected to be one Business Days prior to the Publication Date). 3.4 The Index Level will be published by the Index Calculation Agent as follows: (a) RMB EUR G10 Yield Intelligence Index Total Return: Bloomberg Reference RMBEUGTT Index and under Reuters Reference.RMBEUGTT, (b) RMB EUR G10 Yield Intelligence Index Excess Return: Bloomberg Reference RMBEUGTE Index and under Reuters Reference.RMBEUGTE; and (c) any successor pages thereto, and on any other data provider as the Index Sponsor deems appropriate. In the event of inconsistency between Index Levels published on Bloomberg or on Reuters or on any other data provider s system then the Index Level published on Bloomberg shall prevail. 4. Non-scheduled trading days and disrupted days 4.1 If any Business Day is not a Scheduled Trading Day or is a Disrupted Day in respect of one or more Index Components (an Affected Index Component(s) ), then the Index Calculation Agent may alternatively, in its sole discretion: (i) (ii) deem such a day to be an Index Level Determination Date and calculate and publish the Index Level in respect of such day (a) using the last value which was available in respect of the Affected Index Component(s), or (b) using a good faith estimate of the value of the Affected Index Component(s) or (c) deeming, for the purposes of calculating the Index Level, the value of any one or more of such Affected Index Components to be equal to zero; or deem such a day not to be an Index Level Determination Date and as a consequence, not calculate and publish the Index Level in respect of such day but only, in the case of Disrupted Days, for a period not exceeding the Maximum Number of Days of Disruption. 4.2 After the Maximum Number of Days of Disruption has elapsed, if it is still a Disrupted Day in respect of one or more Index Components of the Index, the Index Calculation Agent shall make such adjustment to the Index as it deems appropriate in accordance with Section 5 below, including, but not limited to, replacing such Affected Index Component(s) with a replacement Index Component(s). 4.3 The Index Sponsor may delay or suspend he calculation and publication of the Index Level for a period not exceeding the Maximum Number of Days of Disruption, or discontinue the calculation and publication of the Index Level, if it determines in its sole discretion that any event or circumstance has occurred and is continuing which would make the determination of the Index Level impossible or impracticable, including, without limitation, any event or circumstance contemplated in Part B (Index Component Adjustment Rules) of these Index Rules or any event or circumstance that interrupts the ability of the Index Sponsor or Index Calculation Agent to perform its duties in respect of the Index

7 5. Adjustments to Index components If any Index Component ceases to exist or is, or would be, subject to an adjustment pursuant to the provisions of any Schedule hereto, or if a Hedging Disruption Event occurs in respect of that Index Component, the Index Calculation Agent may in its sole discretion acting in good faith and in a commercially reasonable manner (a) effect no change to the Index, (b) adjust the Index as it deems appropriate including, but not limited to, replacing such Index Component with a replacement Index Component or the Index Calculation Agent and the Index Sponsor may continue to calculate and publish (as applicable) the Index without such Index Component or any replacement therefore, subject to the provisions of Section 1.5 (Index Methodology) above, or (c) terminate the Index. The aim of the Index Calculation Agent when making any such operational adjustments is to ensure that, so far as possible, the basic principles and economic effect of the Index are maintained. 6. Definitions 6.1 In these Index Rules: "Business Day" means any week day on which commercial banks are open for general business in Johannesburg and TARGET. "Disrupted Day" in respect of each Index Component has the meaning given to such term in the relevant Schedule of these Index Rules depending on the Component Type detailed in Section 2 of Part A (Composition of the Index) and the adjustment provisions specified as applicable in Part B of the Index Rules. Hedging Disruption Event means, in respect of any Index Component(s), the occurrence of any event that the Index Calculation Agent determines in its sole and absolute discretion would materially restrict any Hedge Provider from: (i) acquiring, establishing, re-establishing, substituting, maintaining, unwinding or disposing of asset(s), transaction(s) or any futures or option contracts on any cash to hedge any relevant price risk including, but not limited to, the currency risk of entering into and performing obligations in relation to a relevant Index Component(s); (ii) freely realising, recovering, receiving, repatriating, remitting or transferring the proceeds of hedge positions relating to a relevant Index Component between accounts within the jurisdiction of the hedge positions (the "Affected Jurisdiction") or from accounts within the Affected Jurisdiction to accounts outside of the Affected Jurisdiction; iii) determining a rate at which any currency relevant to the relevant Index Component(s) or hedge positions relating to the Index may be converted into any other relevant currency; or iv) converting any currency relevant to the Index Component(s) or the hedge positions relating to the Index into another currency relevant to the such hedge positions through customary legal channels, including, but not exclusively, where one currency rate cannot be directly converted into another. Hedge Provider means a hypothetical party who would hedge an issuer s obligations in respect of a product linked to the Index. "Index" has the meaning given in Section 1 (Description of the Index) of this Part A of these Index Rules. "Index Calculation Agent" has the meaning given in Section 1 (Description of the Index) of this Part A of these Index Rules. "Index Component" has the meaning given in Section 1 (Description of the Index) of Part A of these Index Rules. "Index Component Type" has the meaning given in Section 2 (Composition of the Index) of Part A of these Index Rules. "Index Level" means the level of the Index, determined in accordance with the provisions of Section 7 of Part A of these Index Rules. "Index Level Determination Date" means each Business Day on which the Index Calculation Agent acting in a commercially reasonable manner based on the availability of the prices, levels or values of - 7 -

