J.P. Morgan Bespoke Commodiy Index Sandard Terms February 2011 All Righs Reserved 1
1. An Inroducion o he J.P. Morgan Bespoke Commodiy Index Sandard Terms The J.P. Morgan Bespoke Commodiy Index Sardard Terms is a mehodology developed by J.P. Morgan ha applies a long, shor or long-shor sraegy o various Consiuens (each such sraegy, an Index or Bespoke Index and collecively, he Indices or Bespoke Indices ). Indices ha incorporae he J.P. Morgan Bespoke Commodiy Index Sandard Terms may seek o rack exposure o (a) an index or baske of indices, (b) he difference beween wo indices, which we refer o as Componens, or a baske of Componens wih eiher saic or dynamic weighs for such Componens or (c) some oher sraegy ha will be se forh in he relevan Index Supplemen. Each Index will eiher be an Excess Reurn or Toal Reurn Index, and he Index Type will be specified in he Index Supplemen. Please see Disclaimers and Conflics of Ineres as se forh in hese Sandard Terms. 2. This Documen This documen, he J.P. Morgan Bespoke Commodiy Index Sandard Terms (he Sandard Terms ), ses forh he framework for each J.P. Morgan Bespoke Commodiy Index (he Indices or Bespoke Indices ). This documen should be read in conjuncion wih he specific Index Supplemen for any Bespoke Index. This documen explains index consrucion in a general form, wih cerain conceps or pariculars lef unspecified (for example, he Index Supplemen will specify he Consiuens of he relevan Bespoke Index and he applicable Componen Weighs). The Index Supplemen will be used o specify hese index specific erms, and when read ogeher wih he Sandard Terms, he Index Supplemen and he Sandard Terms will consiue he Index Rules. Each Bespoke Index shall have an Index Supplemen, which incorporaes hese Sandard Terms, and ses ou he Index Name and any addiional erms or deails required by he Index Calculaion Agen o deermine he Index Level. For he avoidance of doub, he Index Supplemen may include a provision, formula or definiion, and such provision, formula or definiion will supersede and replace any provision, formula or definiion se forh herein for he purpose of calculaing he Index or Indices described in ha specific Index Supplemen. This documen may be amended or supplemened from ime o ime a he discreion of he Index Calculaion Agen and will be re-published no laer han hiry (30) calendar days following such amendmen or supplemen. This documen is published by J.P. Morgan Securiies, Ld. ( JPMSL ) of 125 London Wall, London EC2Y 5AJ, Unied Kingdom, in is capaciy as he Index Sponsor. A copy of his documen is available from he Index Calculaion Agen (as defined in he Index Supplemen) or he Index Sponsor. ALL PERSONS READING THIS DOCUMENT SHOULD REFER TO THE DISCLAIMERS AND CONFLICTS SECTIONS SET OUT AT THE END OF THIS DOCUMENT AND CONSIDER THE INFORMATION CONTAINED IN THIS DOCUMENT IN LIGHT OF SUCH DISCLAIMERS AND CONFLICTS OF INTEREST. NOTHING HEREIN CONSTITUTES AN OFFER TO BUY OR SELL ANY FINANCIAL PRODUCT, PARTICIPATE IN ANY TRANSACTION OR ADOPT ANY INVESTMENT STRATEGY OR LEGAL, TAX, REGULATORY OR ACCOUNTING ADVICE. SEE SECTION 8.2 HEREIN. Each of JPMSL and is affiliaes may have posiions or engage in ransacions in securiies or oher financial insrumens based on or indexed or oherwise relaed o he Bespoke Indices. 3. Definiions Capialised erms used in his documen should be inerpreed according o he definiions given below. In many cases here is a furher explanaion of he erm or concep in he body of his documen. All 2
