GENERAL DESCRIPTION OF THE DB GLOBAL SOVEREIGN INDICES

Transcription

1 Dated: 20 July 2010 GENERAL DESCRIPTION OF THE DB GLOBAL SOVEREIGN INDICES ALTHOUGH THE INDEX SPONSOR WILL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF AN INDEX FROM SOURCES WHICH THE INDEX SPONSOR CONSIDERS RELIABLE, THE INDEX SPONSOR WILL NOT INDEPENDENTLY VERIFY SUCH INFORMATION AND DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF ANY INDEX OR ANY DATA INCLUDED THEREIN. THE INDEX SPONSOR SHALL NOT BE LIABLE (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY ERROR IN ANY INDEX AND THE INDEX SPONSOR IS UNDER NO OBLIGATION TO ADVISE ANY PERSON OF ANY ERROR THEREIN. NO TRANSACTION RELATING TO ANY INDEX IS SPONSORED, ENDORSED, SOLD OR PROMOTED BY THE INDEX SPONSOR AND THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES AS TO (A) THE ADVISABILITY OF PURCHASING OR ASSUMING ANY RISK IN CONNECTION WITH ANY TRANSACTION LINKED TO ANY INDEX (B) THE LEVELS AT WHICH ANY INDEX STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DATE (C) THE RESULTS TO BE OBTAINED BY THE ISSUER OF ANY SECURITY OR ANY COUNTERPARTY OR ANY SUCH ISSUER'S SECURITYHOLDERS OR CUSTOMERS OR ANY SUCH COUNTERPARTY'S COUNTERPARTIES OR CUSTOMERS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF ANY INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH ANY LICENSED RIGHTS OR FOR ANY OTHER USE OR (D) ANY OTHER MATTER. THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO ANY INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE INDEX SPONSOR HAVE ANY LIABILITY (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. Deutshe Bank AG, London Branh owns intelletual property rights in eah of the DB Global Sovereign Indies and in this General Desription of the DB Global Sovereign Indies, whih has been supplied by the Index Sponsor. Any use of any suh intelletual property rights must be with the onsent of Deutshe Bank AG, London Branh. 1

2 TABLE OF CONTENTS 1 General Definitions Eligibility Criteria Calulation of Index Closing Levels Index Sponsor Underlying Bond Prie Soure Fallbak Mehanisms Disruption Events Change in Methodology of the Index and Termination Availability and Publiation of Index Closing Level and Adjustments

3 1 General This General Desription sets out the rules appliable, in general, to eah DB Global Sovereign Index (eah an Index and together, the Indies ) and the basis on whih eah Index will be alulated. Details speifi to eah Index will be speified in a supplement whih shall omplete this General Desription in relation to the relevant Index (eah suh supplement, an Index Supplement ). Eah Index Supplement will be supplemental to, and must be read in onjuntion with, this General Desription. In the event of any onflit between the terms of an Index Supplement and this General Desription, the Index Supplement shall prevail in respet of the relevant Index. Terms used in this General Desription will have the meanings given to them in paragraph 2 Definitions below as supplemented by terms defined in the relevant Index Supplement for eah Index. Eah Index is intended to reflet the eonomi performane over time of a notional dynami portfolio of sovereign bonds issued by partiular Sovereign States speified in the relevant Index Supplement (eah an Underlying Bond and together, as a portfolio, the Underlying Portfolio ). As at the date of this General Desription, the list of Sovereign States whih may be speified in the relevant Index Supplement for a partiular Index inludes: the United States, Canada, Japan, Australia, New Zealand and any Sovereign State in the European Zone. The Eligibility Criteria for eah Index are the Standard Eligibility Criteria whih are appliable to eah Index (unless otherwise speified in the relevant Index Supplement) and the Additional Eligibility Criteria (if any) speified in the Index Supplement as more fully desribed paragraph 3 Eligibility Criteria below. For eah Index, the Underlying Portfolio is onstruted by the Index Sponsor on eah Index Re-Balaning Date speified in the relevant Index Supplement using all Underlying Bond onstituents meeting the Eligibility Criteria on the Underlying Portfolio Seletion Date prior to the relevant Index-Re-Balaning Date. The Underlying Portfolio for eah Index is dynami. The omposition of the Underlying Portfolio in respet of eah Index at the start of eah Index Period shall be reviewed on eah relevant Index Re-Balaning Date in aordane with the provisions of this General Desription and the relevant Index Supplement. The Underlying Portfolio shall remain stati during eah Index Period between Index Re-Balaning Dates. Any payments (inluding, but not limited to, oupon payments and any redemptions in part or in whole) made to a holder of any Underlying Bond in the Underlying Portfolio during an Index Period shall be notionally applied at the next Index Re-Balaning Date in determining the new omposition of the Underlying Portfolio during the next Index Period. Unless otherwise speified in the relevant Index Supplement, Index Calulation Dates shall be on (a) eah Index Re-Balaning Date (whih may fall on a Saturday or a Sunday) and (b) eah alendar day (exluding Saturdays and Sundays) in eah week from, but exluding, the Index Base Date, suh that, for the avoidane of doubt, (i) Index Calulation Date may fall on an Index Re-Balaning Date on the last alendar day of any relevant month notwithstanding that suh date falls on a Saturday or a Sunday, as the ase may be, and (ii) an Index Calulation Date (inluding when suh date falls on an Index Re- Balaning Date) may fall on a day whih is not an Index Business Day. 3