8 the Index Components determines it is able to determine and calculate the Index Level, subject to the provisions of Section 4 of Part A of the Index Rules. "Index Rules" means the rules in relation to the Index as set out in Parts A to C and each Schedule in respect of relevant Index Component Types (inclusive) hereto. "Index Sponsor" has the meaning given in Section 1 (Description of the Index) of Part A of these Index Rules. Index Trading Day means a week day on which FirstRand Bank Limited or any of its affiliates ( Hedging Party ) determines it is able to trade on and hedge any obligations it has outstanding in respect of the Index which for the most case will be a day which is both (i) a Scheduled Trading Day and (ii) not a Disrupted Day in respect of each Index Component in the Index. Maximum Number of Days of Disruption means 5 Scheduled Trading Days. "Publication Date" means the first Business Day following each Index Level Determination Date. Scheduled Trading Day means any day on which the Relevant Price Source is scheduled to publish the reference fixing level of the Index Components. Computation Day means the first Business Day of each month provided that if this day is not an Index Level Determination Date, the first date thereafter which is an Index Level Determination Date. Rebalancing Day means Two Business Days following the Computation Day, or if such a day is not an Index Trading Day, the first day thereafter which is an Index Trading Day. 6.2 Unless a contrary indication appears any reference in the Index Rules to: the "Index Calculation Agent", the "Index Sponsor" and any other person shall be construed so as to include its successors in title, permitted assigns and permitted transferees; any agreement or instrument is a reference to that agreement or instrument as amended, novated, supplemented, extended, replaced or restated; a "person" includes any individual, firm, company, corporation, government, state or agency of a state or any association, trust, joint venture, consortium or partnership (whether or not having separate legal personality); a "regulation" includes any regulation, rule, official directive, request or guideline (whether or not having the force of law) of any governmental, intergovernmental or supranational body, agency, department or regulatory, self-regulatory or other authority or organisation; and a provision of law is a reference to that provision as amended or re-enacted. 6.3 Part, Section, and Schedule headings are for ease of reference only. 6.4 Nothing in these Rules will be construed so as to preclude the Index Calculation Agent and the Index Sponsor from being the same legal entity, and any provision which requires them to agree on any matter will, if they are the same person, be deemed to be a provision requiring that person to make a determination in its sole discretion and any provision which requires the Index Sponsor to require the Index Calculation Agent to perform any function will be construed as a requirement for that person to do such thing