capialised erms in he Index Supplemen shall be deemed o have he same meaning in his documen unless oherwise specified in he Index Supplemen. In he even of a conflic beween definiions used in he Index Supplemen and his documen, he erm se forh in he Index Supplemen will prevail. Unless oherwise specified, references o Secions in his documen shall mean secions in his documen. The following erms are defined as follows: Bloomberg Page: Wih respec o any Index, he Index Supplemen will idenify a icker symbol ha will reference an elecronic page published by Bloomberg L.P. or one of is affiliaes. The Bloomberg Page will be specified in he relevan Index Supplemen. Calculaion Day: Any day on which he New York Sock Exchange is scheduled o be open for rading for is regular rading session, wihou regard o afer hours rading or any oher rading ouside of he regular rading session hours. Change in Law means: (a) due o: (i) (b) (ii) he adopion of, or any change in, any applicable law, regulaion or rule (including, wihou limiaion, any ax law); or he promulgaion of, or any change in, he inerpreaion by any cour, ribunal or regulaory auhoriy wih compeen jurisdicion of any applicable law, rule, regulaion or order (including, wihou limiaion, as implemened by he U.S. Commodiy and Fuures Trading Commission or any exchange or rading faciliy), in eiher case, he Index Calculaion Agen deermines in good faih ha (x) i is conrary o such law, rule, regulaion or order for any marke paricipans ha are brokers or financial inermediaries (individually or collecively) o hold, acquire or dispose of (in whole or in par) any Consiuen of he relevan Index, any ransacion referencing he Consiuen or any componen of he Consiuen (including wihou limiaion, commodiies fuures conracs) or, (y) holding a posiion in any Consiuen of he relevan Index, any ransacion referencing he Consiuen or any componen of he Consiuen (including wihou limiaion, commodiy fuures) is (or, bu for he consequen disposal or erminaion hereof, would oherwise be) in excess of any allowable posiion limi(s) applicable o any marke paricipans ha are brokers or financial inermediaries (individually or collecively) under any such law, rule, regulaion in relaion o such Consiuen, ransacion referencing he Consiuen or componen of he Consiuen raded on any exchange(s) or oher rading faciliy (including, wihou limiaion, any relevan exchange); or he occurrence or exisence of any: (i) suspension or limiaion imposed on rading fuures conracs (relaing o any Consiuen, any ransacion 3
(ii) referencing he Consiuen or any componen of he Consiuen) including wihou limiaion, commodiies fuures conracs; or any oher even ha causes rading in fuures conracs (relaing o any Consiuen, any ransacion referencing he Consiuen or any componen of he Consiuen) o cease including wihou limiaion, commodiies fuures conracs. Componen(s): The Index will be comprised of one or more Componens se forh in he relevan Index Supplemen. Each Componen will be composed of eiher one (1) Consiuen (which may have a Marke Posiion of Long or Shor) or wo (2) Consiuens (one of which will have a Marke Posiion of Long and he oher of which will have a Marke Posiion of Shor). Each Componen will have a Componen Weigh. Componens will be enumeraed 1 o n in he relevan Index Supplemen where n is he number of Componens in he Index, and he ih Componen will be referred o as Componen i. Each of he Componens will be specified in he relevan Index Supplemen. Componen Weigh(s): Wih respec o each Componen, he applicable Componen Weigh for ha Componen will be specified as a percenage in he relevan Index Supplemen. Componen Weigh i refers o he Componen Weigh for Componen i. For he avoidance of doub, he sum of he Componen Weighs for all Componens in he Index need no be 100%. The Componen Weigh for each Componen i, including any formula for calculaing such Componen Weigh, will be specified in he relevan Index Supplemen. For he avoidance of doub, he Componen Weigh(s) may be negaive, which indicaes ha he Index is shor he value of such Componen (regardless of wheher a Consiuen in ha Componen is a Long Consiuen). For example, a Componen ha has a negaive Componen Weigh will essenially be shor a Long Consiuen. Consiuen(s): Each Consiuen will be a commodiy index (known as he Underlying Index of he Consiuen). Each Consiuen, as specified in he relevan Index Supplemen, will be associaed wih one or more Componens. Each Consiuen in a paricular Componen will have an associaed Marke Posiion of eiher Long or Shor. Each of he Consiuens of a Componen i will be specified in he relevan Index Supplemen. For he avoidance of doub, an Underlying Index may appear as a Consiuen associaed wih more han one Componen in he same Index (e.g., he S&P GSCI TM Corn Excess Reurn Index could appear as he Shor Consiuen in one Componen paired wih he JPMCCI Corn Excess Reurn Index, and he S&P GSCI TM Corn Excess Reurn Index could also be paired in anoher Componen wih he J.P. Morgan Seasonal Corn Index-Excess Reurn). In such a case, Consiuens associaed wih differen Componens remain disinc Consiuens, even hough hey relae o he same Underlying Index. In paricular, 4