4 On eah Index Calulation Date the Index Sponsor shall alulate the return of eah Underlying Bond in the Underlying Portfolio during eah Index Period from the start of suh Index Period to the relevant Index Calulation Date in aordane with the Index Calulation Method speified in the Index Supplement for eah Index as more fully desribed in sub-paragraphs 4.1 to 4.6 of paragraph 4 Calulation of Index Closing Levels below. The Index Sponsor shall alulate suh returns using the Prie Soure speified in the relevant Index Supplement (whih shall inlude (but not be limited to) iboxx, the Index Sponsor and/or its Affiliates). In addition, for eah Index, the Index Calulation Method and the Index Title speified in the relevant Index Supplement shall speify if suh returns are to be alulated (i) on a loal urreny basis, when all Underlying Bonds are denominated in the relevant loal urreny, (ii) hedged or (iii) unhedged relative to the foreign exhange rate risk exposure between the loal urreny in whih eah Underlying Bond is denominated and the Index Base Curreny, when suh Underlying Bonds are denominated in a urreny that differs from the Index Base Curreny. Unhedged Indies shall reflet Unhedged FX Returns relating to hanges in the relevant Spot FX Rates over the relevant Calulation Period whereas Hedged Indies shall reflet Hedged FX Returns relating to the differene between the relevant Forward FX Rates and Spot FX Rates at the start of eah Calulation Period, as more fully desribed in paragraph 4.6 Foreign Exhange Rate Calulations below. The Index Closing Level of eah Index shall be alulated by the Index Sponsor for eah Index Calulation Date as a funtion of the Index Return during eah Index Period from the start of that Index Period to the relevant Index Calulation Date as more fully desribed in sub-paragraph 4.7 Index Closing Level Calulations below. Unless otherwise speified in the relevant Index Supplement, eah Index Closing Level will be published as soon as reasonably pratiable as of the Index Business Day immediately following the relevant Index Calulation Date in aordane with paragraph 9 Availability of Index Closing Levels and Adjustments below. The Index Base Date and the Index Closing Level on the Index Base Date shall be speified for eah Index in the relevant Index Supplement and eah Index Closing Level shall be quoted as a perentage of the Index Closing Level on the Index Base Date. The sponsor of eah Index is Deutshe Bank AG, London Branh (the Index Sponsor, whih expression shall inlude any suessor in suh apaity). This paragraph headed General is subjet to and qualified by the remainder of this doument and eah relevant Index Supplement. Purposes, aims and intentions expressed may not be ahieved. 4

5 2 Definitions Additional Eligibility Criteria has the meaning given to it in paragraph 3.1 Standard Seletion Proedure. Affiliate means in relation to any entity (the First Entity ), any entity ontrolled, diretly or indiretly, by the First Entity, any entity that ontrols, diretly or indiretly, the First Entity or any entity diretly or indiretly under ommon ontrol with the First Entity. For these purposes, ontrol means ownership of a majority of the voting power of an entity. AUD means the Australian Dollar. Average Rating Value means, in respet of a bond and an Underlying Portfolio Seletion Date, a value determined by the Index Sponsor as follows: (i) (ii) (iii) if suh bond is rated by only one Rating Ageny on suh Underlying Portfolio Seletion Date, the Rating Value in respet of suh bond by suh Rating Ageny on suh Underlying Portfolio Seletion Date; if suh bond is rated by two of the Rating Agenies on suh Underlying Portfolio Seletion Date, the mean as alulated by the Index Sponsor of the Rating Values in respet of suh bond by suh Rating Agenies rounded to the nearest whole number, with 0.5 being rounded upwards; and if suh bond is rated by all three of the Rating Agenies on suh Underlying Portfolio Seletion Date, the mean as alulated by the Index Sponsor of the Rating Values in respet of suh bond by suh Rating Agenies on suh Underlying Portfolio Seletion Date rounded to the nearest whole number, with 0.5 being rounded upwards. Bloomberg means Bloomberg L.P. or any of its Affiliates and subsidiaries and any suessor thereto. Bond Return has the meaning given to it in paragraph 4.5 Index Return Formula Common Definitions. CAD means the Canadian Dollar. CHF means the Swiss Fran. Calulation Period has the meaning given to it in paragraph 4.5 Index Return Formula Common Definitions. De Minimis Trading has the meaning given to it in paragraph 7.1 Disruption Events. Disappearane of an Underlying Bond or Instrument has the meaning given to it in paragraph 7.1 Disruption Events. Disruption Event has the meaning given to it in paragraph 7.1 Disruption Events. DKK means the Danish Krone. Eligible Bond has the meaning given to it in paragraph 3.1 Standard Eligibility Criteria and Additional Eligibility Criteria. Eligible Bond Universe has the meaning given to it in paragraph 3.1 Standard Eligibility Criteria and Additional Eligibility Criteria. 5

6 Eligibility Criteria means the Standard Eligibility Criteria and the Additional Eligibility Criteria speified in the relevant Index Supplement. Eligible Curreny means, with respet to a Sovereign State on an Underlying Portfolio Seletion Date, the lawful domesti urreny of suh Sovereign State on suh date. European Zone means eah member state of the European Union for whih the euro is the lawful domesti urreny of suh member state (as at the date of this General Desription). Ex Dividend Period Adjustments means, with respet to an Underlying Bond in the Underlying Portfolio of an Index on any Index Calulation Date and any ex dividend period appliable for suh Underlying Bond on suh date, that the hypothetial amount of arued interest payable on suh Underlying Bond on suh date shall be adjusted by an amount equal to the future oupon payment due to be paid on a date after suh Index Calulation Date but during the relevant ex dividend period. EUR means the Euro. Fore Majeure Event means an event or irumstane (inluding, without limitation, a systems failure, fire, building evauation, natural or man-made disaster, at of God, armed onflit, at of terrorism, at of state, riot or labour disruption or any similar intervening irumstane) that affets the ability of the Index Sponsor to alulate or determine the Index and whih is beyond the reasonable ontrol of the Index Sponsor. Foreign Exhange Disruption has the meaning given to it in paragraph 7.1 Disruption Events. Forward FX Rate has the meaning given to it in paragraph Forward FX Rate Calulations. FX Rate means, with respet to any relevant urreny for the purposes of an Index, any Spot FX Rate or Forward FX Rate relating to suh urreny. GBP means Sterling. Governmental Authority means, with respet to a Sovereign State, any ageny or instrumentality, ourt, tribunal, administrative or other governmental authority or any other entity (private or publi) harged with the regulation of the finanial markets (inluding the entral bank) of suh Sovereign State. Hedged FX Return has the meaning given to it in paragraph Hedged FX Return Calulations. Hedging Disruption has the meaning given to it in paragraph 7.1 Disruption Events. iboxx means iboxx bond indies and assoiated bond pries, managed, administered and published by the International Index Company Limited whih is a wholly-owned subsidiary of Markit Group Limited and (as of the date of this General Desription) is more fully desribed at Index has the meaning given to it in paragraph 1 General. Index Base Curreny has the meaning given to it in the relevant Index Supplement. Index Base Date has the meaning given to it in the relevant Index Supplement. 6