9 7. Description and formula for calculating the Index The Index level is determined by calculating the performance of the Index Components each day, and multiplying it by its respective weighting. The weighting to each Index Component changes monthly. 7.1 Index Level Calculation On each Index Level Determination Date, the Index Level for the RMB EUR G10 Yield Intelligence Index will be determined by the Calculation Agent as follows: , 360, 1,, : : :, : Number of Index Components (as detailed in Table 1 of Part A). RMB EUR G10 Yield Intelligence Index Total Return Index level at time. RMB EUR G10 Yield Intelligence Index Excess Return Index level at time. The official fixing prices of Index Component i on Index Level Determination Date t as determined by the Calculation Agent. If on any Index Level Determination Date, the fixing price of an Index Component is not available for any reason or is a Disrupted Day, the value of the relevant Index Component retained for that Index Level Determination Date will be the value retained for this Index Component on the first preceding Index Level Determination Date on which a fixing price for that Index Component was available and which was not a Disrupted Day. 0: Launch Date, 01 May , :, : The number of calendar days from date t-1 (excluded) to date t (included). Weighting of Index Component i at date t (this will be a Rebalancing Day) as determined by the Index Calculation Agent. Computation of the Index Components weightings will be done on a monthly basis on the relevant Computation Day, but the Rebalancing will be done on the Rebalancing Day. The methodology used by the Index Calculation Agent to compute the weights may be subject to review to take into account current market conditions. : The most recent Rebalancing Day on or prior to date t. : EONIA (as defined below) Subject to market conditions, as determined by the Calculation Agent, rebalancing will be implemented at the official fixing for each Index Component as determined by the Index Calculation Agent on the Rebalancing Day. If, in the opinion of the Index Calculation Agent, market conditions are such that rebalancing cannot be implemented at the official fixing on the Rebalancing Day, the Index Calculation Agent may, in its sole discretion, implement the rebalancing over the number of Index Level Determination Dates deemed necessary to implement such rebalancing

10 7.2 Replication Costs The replication cost of Index Component i on Index Level Determination Date t, and accounting for friction costs of Index Component i, stemming from the impact of bid/ask and transaction costs due to change in weightings as published and determined by the Index Calculation Agent. The level of such costs (if any) as they vary over time in accordance with market conditions as determined by the Index Calculation Agent acting in a commercially reasonable manner may be displayed on Reuters page.rmbeugtt and Bloomberg page RMBEUGTT Index, or any successor pages thereto, or on any other data provider as the Index Sponsor deems appropriate. Table 2 (I) Index component Index replication costs 1. EUR TR EONIA 0.10% 2. EURUSD TR FEDL % 3. EURJPY TR MUTSCALM 0.10% 4. EURGBP TR SONIA 0.20% 5. EURCAD TR CORRA 0.10% 6. EURAUD TR RBACTR 0.20% 7. EURNZD TR NZOCR 0.10% 8. EURCHF TR TOIS 0.20% 9. EURDKK TR DKDR 0.20% 10. EURNOK TR NKDR 0.70% 11. EURSEK TR STIBOR 0.30% 7.3 Index Component 1 Formula: , 360 EONIA Actj 1, j EONIA (Euro Over Night Index Average) means the rate for deposits in Euro calculated by the European Central Bank on an act/360 day count and appearing on the Bloomberg system at about 19h00 European Central Time at Index Level Determination Date t (ticker: EONIA Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate Number of calendar days from date j-1 (included) to date j (excluded) 7.4 Index Component 2 Formula:

11 101 1, 360 FEDL01 EURUSD EURUSD Actj 1, j FEDL01 (Federal Funds Effective Rate US) means the volume-weighted average of interest rates in US Dollars at which depositary institutions lend balances at the Federal Reserve to other depositary institutions overnight at Index Level Determination Date t. The rate is calculated using an act/360 day count fraction and is published on the Bloomberg system (ticker: FEDL01 Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate The EUR/USD exchange rate on Launch Date as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EUR WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. The EUR/USD exchange rate, on Index Level Determination Date t, as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EUR WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. Number of calendar days from date j-1 (included) to date j (excluded). 7.5 Index Component 3 Formula: 100 1, MUTSCALM Actj 1, j MUTSCALM (Bank of Japan Unsecured Overnight Call Rate) means the volumeweighted average rate for deposits in Japanese Yen calculated by the Bank of Japan at Index Level Determination Date t. The rate is calculated using an act/365 day count fraction and is published on the Bloomberg system (ticker: MUTSCALM Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. The EUR/JPY exchange rate on Launch Date as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EURJPY WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. The EUR/JPY exchange rate, on Index Level Determination Date t, as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EURJPY WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. Number of calendar days from date j-1 (included) to date j (excluded)