Marke Disrupion Evens may affec such Consiuens differenly because hey are associaed wih disinc Componens. Disruped Commodiy: Disruped Commodiy will have he meaning se forh in Secion 6.5 (Disrupion of Consiuens wih more han one Underlying Commodiy). Disruped Day: will have he meaning se forh in he definiion of Marke Disrupion Even. Exraordinary Even: Exraordinary Evens means each of he evens se forh in Secion 7 (Exraordinary Evens) of hese Sandard Terms. Final Adjused Level: The Final Adjused Level will have he meaning se forh in Secion 6.3 (Time Frame of Various Calculaion Agen Deerminaions). Index: means an Index composed of he Componens specified in he relevan Index Supplemen. The name of he Index will be specified in he relevan Index Supplemen. Index Calculaion Agen: Index Incepion Dae: Index Leverage(RDn): Index Level (): Unless oherwise specified in he Index Supplemen, J.P. Morgan Securiies Ld. or any of is successors or assigns. Wih respec o any Index, he dae specified in he relevan Index Supplemen. For any Index for which he Iniial Index Level is no 100.0000, he Index Supplemen will specify he Iniial Index Level. The overall leverage applied o he Index on Rebalancing Dae n as deermined in accordance wih he provisions and/or formula se forh in he relevan Index Supplemen. means, wih respec o he Index and a Calculaion Day, he nominal level of he Index, which he Index Calculaion Agen will calculae in respec of each such Calculaion Day in accordance wih he provisions se forh in Secion 4 (Calculaion and Deerminaion of he Index Level) of hese Sandard Terms and publish such Index Level () on he immediaely following Calculaion Day +1 in accordance wih he provisions se forh in Secion 5 (Publicaion of he Index Level) of hese Sandard Terms. For he avoidance of doub, he Index Supplemen may provide alernaive provisions for calculaing and deermining he Index Level and such provisions as se forh in he Index Supplemen will govern he calculaion, deerminaion and publicaion of he Index Level. Nowihsanding anyhing o he conrary, if a Marke Disrupion Even has occurred or is coninuing on such Calculaion Day or occurred on he immediaely prior Rebalancing Dae n-1, he Index Calculaion Agen may adjus he Index Level wih respec o Calculaion Day, for he purposes of calculaing amouns se forh herein in accordance wih he Disrupion Fallbacks se forh in Secion 6 (Marke Disrupion Evens and he Calculaion and Deerminaion of he Index Level upon he Occurrence or Coninuaion of a Marke Disrupion Even) o hese Sandard Terms. 5
For he avoidance of doub, he Index Calculaion Agen will publish he Index Level () (subjec o he provisions se forh in Secion 5 (Publicaion) in accordance wih he formulas se forh in Secion 4 (Calculaion and Deerminaion of he Index Level) o hese Sandard Terms, rounding he Index Level () published on such Calculaion Day o he fourh decimal place; provided, however ha if a Marke Disrupion Even has occurred or is coninuing on such Calculaion Day or occurred on he immediaely prior Rebalancing Dae n-1, he Index Calculaion Agen will calculae he Index Level () in accordance wih he Disrupion Fallbacks se forh in Secion 6 (Marke Disrupion Evens and he Calculaion and Deerminaion of he Index Level upon he Occurrence or Coninuaion of a Marke Disrupion Even) o hese Sandard Terms. The Index Level, as published, may no be radable. Furhermore, such published Index Level will only be subsequenly revised in cerain limied circumsances (such as manifes error) and will no be subsequenly revised solely because such Calculaion Day was a Disruped Day. The Index Calculaion Agen may calculae he Index Level () wih