7 Index Business Day means, unless otherwise speified in the relevant Index Supplement, eah day (other than a Saturday or Sunday) on whih ommerial banks and foreign exhange markets settle payments and are open for general business (inluding dealings in foreign exhange and foreign urreny deposits) in London and New York and the TARGET Settlement System (as defined in the ISDA 2006 Definitions published by the International Swap and Derivatives Assoiation, In.) is open. Index Calulation Date means, unless otherwise speified in the relevant Index Supplement, (a) eah Index Re-Balaning Date (whih may fall on a Saturday or a Sunday) and (b) eah alendar day (exluding Saturdays and Sundays) in eah week from, but exluding, the Index Base Date. Index Calulation Date(t) has the meaning speified in paragraph 4.1 Index Return Calulations. Index Calulation Method has the meaning given to it in paragraph 4.1 Index Return Calulations. Index Closing Level has the meaning given to it in paragraph 4.7 Index Closing Level Calulations. Index Code has the meaning given to it in paragraph 9.2 Publiation Soures. Index Period means (i) the period from, and inluding, the Index Base Date to, but exluding the first Index Re-Balaning Date and (ii) eah period from and inluding, one Index Re-Balaning Date to, but exluding, the next immediately following Index Re- Balaning Date ommening with the first Index Re-Balaning Date. Index Re-Balaning Date means the last Index Calulation Date in eah alendar month, unless otherwise speified in the relevant Index Supplement. Index Re-Balaning Date(r) has the meaning given to it in paragraph 4.5 Index Return Formula Common Definitions. Index Return has the meaning given to it in paragraph 4.1 Index Return Calulations. Index Sponsor has the meaning given to it in paragraph 1 General. Index Supplement has the meaning given to it in paragraph 1 General. Index Publiation Heading has the meaning given to it in paragraph 9.2 Publiation Soures. Index Title has the meaning given to it in the relevant Index Supplement. Index Valuation Time has the meaning given to it in paragraph 9.1 General Publiation Information. Indies has the meaning given to it in paragraph 1 General. Inflation Adjustment means, if Inflation Linked is speified in the relevant Index Supplement, with respet to any amount or prie relating to any Underlying Bond to whih Inflation Adjustment is speified to be appliable, suh amount or prie shall be determined by the Index Sponsor, in a ommerially reasonable manner, subjet to nominal inflation adjustment in aordane with the onventions relating to suh adjustment in the inflation linked debt market where suh Underlying Bond is prinipally traded. 7

8 Instruments means, with respet to any relevant urreny, any finanial instrument or seurity of whatever type, or in whatever form, used to alulate or determine the prie of an Underlying Bond or any FX Rate appliable for suh urreny for the purposes on any Index inluding but not limited to ash deposits, fixed for floating interest rate swaps, futures ontrats, foreign exhange rates and any other finanial instruments that the Index Sponsor determines, in its sole and absolute disretion, to be appropriate to onsider for suh purposes. Instrument Prie Soures means any providers of market prie information relating to any relevant Instrument, inluding, but not limited to, Bloomberg or Reuters and/or any proprietary information, published or unpublished, of the Index Sponsor or any of its Affiliates, as determined by the Index Sponsor in its sole and absolute disretion. JPY means the Japanese Yen. Market Value has the meaning given to it in paragraph 4.5 Index Return Formula Common Definitions. Minimum Prinipal Amount Outstanding means, with respet to the Eligible Curreny of eah Sovereign State, the amount speified in the relevant Index Supplement. Notional Amount means, with respet to eah Eligible Bond in the Eligible Bond Universe on eah Underlying Bond Seletion Date, the total outstanding prinipal amount of suh Eligible Bond on suh date subjet to adjustment by the Index Sponsor, in its sole and absolute disretion, to take into aount any holdings of suh total outstanding prinipal amount held on suh date by any Governmental Authority of the Sovereign State that has issued suh bond. Notional Amount(r) has the meaning given to it in paragraph 4.5 Index Return Formula Common Definitions. Prie Soure means, unless otherwise speified in the relevant Index Supplement, with respet to eah Underlying Bond in the Underlying Portfolio of an Index, on eah Index Calulation Date: (i) (ii) if the Index Sponsor, in its sole and absolute disretion, determines that the pries for suh Underlying Bond as alulated and published by iboxx are appropriate for use in determining suh Index and Inflation Linked is not speified in the relevant Index Supplement, then iboxx shall be the appliable Prie Soure; or if the Index Sponsor, in its sole and absolute disretion, determines that the pries for suh Underlying Bond as alulated and published by iboxx are not appropriate for use in determining suh Index or if Inflation Linked is speified in the relevant Index Supplement, then the pries for suh Underlying Bond shall be determined by the Index Sponsor, in its sole and absolute disretion, with referene to whatever prie soure(s) and information that the Index Sponsor onsiders appropriate for suh purpose (an Alternative Prie Soure ) inluding, but not limited to, (i) information provided by alternative information providers suh as Bloomberg or Reuters and/or (ii) any proprietary information, published or unpublished, of the Index Sponsor or any of its affiliates relevant to determining the prie of suh Underlying Bond. Prinipal Offie has the meaning given to it in paragraph 9.1 General Publiation Information. 8