12 7.6 Index Component 4 Formula: , 365 SONIA Actj 1, j SONIA (Sterling Over Night Index Average) means the weighted average rate to four decimal places of all unsecured Sterling overnight cash transactions between midnight and 16h15 at Index Level Determination Date t. The rate is calculated using an act/365 day count fraction and is published on the Bloomberg system (ticker: SONIO/N Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. The EUR/GBP exchange rate on Launch Date as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EURGBP WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. The EUR/GBP exchange rate, on Index Level Determination Date t, as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EURGBP WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. Number of calendar days from date j-1 (included) to date j (excluded). 7.7 Index Component 5 Formula: 100 1, CORRA CORRA (Bank of Canada Overnight Repo Rate) means the Canadian overnight rate for deposits in Canadian Dollars calculated by the Bank of Canada at Index Level Determination Date t. The rate is calculated using an act/365 day count fraction and is published on the Bloomberg system (ticker: CAONREPO Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. The EUR/CAD exchange rate on Launch Date as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EURCAD WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. The EUR/CAD exchange rate, on Index Level Determination Date t, as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EURCAD WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate

13 Actj 1, j Number of calendar days from date j-1 (included) to date j (excluded). 7.8 Index Component 6 Formula: 100 1, RBACTR : Actj 1, j RBACTR (Reserve Bank of Australia Cash Target Rate) means the daily cash rate in Australian Dollars disseminated by the Reserve Bank of Australia at Index Level Determination Date t. The rate is calculated using an act/365 day count fraction and is published on the Bloomberg system (ticker: RBACTRD Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. The EUR/AUD exchange rate on Launch Date as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EURAUD WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. The EUR/AUD exchange rate, on Index Level Determination Date t, as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EURAUD WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. Number of calendar days from date j-1 (included) to date j (excluded). 7.9 Index Component 7 Formula: , 365 NZAOR NZOCR (New Zealand Overnight Cash Rate) means the daily cash rate in New Zealand Dollars disseminated by the Reserve Bank of New Zealand at Index Level Determination Date t. The rate is calculated using an act/365 day count fraction and is published on the Bloomberg system (ticker: NZOCRS Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. The EUR/NZD exchange rate on Launch Date as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EURNZD WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate

14 Actj 1, j The EUR/NZD exchange rate, on Index Level Determination Date t, as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EURNZD WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. Number of calendar days from date j-1 (included) to date j (excluded) Index Component 8 Formula: 100 1, TOIS Actj 1, j TOIS (Fixed Rate on CHF Tomnext Offered Index Swaps) is based on T/N rates quoted by 29 designated banks as being, in their view, the rate at which deposits are being offered to prime banks in the Money Market at 11h00 Zurich time on Index Level Determination Date t. The rate is calculated using an act/360 day count fraction and is published on the Bloomberg system (ticker: TOISTOIS Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. The EUR/CHF exchange rate on Launch Date as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EURCHF WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. The EUR/CHF exchange rate, on Index Level Determination Date t, as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EURCHF WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. Number of calendar days from date j-1 (included) to date j (excluded) Index Component 9 Formula: 100 1, DKDR DKDR (Danish Krone Deposit Rate O/N) is the annualised rate of interest that a bank will charge for lending or pay for borrowing Danish Krone overnight on Index Level Determination Date t. The rate is calculated using an act/360 day count fraction and is published on the Bloomberg system (ticker: DKDR1T Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate

15 Actj 1, j The EUR/DKK exchange rate on Launch Date as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EURDKK WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. The EUR/DKK exchange rate, on Index Level Determination Date t, as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EURDKK WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. Number of calendar days from date j-1 (included) to date j (excluded) Index Component 10 Formula: , 365 NKNDR Actj 1, j NKDR (Norwegian Krone Deposit Rate O/N) is the annualised rate of interest that a bank will charge for lending or pay for borrowing Norwegian Krone overnight on Index Level Determination Date t. The rate is calculated using an act/365 day count fraction and is published on the Bloomberg system (ticker: NKDR1T Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. The EUR/NOK exchange rate on Launch Date as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EURNOK WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. The EUR/NOK exchange rate, on Index Level Determination Date t, as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EURNOK WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. Number of calendar days from date j-1 (included) to date j (excluded) Index Component 11 Formula: 100 1,