respec o any Calculaion Day o greaer specificiy for inernal purposes and any rounding in publicaion will be based on he inernally calculaed price wih respec o such Calculaion Day, which is deermined wihou regard o any rounding, excep such rounding as described in Secion 4 (Calculaion and Deerminaion of he Index Level) o hese Sandard Terms. Index Rebalancing: The Index will be rebalanced on each Rebalancing Dae. If a Marke Disrupion Even has occurred or is coninuing on a Rebalancing Dae wih respec o any Consiuen wihin he Index, he Rebalancing Dae will no be posponed, and he Rebalancing Dae will be he originally scheduled Rebalancing Dae; he Index Level, however, will be deermined in accordance wih Secion 6 (Marke Disrupion Evens and he Calculaion and Deerminaion of he Index Level upon he Occurrence or Coninuaion of a Marke Disrupion Even) o hese Sandard Terms. On each Rebalancing Dae, he Index Calculaion Agen will rebalance he Index based on is Componens and Componen Weighs, apply Volailiy Maching, if applicable, o any Shor Consiuens wihin a Componen and apply Volailiy Targeing, if applicable, o he Index. Index Sponsor: Index Type: Wih respec o each Consiuen, he corporaion or oher eniy ha (a) is responsible for seing and reviewing he rules and procedures and he mehods of calculaion and adjusmens, if any, relaed o he Consiuen and (b) announces (direcly or hrough an agen) he level of he Consiuen on a regular basis; and wih respec o any Bespoke Index, JPMSL or is successors or assigns. Wih respec o each Index, he relevan Index Supplemen will specify wheher he Index is an excess reurn index or a oal reurn index. If a Marke Disrupion Even has no occurred or is no coninuing, he Index Level will be calculaed in accordance wih Secion 4.6 (Calculaions for an Excess Reurn Index on each Calculaion Day ) for any Index ha is an excess reurn index and he Index Level will be calculaed in accordance wih Secion 4.7 (Calculaions for a Toal Reurn Index on each Calculaion Day ) for any Index ha is a oal reurn index. 6
IndexVol(RDn): Iniial Adjused Level: Wih respec o Volailiy Targeing, a measuremen of he hypoheical realized volailiy ha he Index would have had, over period(s) preceding he nh Rebalancing Dae. The Iniial Adjused Level will have he meaning se forh in Secion 6.3 (Time Frame of Various Calculaion Agen Deerminaions). Iniial Index Level: Unless oherwise specified in he relevan Index Supplemen, 100.0000. Inerim Adjused Level: Long Consiuen(s): The Inerim Adjused Level will have he meaning se forh in Secion 6.3 (Time Frame of Various Calculaion Agen Deerminaions). means any Consiuen specified in he relevan Index Supplemen wih a Long Marke Posiion. The delineaion of wheher a Consiuen is a Long Consiuen will be specified in he relevan Index Supplemen. Marke Disrupion Evens: means, wih respec o any Calculaion Day: (i) A maerial limiaion, suspension, disconinuaion or disrupion of rading in one or more opions or fuures conracs on a relevan commodiy or commodiies relaed o he Underlying Index of a Consiuen, which resuls in failure by he Relevan Exchange on which such opion(s) and/or fuures conrac(s) is/are raded o repor an official selemen price for such opion(s) and/or fuures conrac(s) on he day on which such even occurs or any succeeding day on which i coninues; (ii) (iii) (iv) (v) a limiaion, suspension or disrupion of rading in one or more opions or fuures conracs on a relevan commodiy or commodiies relaed o he Underlying Index of a Consiuen, by reason of movemens exceeding limi up or limi down levels permied by he Relevan Exchange and which, in he opinion of he Index Calculaion Agen, is maerial o rading volume and marke condiions in such opion(s) or fuures conrac(s) on such Calculaion Day; publicaion by he Relevan Exchange of a limi price as he official selemen price for any fuures conrac on he relevan commodiy or commodiies relaed o he Underlying Index of a Consiuen (by reason of movemens exceeding limi up or limi down levels permied by he relevan exchange); he occurrence of a Non-Publicaion Even; or he Relevan Exchange for fuures conracs on he relevan commodiy or commodiies relaed o he Underlying Index of a Consiuen is no open for rading during is regular rading session, regardless of wheher any such exchange closes prior o is scheduled closing ime (a Non-Commodiy Business Day ). 7