9 Rating Ageny means eah of S&P, Moody s and Fith or, in eah ase, any suessor to the rating business thereof. Rating Value means, in respet of a long-term debt rating of a bond by a Rating Ageny, a numeri value representing suh long-term debt rating where the Rating Value in respet of a rating of AAA by S&P and/or Fith or, as the ase may be, Aaa by Moody s is 1 and the Rating Value inreases by 1 in respet of eah subsequent lower grade of rating so that, for example and for the avoidane of doubt, the Rating Value in respet of a long-term debt rating of BBB- by S&P and/or Fith or, as the ase may be, Baa3 by Moody s is 10. Relevant Curreny() has the meaning given to it in paragraph 4.5 Index Return Formula Common Definitions. Relevant FX Sreen Page has the meaning given to it in paragraph Relevant FX Sreen Pages. Reuters means Reuters Group PLC or any of its affiliates and subsidiaries and any suessor thereto. Settlement Disruption has the meaning given to it in paragraph 7.1 Disruption Events. Sovereign State means, with respet to eah Underlying Portfolio Seletion Date, eah Sovereign State speified in the relevant Index Supplement. Spot FX Rate has the meaning given to it in paragraph Spot FX Rate Calulations. Standard Eligibility Criteria has the meaning given to it in paragraph 3.1 Standard Eligibility Criteria and Additional Eligibility Criteria. Suessor Underlying Bond Prie Soure has the meaning given to it in paragraph 6.1 Suessor Underlying Bond Prie Soure. SEK means the Swedish Krona. t+0 Settlement Convention means, with respet to an Underlying Bond in the Underlying Portfolio of an Index on any Index Calulation Date, that the hypothetial delivery date for the notional amount of suh Underlying Bond, if hypothetially traded on suh Index Calulation Date, shall be deemed to be suh Index Calulation Date notwithstanding any atual market settlement onvention appliable to atual trades in suh Underlying Bond in real markets whereby the atual delivery may only our a number of days after the atual trade date. Trading Suspension has the meaning given to it in paragraph 7.1 Disruption Events. Tax Disruption has the meaning given to it in paragraph 7.1 Disruption Events. Underlying Bond has the meaning given to it in paragraph 1 General. Underlying Bond Business Day Holiday means, with respet to any Underlying Bond, a day whih ommerial banks and foreign exhange markets that settle payments in the urreny of denomination of suh Underlying Bond are not open for general business (inluding dealings in foreign exhange and foreign urreny deposits) in the prinipal finanial entre of the ountry whose urreny is the urreny of denomination of suh Underlying Bond (the Underlying Bond Curreny ), and (ii) if the urreny of denomination of suh Underlying Bond is euros, a day when the TARGET Settlement System is not open. 9

10 Underlying Bond Business Day Holiday Convention means, unless otherwise speified in the Index Supplement for an Index, if an Underlying Bond Business Day Holiday ours for any Underlying Bond in the Underlying Portfolio for an Index on an Index Calulation Date for that Index, then the Index Sponsor shall make all determinations neessary for the purposes of alulating suh Index on suh Index Calulation Date using the prie of suh Underlying Bond as most reently published by the Prie Soure notwithstanding that suh prie may have been used for suh purposes on any preeding Index Calulation Date. Underlying Bond Curreny Jurisdition has the meaning given to it in paragraph 7.1 Disruption Events Underlying Bond Prie Soure has the meaning given to it in paragraph 6.1 Suessor Underlying Bond Prie Soure. Underlying Bond Prie Canellation has the meaning given to it in paragraph 6.2 Underlying Bond Prie Soure Events. Underlying Bond Prie Disruption has the meaning given to it in paragraph 6.2 Underlying Bond Prie Soure Events. Underlying Bond Prie Error has the meaning given to it in paragraph 6.2 Underlying Bond Prie Soure Events. Underlying Bond Prie Event has the meaning given to it in paragraph 6.2 Underlying Bond Prie Soure Events. Underlying Bond Prie Modifiation has the meaning given to it in paragraph 6.2 Underlying Bond Prie Soure Events. Underlying Portfolio has the meaning given to it in paragraph 1 General. Underlying Portfolio Seletion Dates means with respet to eah Index Re-Balaning Date, the Index Business day falling 3 Index Business Days immediately preeding suh Index Re-Balaning Date, unless otherwise speified in the relevant Index Supplement. Unhedged FX Return has the meaning given to it in paragraph Unhedged FX Return Calulations. USD means the United States Dollar. 3 Eligibility Criteria 3.1 Standard Eligibility Criteria and Additional Eligibility Criteria For eah Index, on eah Underlying Portfolio Seletion Date the Index Sponsor shall onstrut an Underlying Portfolio, appliable for the purposes of the relevant Index on the Index Re-Balaning Date following suh Underlying Portfolio Seletion Date, omprised of all Underlying Bonds satisfying the following Eligibility Criteria (eah suh Underlying Bond, an Eligible Bond and together, all suh Underlying Bonds on suh date, the Eligible Bond Universe ): (a) Eah Eligible Bond in the Eligible Bond Universe on eah Underlying Portfolio Seletion Date: (i) must have a Average Rating Value less than or equal to 10; 10

11 (ii) (iii) (iv) (v) (vi) (vii) (viii) (ix) (x) has been issued by a Sovereign State (inluding any Governmental Authority) in the relevant Eligible Curreny; does not have any form of amortisation with respet to the repayment of the prinipal amount; is expressed to be redeemed on its maturity date at par (100 per ent. of the prinipal amount); (x) if issued by a Sovereign State in the European Zone, does not inlude an issuer all option or investor put option or (y) if issued by a Sovereign State not in the European Zone, does not inlude an issuer all option; has been issued, settled and leared by the relevant issuer prior to the relevant Index Re-Balaning Date; has a maturity date falling at least thirteen (13) months after the date of issue; has a minimum time remaining to maturity of at least one alendar year when measured from, and inluding, the relevant Index Re-Balaning Date to, but exluding, the maturity date; was not privately plaed on issue; and has a Minimum Prinipal Amount Outstanding on the relevant Underlying Portfolio Seletion Date; (together, the Standard Eligibility Criteria ); and (b) suh bond meets all of the additional eligibility riteria speified in the relevant Index Supplement (the Additional Eligibility Criteria ), whih may modify, replae, supplement or render ineffetive any or all of the Standard Eligibility Criteria if expressly stated to do so. 3.2 Publiation of the Appliable Underlying Portfolio Unless otherwise speified in the relevant Index Supplement, for eah Index, as soon as reasonably pratiably as of the Index Business Day immediately following eah Index Re- Balaning Date, the Index Sponsor shall publish the list of all Underlying Bonds in the Underlying Portfolio appliable for suh Index for the Index Period ommening on suh Index Re-Balaning Date in aordane with paragraph 9 Availability and Publiation of Index Closing Level and Adjustments. 4 Calulation of Index Closing Levels 4.1 Index Return Calulations The index return for eah Index (the Index Return ) is equal to the perentage hange in the total market value of the all notional holdings of the Underlying Bonds onstituting the Underlying Portfolio taking into aount the value of any oupon payments notionally reeived on suh holdings, whih may be either hedged or unhedged with respet to any foreign exhange rate movements (if any) between the loal urreny in whih eah suh Underlying Bond is denominated and the Index Base Curreny (if different), depending on the Index Calulation Method speified in the relevant Index Supplement, alulated by the Index Sponsor on eah Index Calulation Date ( Index Calulation Date(t) ) as more fully desribed and in aordane with the appliable formula for IR(t) speified below. 11