16 STIBOR Actj 1, j STIBOR (Stockholm Interbank Offered Rate T/N) means the daily fixing in Swedish Krona calculated by the Swedish Riksbank on Index Level Determination Date t. The rate is calculated using an act/360 day count fraction and is published on the Bloomberg system (ticker: STIB1D Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. The EUR/SEK exchange rate on Launch Date as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EURSEK WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. The EUR/SEK exchange rate, on Index Level Determination Date t, as determined by Index Calculation Agent at 16h00 (Local Time in London), based on WM/Reuters Fixings (Bloomberg ticker: EURSEK WMCO Curncy), or any successor thereto. In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. Number of calendar days from date j-1 (included) to date j (excluded) Rebalancing Methodology The algorithm aims at maximising the weightings to those Index Components which exhibit the highest yield relative to all yields under consideration, whilst excluding those Index Components whose yield is below the median. It is based on the FX investment strategy known as the carry trade, which involves borrowing in currencies with low interest rates (called funding currencies) and investing in those with higher interest rates (the target currencies). Phase 1: Define and Collect LIBOR Rates The weightings for each Index Component i will be dynamic and determined by the yield in each respective country relative to all yields under consideration. These will be calculated monthly and will be based on the respective 3-month LIBOR rates prevalent in the countries on the Computation Day. Table 3 (i) Index component Index libor reference (i) Index component Index libor reference 1. EUR TR EUR3M 7. EURNZD TR NZD3M 2. EURUSD TR USD3M 8. EURCHF TR CHF3M 3. EURJPY TR JPY3M 9. EURDKK TR CIBOR 4. EURGBP TR GBP3M 10. EURNOK TR NIBOR 5. EURCAD TR CAD3M 11. EURSEK TR STIBOR 6. EURAUD TR AUD3M USD3M Means the 3-month fixing rate for deposits in US Dollars (BBA LIBOR 3 Month) determined by the British Banking Association on an Act/360 day count and appearing on the Bloomberg system at about 11h00 London Time on Computation Day t (ticker: US0003M Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate

17 EUR3M Means the 3-month fixing rate for deposits in Euros (3 Month EURIBOR) determined by the European Banking Federation on an Act/360 day count and appearing on the Bloomberg system at about 11h00 Brussels Time on Computation Day t (ticker: EUR003M Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. JPY3M Means the 3-month fixing rate for deposits in Japanese Yen (BBA LIBOR JPY 3 Month) determined by the British Banking Association on an Act/360 day count and appearing on the Bloomberg system at about 11h00 London Time on Computation Day t (ticker: JY0003M Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. GBP3M Means the 3-month fixing rate for deposits in British Pounds (BBA LIBOR GBP 3 Month) determined by the British Banking Association on an Act/365 day count and appearing on the Bloomberg system at about 11h00 London Time on Computation Day t (ticker: BP0003M Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. CAD3M AUD3M NZD3M Means the 3-month fixing rate for deposits in Canadian Dollars (Canada Bankers Acceptances 3 Month) determined as the average rates from eight Canadian Banks/contributors where the high and low rates are omitted and the remaining are averaged, reported on a money-market yield basis on an Act/365 day count convention, and appearing on the Bloomberg system on Computation Day t (ticker: CDOR03 Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. Means the 3-month fixing rate for deposits in Australian Dollars (Australian Dollar Bank Bills 3 Month Standard) determined by the Australian Financial Markets Association on an Act/360 day count and appearing on the Bloomberg system on Computation Day t (ticker: ADBB3M CMPL Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. Means the 3-month fixing rate for deposits in New Zealand Dollars (New Zealand Dollar Bank Bills 3 Month Standard) determined by the New Zealand Financial Markets Association on an Act/360 day count and appearing on the Bloomberg system on Computation Day t (ticker: NDBB3M CMPL Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. CHF3M Means the 3-month fixing rate for deposits in Swiss Francs (BBA LIBOR CHF 3 Month) determined by the British Banking Association on an Act/360 day count and appearing on the Bloomberg system at about 11h00 London Time on Computation Day t (ticker: SF0003M Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. CIBOR NIBOR CIBOR (Copenhagen Interbank Offered Rate Fixing 3 Month) means the 3-month fixing rate for deposits in Danish Krone determined by Danmarks Nationalbank on an Act/360 day count and appearing on the Bloomberg system at about 10h00 CET/Local Time on Computation Day t (ticker: CIB003M Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. NIBOR (Norway Interbank Offered Rate Fixing 3 Month) means the 3-month fixing rate for deposits in Norwegian Krone derived from 6 Norwegian banks on an Act/360 day count and appearing on the Bloomberg system at about 12h00 Local Time on Computation Day t (ticker: NIBOR3M Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate

18 STIBOR STIBOR (Stockholm Interbank Offered Rate Fixing 3 Month) means the 3-month fixing rate for deposits in Swedish Krona derived from 6 Swedish banks on an Act/360 day count and appearing on the Bloomberg system at about 12h00 Local Time on Computation Day t (ticker: STIB3M Index). In the event that such a rate does not appear on the Bloomberg system, it may be ascertained from any other source as the Index Calculation Agent may deem appropriate. Phase 2: Median Value Calculation The algorithm for finding the median value, for all Index Components i, on Computation Day t is: 1. Determine the number of Index Components (N); 2. Arrange the Index Libor Reference (see Table 3) in ascending order to get ; 3. Determine the Index Libor Reference in the middle of the data set; a. If N is odd, the median value is that value that is exactly in the middle of the data set. That position is found by the formula (N + 1)/2 b. If N is even, the median value is the mean of the data values that lie on either side of the data items is that is in the (N + 1)/2 position. The sample set of observed LIBOR rates for all Index Components (Index Libor References) i on Computation Day t is denoted as: and is defined by,, The corresponding ordered set is denoted by: and is defined by,,, where: The median of the ordered set,for all Index Components i, on Computation Day t is defined by: 1 2 Y Y Where is rounded to the next integer and is round down to the previous integer. N Y x : Number of Index Components Official LIBOR fixing, for Index Component, on Index Level Determination Date t, as determined by the Index Calculation Agent. If on any Index Level Determination Date, the fixing price of an Index Component is not available for any reason or, is subject to a Market Disruption Event (as defined in Section 4), the Index Component Value retained for that Index Level Determination Date will be the value retained for this Index Component on the first preceding Index Level Determination Date on which a fixing price for that Index Component was available and which was not a Disrupted Day. Ordered set of observed LIBOR rates of Index Components i on Computation Day t as determined by the Index Calculation Agent. Median Value of observed LIBOR rates for all Index Components i on Computation Day t as determined by the Index Calculation Agent. Phase 3: Optimal Weight Calculation

19 Having ascertained the Median Value, x, the Index Calculation Agent calculates on each Computation Day t, a weighting for each Index Component i respecting the following constraints: w, 100% LIBOR LIBOR The Index Calculation Agent determines the weighting for each eligible Index Component i (i.e. those Index Components whose LIBOR rate on Calculation Day t are greater than or equal to the Median Value) as the LIBOR rate of each Index Component i, divided by the sum of those LIBOR rates which are determined to be above or equal to the Median Value, x. w, LIBOR LIBOR 8. Index adjustment, suspension and termination events 8.1 Upon the occurrence of an Index Increased Cost of Maintenance Event, the Index Sponsor shall take into account as it deems appropriate, any amendment, correction or any potential adjustment of the Index of whatsoever nature relating to the Index Increased Cost of Maintenance Event and may require the Index Calculation Agent to make adjustments to the Index to reflect the Index Increased Cost of Maintenance Event. In making any such adjustments the Index Sponsor may require the Index Calculation Agent to substitute an existing component in the Index with a replacement component which it deems suitable and will subsequently perform the necessary adjustments to the Index. Index Increased Cost of Maintenance Event means the event that occurs if the Index Sponsor acting in good faith and a commercially reasonable manner deems that the amount of tax, duties, expenses, fees and rates (including without limitation any stock loan and/or stock borrowing and/or repo and/or replication costs or rates) of acquiring, establishing, re-establishing, substituting, maintaining, unwinding or disposing of any transactions or assets it deems necessary to enter into in order to compute, compile, hedge and/or maintain the Index has increased since the date the Index was launched. 8.2 Upon the occurrence of an Index CSR Event, the Index Sponsor may require the Index Calculation Agent to make any adjustments to the Index as it deems appropriate to account for the Index CSR Event. In making any such adjustments, the Index Sponsor may require the Index Calculation Agent to substitute an existing Index Component with a replacement Index Component which it deems suitable and the Index Calculation Agent shall subsequently perform the necessary adjustments to the Index. Index CSR Event means the event that occurs if the Index Sponsor, acting in good faith and a commercially reasonable manner, determines that the inclusion or retention of any Index Component in the Index would result in the Index Sponsor breaching any corporate social responsibility policy maintained by the Index Sponsor or any of its affiliates