12 4.2 Loal Index Calulation Method Formula If the Index Calulation Method is speified as Loal in the relevant Index Supplement, then the Index Sponsor shall alulate the Index Return on eah Index Calulation Date(t) in aordane with the following formula as a funtion of (a) the sum of (i) the Bond Return of eah Underlying Bond in the Underlying Portfolio on suh date for the relevant Calulation Period multiplied by (ii) the Market Value of suh Underlying Bond on the Index Re-Balaning Date multiplied by the Spot FX Rate, divided by (b) the sum of the Market Values of all Underlying Bonds in the Underlying Portfolio on the Index Re-Balaning Date multiplied by the Spot FX Rate: IR( t) BRi, ( t) * MVi, ( r) * FX C, i MVi, * FX C, IBC i IBC where the terms speified in eah suh formula shall have the meaning given to them in paragraph 4.5 Index Return Formulas Common Definitions below. 4.3 Unhedged Index Calulation Method Formula If the Index Calulation Method is speified as Unhedged in the relevant Index Supplement, then on eah Index Calulation Date(t) the Index Sponsor shall alulate the Index Return on suh date in aordane with the following formula as a funtion of (a) the sum of (i) the Bond Return of eah Underlying Bond in the Underlying Portfolio on suh date adjusted for the Spot FX Rate for the relevant Calulation Period multiplied by (ii) the Market Value of suh Underlying Bond on the Index Re-Balaning Date multiplied by the Spot FX Rate, divided by (b) the sum of suh Market Values multiplied by the relevant Spot FX Rates for all Underlying Bonds in the Underlying Portfolio on the Index Re-Balaning Date: IR( t) i BR i, ( t) FXR, IBC t) BRi, ( t)* FXR, IBC ( t) MVi, * FX C, IBC ( i * MV i, * FX C, IBC where the terms speified in suh formula shall have the meaning given to them in paragraph 4.5 Index Return Formulas Common Definitions and paragraph 4.6 Foreign Exhange Rate Calulations below. 4.4 Hedged Index Calulation Method Formula If the Index Calulation Method is speified as Hedged in the relevant Index Supplement, then on eah Index Calulation Date(t) the Index Sponsor shall alulate the Index Return on suh date in aordane with the following formula as a funtion of (a) the sum of (i) the Bond Return of eah Underlying Bond in the Underlying Portfolio on suh date adjusted for the Forward FX Rate (relative to the Spot FX Rate) for the relevant Calulation Period multiplied by (ii) the Market Value of suh Underlying Bond on the Index Re-Balaning Date multiplied by the Sport FX Rate, divided by (b) the sum of suh Market Values multiplied by the relevant Spot FX Rates for all Underlying Bonds in the Underlying Portfolio on the Index Re-Balaning Date: 12

13 IR( t) i BR i, ( t) FXHR, IBC ( t) BRi, ( t) * FXR, IBC ( t) MV * FX C IBC i,, i * MV i, * FX C, IBC where the terms speified in suh formula shall have the meaning given to them in paragraph 4.5 Index Return Formulas Common Definitions and paragraph 4.6 Foreign Exhange Rate Calulations below 4.5 Index Return Formulas Common Definitions For the purposes of the formulas speified in paragraph 4.2 Loal Index Calulation Formula, paragraph 4.3 Unhedged Index Calulation Method Formula and paragraph 4.4 Hedged Index Calulation Method Formula, the terms speified in suh formulas shall have the following meanings: i means eah Underlying Bond in the Underlying Portfolio on Index Calulation Date(t) taken in turn, separately; i means the sum of the results of eah alulation(i) of the relevant formula, where i takes eah value iteratively in the range from and inluding 1 to and inluding the total number of Underlying Bonds onstituting the Underlying Portfolio on Index Calulation Date(t); IBC t r Calulation Period means the Index Base Curreny. means the urreny of denomination of Underlying Bond(i) ( Relevant Curreny() ); means the Index Calulation Date(t); means the Index Re-Balaning Date immediately preeding Index Calulation Date(t), exept where no suh Index Re-Balaning Date ours immediately preeding Index Calulation Date(t), in whih ase, r shall mean the Index Base Date, ( Index Re-Balaning Date(r) ); means (i) the period from, and inluding, the Index Calulation Date immediately following Index Re-Balaning Date(r) to, and inluding, suh Index Calulation Date(t), exept (ii) where no Index Re- Balaning Date has ourred prior to Index Calulation Date(t), the Calulation Period shall be from, and inluding, the Index Base Date to, but exluding suh Index Calulation Date(t); A i, ( t ) means the arued interest (if any) on Underlying Bond(i) on Index Calulation Date(t), denominated in Relevant Curreny(), for the period from, but exluding, the last oupon payment date of Underlying Bond(i) prior to Index Calulation Date(t) to, and inluding, Index Calulation Date(t), expressed as a perentage of the Notional Amount(r) of Underlying Bond(i), subjet to Ex Dividend Period Adjustments and, if suh Underlying Bond(i) is speified as 13