20 8.3 Upon the occurrence of an Index Force Majeure Event, the Index Sponsor may suspend the Index until the end of the Index Force Majeure Event (the "Index Suspension Period"). If the Index Suspension Period exceeds one month the Index Sponsor may either i) require the Index Calculation Agent to adjust the Index taking into account as it deems appropriate, any amendment or potential adjustment of the Index of whatsoever nature relating to the Index Force Majeure Event and in making any such adjustments the Index Sponsor may advise the Index Calculation Agent to substitute an existing component in the Index with a replacement component which it deems suitable and the Index Calculation Agent will subsequently perform the necessary adjustments to the Index or ii) terminate the Index. Index Force Majeure Event means the event that occurs if the performance of the Index Sponsor and/or the Index Calculation Agent s obligations is prevented or materially hindered or delayed due to (a) any act, law, rule, regulation, judgment, order, directive, interpretation, decree or material legislative or administrative interference of any Government Authority or otherwise, or (b) the occurrence of civil war, disruption, military action, unrest, political insurrection, terrorist activity of any kind, riot, public demonstration and/or protest, or any other financial or economic reasons or any other causes or impediments beyond such party s control; or (c) any expropriation, confiscation, requisition, nationalization or other action taken or threatened by any Government Authority that deprives the Index Calculation Agent (or any of its relevant affiliates), of all or substantially all of its assets in the relevant currency jurisdiction; and Government Authority means any nation, state or government, any province or other political subdivision thereof, any body, agency or ministry, any taxing, monetary, foreign exchange or other authority, court, tribunal or other instrumentality and any other entity exercising, executive, legislative, judicial, regulatory or administrative functions of or pertaining to government. 8.4 Upon the occurrence of an Index Change in Law Event, the Index Sponsor may either (i) require the Index Calculation Agent to adjust the Index taking into account as it deems appropriate, any amendment or potential adjustment of the Index of whatsoever nature relating to the Index Change in Law Event and in making any such adjustments the Index Sponsor may advise the Index Calculation Agent to substitute an existing component in the Index with a replacement component which it deems suitable and the Index Calculation Agent will subsequently perform the necessary adjustments to the Index or (ii) terminate the Index. Index Change in Law Event means that, (a) due to the adoption of or any change in any applicable law or regulation (including, without limitation, in respect of tax, solvency or capital requirements), or (b) due to the promulgation of or any change in the interpretation by any court, tribunal or regulatory authority with competent jurisdiction of any applicable law or regulation (including any action taken by a taxing or financial authority) or the combined effect thereof if occurring more than once, the Index Sponsor determines in its sole and absolute discretion that it has become illegal to hold, acquire or dispose of any Index Components (or parts thereof) or any relevant hedge positions relating to the Index. 8.5 Upon the occurrence of an Index Tax Event, the Index Sponsor may as the case be, review the composition of the Index and make such adjustments as it deems necessary. Index Tax Event means any change in any applicable tax law or tax regulation, (b) the promulgation of or any change in the interpretation by any court, tribunal or regulatory authority with competent jurisdiction of any applicable tax law or tax regulation (including any action taken by a taxing authority) affecting the Index, or (c) where there is a substantial likelihood of a change in any applicable tax or tax regulation and practice, save in each case in relation to stamp or similar taxes which the Index Sponsor shall exclude for the purposes of this definition