14 Inflation Linked in the relevant Index Supplement, suh arued interest shall be subjet to Inflation Adjustment; A i, ( r ) means the arued interest (if any) on Underlying Bond(i) on Index Re-Balaning Date(r), denominated in Relevant Curreny(), for the period from, but exluding, the last oupon payment date of Underlying Bond(i) prior to Index Re-Balaning Date(r) to, and inluding Index Re-Balaning Date(r), expressed as a perentage of the Notional Amount(r) of Underlying Bond(i), subjet to Ex Dividend Period Adjustments and, if suh Underlying Bond(i) is speified as Inflation Linked in the relevant Index Supplement, suh arued interest shall be subjet to Inflation Adjustment; BR i, (t ) means the return during the Calulation Period of Underlying Bond(i), denominated in Relevant Curreny(), on Index Calulation Date(t) alulated by the Index Sponsor in aordane with the following formula as a funtion of (a) the hange in prie and arued interest of suh Underlying Bond (i) during suh period and (b) any oupons paid on suh bond during suh period (the Bond Return ), expressed as a perentage: P i, ( t) A i, ( t) Cpn P i, i, ( r 1, t) P A i, i, A Cpn i, ( r 1, t) means the oupon payments, denominated in Relevant Curreny(), i, made by the issuer of Underlying Bond(i) to a bondholder of Underlying Bond(i) during the Calulation Period expressed as a perentage of the Notional Amount(r) of Underlying Bond(i), where, if suh Underlying Bond(i) is speified as Inflation Linked in the relevant Index Supplement, suh oupon payments shall be subjet to Inflation Adjustment; MV i, means the market value of Underlying Bond(i) on Index Re- Balaning Date(r), denominated in Relevant Curreny(), alulated by the Index Sponsor in aordane with the following formula as a funtion of the prie, arued interest and Notional Amount of suh Underlying Bond (i) on suh date (the Market Value ): Pi, Ai, * Ni, 100 N i, ( r ) means the Notional Amount of Underlying Bond(i), denominated in Relevant Curreny() determined by the Index Sponsor, in its sole and absolute disretion, as appliable for the Index Period ommening on Index Re-Balaning Date(r) (the Notional Amount(r) ); P i, ( t) means the bid prie of Underlying Bond(i), denominated in Relevant Curreny(), expressed as a perentage of the Notional Amount(r) of Underlying Bond(i), at the lose of the market where suh Underlying Bond(i) is prinipally traded, on the Index Calulation Date(t) as alulated and published by the relevant Prie Soure, 14

15 subjet to the Underlying Bond Business Day Holiday Convention and, if suh Underlying Bond(i) is speified as Inflation Linked in the relevant Index Supplement, subjet to Inflation Adjustment. P i, ( r ) means the bid prie of Underlying Bond(i), denominated in Relevant Curreny(), expressed as a perentage of the Notional Amount(r) of Underlying Bond(i), at the lose of the market where suh Underlying Bond(i) is prinipally traded, on the Index Re-Balaning Date(r) as alulated and published by the relevant Prie Soure, subjet to the Underlying Bond Business Day Holiday Convention, unless suh Underlying Bond(i) is being inluded in the Underlying Portfolio for the first time on Index Re-Balaning Date(r), in whih ase suh prie shall be deemed to be the offer prie of Underlying Bond(i), expressed as a perentage of the notional amount of Underlying Bond(i), at the lose of the market where suh Underlying Bond(i) is prinipally traded, on the Index Re-Balaning Date(r) as alulated and published by the relevant Prie Soure, subjet to the Underlying Bond Business Day Holiday Convention and, if suh Underlying Bond(i) is speified as Inflation Linked in the relevant Index Supplement, subjet to Inflation Adjustment. 15

16 4.6 Foreign Exhange Rate Calulations Relevant FX Sreen Pages Unless a Prie Soure Disruption has ourred and/or is ontinuing with respet to any Relevant FX Sreen Page, for the purposes of alulating the Index Closing Level of any Index on eah Index Calulation Date, the Index Sponsor shall use the foreign exhange rates published by Reuters at 16:00 London time appearing on the sreen page speified in the following table (eah a Relevant FX Sreen Page ): Curreny Relevant FX Sreen Page for Spot FX Rates relating to the Curreny Relevant FX Sreen Page for Forward FX Rates relating to the Curreny Curreny quoted as the base urreny of relevant FX Rate AUD USDAUDFIX=WM USDAUD1MFIX=WM Yes CAD USDCADFIX=WM USDCAD1MFIX=WM No DKK USDDKKFIX=WM USDDKK1MFIX=WM No NZD USDNZDFIX=WM USDNZD1MFIX=WM Yes GBP USDGBPFIX=WM USDGBP1MFIX=WM Yes CHF USDCHFFIX=WM USDCHF1MFIX=WM No SEK USDSEKFIX=WM USDSEK1MFIX=WM No EUR USDEURFIX=WM USDEUR1MFIX=WM Yes JPY USDJPYFIX=WM USDJPY1MFIX=WM No Spot FX Rate Calulations On eah Index Calulation Date(t), the Spot FX Rate for eah Relevant Curreny() shall be alulated by the Index Sponsor on suh date in aordane with the following formula as a funtion of the relevant bid and/or offer spot foreign exhange rate quotations speified below with respet to both (i) suh Relevant Curreny() against the USD and (ii) the Index Base Curreny against the USD: FXB FX,IBC ( t ) FXA where:, USD IBC, USD ( t ) ( t ) FX, IBC (t ) means the spot foreign exhange rate, expressed as the number of units of the Index Base Curreny required to purhase one unit of Relevant Curreny() on Index Calulation Date(t) for settlement two relevant business days after suh date (the Spot FX Rate ). FXB, USD (t ) means the bid spot foreign exhange rate, expressed as the number of units of USD required to purhase one unit of Relevant Curreny() on Index Calulation Date(t) for settlement two relevant business days after suh date where: 16

17 (i) (ii) if the Curreny quoted as the base urreny of the relevant FX Rate is speified as Yes in the table set out in paragraph Relevant FX Sreen Pages above for Relevant Curreny(), suh rate shall be equal to the bid spot foreign exhange rate quotation appearing on the Relevant FX Sreen Page for Relevant Curreny() on suh date; or if the Curreny quoted as the base urreny of the relevant FX Rate is speified as No in the table set out in paragraph Relevant FX Sreen Pages above for Relevant Curreny(), suh rate shall be equal to the reiproal of the ask spot foreign exhange rate quotation appearing on the Relevant FX Sreen Page for Relevant Curreny() on suh date, unless, notwithstanding the terms of sub-paragraphs (i) and (ii) above, if the Index Base Curreny is speified as USD in the relevant Index Supplement, suh rate shall be deemed to be 1. FXA IBC, USD (t ) means the ask spot foreign exhange rate, expressed as the number of units of USD required to purhase one unit of the Index Base Curreny on Index Calulation Date(t) for settlement two relevant business days after suh date where: (i) (ii) if the Curreny quoted as the base urreny of the relevant FX Rate is speified as Yes in the table set out in paragraph Relevant FX Sreen Pages above for the Index Base Curreny, suh rate shall be equal to the ask spot foreign exhange rate quotation appearing on the Relevant FX Sreen Page for the Index Base Curreny on suh date; or if the Curreny quoted as the base urreny of the relevant FX Rate is speified as No in the table set out in paragraph Relevant FX Sreen Pages above for the Index Base Curreny, suh rate shall be equal to the reiproal of the bid spot foreign exhange rate quotation appearing on the Relevant FX Sreen Page for Relevant Curreny() on suh date, Forward FX Rate Calulations unless, notwithstanding the terms of sub-paragraphs (i) and (ii) above, if the Index Base Curreny is speified as USD in the relevant Index Supplement, suh rate shall be deemed to be 1. On eah Index Calulation Date(t), the Forward FX Rate for eah Relevant Curreny() shall be alulated by the Index Sponsor on suh date in aordane with the following formula as a funtion of the relevant bid and/or offer spot foreign exhange rates and the one month forward foreign exhange rate points quotations speified below with respet to both (i) suh Relevant Curreny() against the USD and (ii) the Index Base Curreny against the USD: 17

18 FXFB FXF,IBC ( t ) FXFA where:, USD IBC, USD ( t ) ( t ) FXF, IBC (t ) means the one month forward foreign exhange rate, expressed as the number of units of the Index Base Curreny required to purhase one unit of Relevant Curreny() on Index Calulation Date(t) for settlement one alendar month after suh date (the Forward FX Rate ). FXFB, USD (t ) means the bid one month forward foreign exhange rate, expressed as the number of units of USD required to purhase one unit of Relevant Curreny() on Index Calulation Date(t) for settlement one alendar month after suh date where: (i) if the Curreny quoted as the base urreny of the relevant FX Rate is speified as Yes in the table set out in paragraph Relevant FX Sreen Pages above for Relevant Curreny(), suh rate shall be equal to the sum of: (a) (b) the bid spot foreign exhange rate quotation appearing on the Relevant FX Sreen Page for Relevant Curreny() on suh date; and the bid one month forward foreign exhange rate points quotation appearing on the Relevant FX Sreen Page for Relevant Curreny() on suh date; or (ii) if the Curreny quoted as the base urreny of the relevant FX Rate is speified as No in the table set out in paragraph Relevant FX Sreen Pages above, suh rate shall be equal to the reiproal of the sum of: (a) (b) the ask spot foreign exhange rate quotation appearing on the Relevant FX Sreen Page for Relevant Curreny() on suh date; and the ask one month forward foreign exhange rate points quotation appearing on the Relevant FX Sreen Page for Relevant Curreny() on suh date, unless, notwithstanding the terms of sub-paragraphs (i) and (ii) above, if the Index Base Curreny is speified as USD in the relevant Index Supplement, suh rate shall be deemed to be 1. FXFA IBC, USD (t ) means the ask one month foreign exhange rate, expressed as the number of units of USD required to purhase one unit of the Index Base Curreny on Index Calulation Date(t) for settlement one alendar month after suh date where: (i) if the Curreny quoted as the base urreny of the relevant FX Rate is speified as Yes in the table set out in paragraph Relevant FX Sreen Pages above for the 18

19 Index Base Curreny, suh rate shall be equal to the sum of: (a) (b) the ask spot foreign exhange rate quotation appearing on the Relevant FX Sreen Page for the Index Base Curreny on suh date; and the ask one month forward foreign exhange rate points quotation appearing on the Relevant FX Sreen Page for the Index Base Curreny on suh date; or (ii) if the Curreny quoted as the base urreny of the relevant FX Rate is speified as No in the table set out in paragraph Relevant FX Sreen Pages above for the Index Base Curreny, suh rate shall be equal to the reiproal of the sum of: (a) (b) the bid spot foreign exhange rate quotation appearing on the Relevant FX Sreen Page for the Index Base Curreny on suh date; and the ask one month forward foreign exhange rate points quotation appearing on the Relevant FX Sreen Page for the Index Base Curreny on suh date, Unhedged FX Return Calulations unless, notwithstanding the terms of sub-paragraphs (i) and (ii) above, if the Index Base Curreny is speified as USD in the relevant Index Supplement, suh rate shall be deemed to be 1. On eah Index Calulation Date(t), the Unhedged FX Return for eah Relevant Curreny() shall be alulated by the Index Sponsor on suh date in aordane with the following formula: FXR where:,ibc FX ( t ) FX,IBC,IBC ( t ) 1 ( r ) FXR, IBC (t ) means the rate of return on Index Calulation Date(t) due to the hange (if any) between the Spot FX Rate for Relevant Curreny() during the Calulation Period (the Unhedged FX Return ). FX IBC, ( t) means the Spot FX Rate for Relevant Curreny() on Index Calulation Date(t) determined in aordane with the formula set out in paragraph Spot FX Rate Calulations. FX, IBC ( r ) means the Spot FX Rate for Relevant Curreny() on Index Re- Balaning Date(r) in aordane with the formula set out in paragraph Spot FX Rate Calulations Hedged FX Return Calulations 19

20 On eah Index Calulation Date(t), the Hedged FX Return for eah Relevant Curreny() shall be alulated by the Index Sponsor on suh date in aordane with the following formula: FXHR where:,ibc FXF ( t ) FX,IBC,IBC ( r ) d( r,t ) 1 * ( r ) TD( r ) FXHR, IBC (t ) means the rate of return for the Calulation Period on Index Calulation Date(t) due to differene between the Forward FX Rate and the Spot FX Rate for Relevant Curreny() on Index Re- Balaning Date(r) (the Hedged FX Return ). FXF, IBC (t ) means the Forward FX Rate for Relevant Curreny() on Index Re- Balaning Date(r) in aordane with the formula set out in paragraph Forward FX Rate Calulations. FX, IBC ( r ) means the Spot FX Rate for Relevant Curreny() on Index Re- Balaning Date(r) in aordane with the formula set out in paragraph Spot FX Rate Calulations. d ( r,t ) means the atual number of alendar days in the period from, but exluding Index-Rebalaning Date(r) to, but inluding, Index Calulation Date(t). TD ( r ) means that total number of alendar days in the Index Period ommening on, but exluding, Index Re-Balaning Date(r). 4.7 Index Closing Level Calulations On eah Index Calulation Date(t), the losing level of an Index (the Index Closing Level ) shall be alulated by the Index Sponsor aording to the following formula: IL(t ) Where: IL( r )* (1 IR(t )) IL (t ) means the Index Closing Level on Index Calulation Date(t). IL ( r ) means the Index Closing Level on the Index Re-Balaning Date immediately preeding the Index Calulation Date(t), exept where no Index Re-Balaning Date has ourred prior to suh Index Calulation Date(t), in whih ase, IL(r) shall mean the Index Closing Level on the Index Base Date. ) (t IR has the meaning speified in paragraph 4.2 Loal Index Calulation Method Formula, paragraph 4.3 Unhedged Index Calulation Method Formula or paragraph 4.4 Hedged Index Calulation Method formula above, as appliable, assuming a t+0 Settlement Convention (unless otherwise speified in the relevant Index Supplement). 20

21 4.8 Misellaneous The Index Closing Level shall be alulated and published by the Index Sponsor rounded to the sixth deimal plae, with being rounded upwards as set out in paragraph 9 Availability of Index Closing Levels and Adjustments below, however, suh rounding may be hanged by the Index Sponsor, at any time, at its sole and absolute disretion. The methodology desribed herein is subjet to the provision set out in paragraph 8 Change in the Methodology of the Index and Termination below. 5 Index Sponsor Unless otherwise provided and subjet to paragraph 8 Change in Methodology of the Index and Termination all determinations made by the Index Sponsor will be made by it in good faith and in a ommerially reasonable manner by referene to suh fators as the Index Sponsor deems appropriate and will be final, onlusive and binding in the absene of manifest error. 6 Underlying Bond Prie Soure Fallbak Mehanisms 6.1 Suessor Underlying Bond Prie Soure If, at any relevant time, the prie of an Underlying Bond in the Underlying Portfolio of an Index is not alulated and published by the relevant Prie Soure (an Underlying Bond Prie Soure ) but is alulated and published by a suessor prie soure (the Suessor Underlying Bond Prie Soure ) aeptable to the Index Sponsor, then the Prie Soure for that Underlying Bond shall be deemed to be the Suessor Underlying Bond Prie Soure and the Index Sponsor shall use the prie so alulated and published by that Suessor Underlying Bond Prie Soure for the purposes of alulations and determinations relating to suh Index. For the avoidane of doubt, suh Suessor Underlying Bond Prie Soure shall be deemed to be an Underlying Bond Prie Soure and the provisions of this paragraph 6.1 shall apply mutatis mutandis to suh Suessor Underlying Bond Prie Soure and eah suh suessor thereof. 6.2 Underlying Bond Prie Soure Events If, at any relevant time, the Underlying Bond Prie Soure or any Suessor Underlying Bond Prie Soure (i) makes or announes that it will make a material hange in the method for determining or alulating or the formula alulating the prie of an Underlying Bond in the Underlying Portfolio of an Index or in any other way materially modifies the alulation of suh prie (an Underlying Bond Prie Soure Modifiation ) or (ii) anels publiation of suh prie (an Underlying Bond Prie Soure Canellation ) or (iii) fails to alulate and publish suh prie of for whatever period of time (an Underlying Bond Prie Soure Disruption ) or the Index Sponsor determines, in its sole and absolute disretion that suh prie has been alulated by referene to inorret data or to quotations by dealers that do not reflet the true market trading prie of suh Underlying Bond (an Underlying Bond Prie Soure Error ) then the Index Sponsor may: (a) determine the prie of suh Underlying Bond at the relevant time using, in lieu of a prie published by suh prie soure for that Underlying Bond, the prie of suh Underlying Bond as at the relevant time as determined by the Index Sponsor in aordane with (a) the formula for and method of alulating suh Underlying Bond last in effet and used by the relevant prie soure prior to the Underlying 21

22 Bond Prie Soure Modifiation, Underlying Bond Prie Soure Canellation, Underlying Bond Prie Soure Disruption, or Underlying Bond Prie Soure Error, as appliable, (an Underlying Bond Prie Soure Event ) or (b) any other formula for or method of alulating suh prie as the Index Sponsor determines to be appropriate for suh purpose in its sole and absolute disretion with, if the Index Sponsor so determines as appropriate, referene to any Alternative Prie Soure; or (b) elet, in its sole and absolute disretion, not to determine the prie of suh Underlying Bond and determine that a Prie Soure Disruption Event desribed in paragraph 7.1(i) has ourred and proeed in aordane with terms of paragraph Disruption Events 7.1 Disruption Event other than Fore Majeure Disruption Event, in respet of any Index and any Index Calulation Date, means an event (inluding a Fore Majeure Event and inluding a national holiday or a day of national mourning) that would require the Index Sponsor to alulate suh Index on an alternative basis were suh event to our or exist on suh day, all as determined by the Index Sponsor in its sole and absolute disretion. Without limitation, eah of the following may be a Disruption Event if so determined by the Index Sponsor: (i) (ii) (iii) (iv) (v) (vi) Prie Soure Disruption : (a) (x) an Underlying Bond Prie Soure Event ours, or has ourred and is ontinuing, as determined by the Index Sponsor in its sole and absolute disretion, and (y) the Index Sponsor has eleted, in its sole and absolute disretion, not to determine the prie of suh Underlying Bond pursuant to paragraph 6.2 Underlying Bond Prie Soure Events ; (b) any Instrument Prie Soure for any Instrument, any Relevant FX Sreen Page or any other information relevant to the Index is temporarily or permanently disontinued, unavailable or not announed or published thereby preventing or restriting the information neessary for determining the relevant Index. Trading Suspension : the material suspension of trading in any Underlying Bond or Instrument. Disappearane of an Underlying Bond or Instrument : the failure of trading to ommene, or the permanent disontinuation of trading in any Underlying Bond or Instrument. De Minimis Trading : the number of Underlying Bonds or related Instrument traded on any relevant date is materially redued or liquidity in the market for any Underlying Bond or Instrument is otherwise redued for any reason. Change of Law or Rules : there is a hange in, or amendment to, the laws, rules or regulations relating to any Underlying Bond or Instrument or a hange in any appliation or interpretation of suh laws, rules or regulations. Settlement Disruption : the Index Sponsor determines in its sole and absolute disretion that trading in, or settlement in respet of any Underlying Bond or Instrument is subjet to any material disruption temporarily or permanently. 22