A Marke Disrupion Even for a Consiuen shall also consiue (a) a Marke Disrupion Even for any Componen of which ha Consiuen is a par and (b) a Marke Disrupion Even for any Index ha includes any Componen of which ha Consiuen is a par. Any Calculaion Day on which a Marke Disrupion Even occurs or is coninuing (such day, a Disruped Day ) for a Consiuen shall be a Disruped Day for ha Consiuen and a Disruped Day for any Componen of which ha Consiuen is a par and a Disruped Day for any Index ha includes any Componen of which ha Consiuen is a par. Marke Posiion: The Marke Posiion refers o he direcion of exposure o each Consiuen (eiher Long or Shor ). For a Long Consiuen, he Marke Posiion of ha Consiuen is Long. For a Shor Consiuen, he Marke Posiion of ha Consiuen is Shor. If he Index is Long a specific Consiuen, hen he Index will benefi from a posiive reurn in he Consiuen, and if he Index is Shor a specific Consiuen, hen he Index will benefi from a negaive reurn in he Consiuen. For he avoidance of doub, he Marke Posiion is deermined wih respec o he Consiuen and irrespecive of he Componen Weigh. Maximum Index Leverage: Maximum Shor Consiuen Leverage i : Period-To-Dae Componen Performance Minimum Index Leverage: Minimum Shor Consiuen Leverage i : Non-Disruped Commodiy: Non-Publicaion Day: Non-Publicaion Even: A posiive percenage as specified in he relevan Index Supplemen. Wih respec o Componen i, a posiive percenage as specified in he relevan Index Supplemen. will have he meaning se forh under Secion 4 (Calculaion and Deerminaion of he Index Level) o hese Sandard Terms. A non-negaive percenage, less han or equal o he Maximum Index Leverage, as specified in he relevan Index Supplemen. Wih respec o Componen i, a percenage ha is less han he Maximum Shor Consiuen Leverage i and greaer han or equal o zero, as specified in he relevan Index Supplemen. Non-Disruped Commodiy will have he meaning se forh in Secion 6.5 (Disrupion of Consiuens wih more han one Underlying Commodiy). means, wih respec o any Calculaion Day, a Calculaion Day on which a Non-Publicaion Even has occurred or is coninuing. The failure by he Relevan Exchange, Index Sponsor or oher price source o announce publicly or publish he following (or he informaion necessary for deermining he following) (a) he official selemen price for any relevan fuures conrac on he relevan commodiy or commodiies relaed o he Underlying Index of a Consiuen or (b) he closing level of he Underlying Index of a 8
Consiuen, in eiher case by noon (London ime) on he immediaely following Calculaion Day, provided, however ha he occurrence of such an even shall no consiue a Non-Publicaion Even in he case of clause (b) hereof if he Index Calculaion Agen deermines in is sole discreion by noon (London ime) on such immediaely following Calculaion Day ha he informaion necessary for deermining he closing level of he relevan Underlying Index of a Consiuen has been announced publicly or published by he Relevan Exchange, Index Sponsor or oher price source in which case he Index Calculaion Agen shall deermine he U.S. Dollar Level of such Consiuen (he U.S. Dollar Level so deermined being a Proxy Calculaed Level ) in good faih and in a commercially reasonable manner. Non-Volailiy Targeed Index: Proxy Calculaed Level: Rebalancing Dae: The Non-Volailiy Targeed Index is a hypoheical Index calculaed similarly o he acual Index bu wihou applying Volailiy Targeing and Disrupion Fallbacks, excep ha if such Calculaion Day is a Non- Publicaion Day, he U.S. Dollar Level of he Consiuen affeced by such Non-Publicaion Day will be equal o he U.S. Dollar Level of such Consiuen on he laes Calculaion Day preceding Calculaion Day for which a U.S. Dollar Level of such Consiuen is available. The hypoheical levels of he Non-Volailiy Targeed Index ( Non- Volailiy Targeed Index Levels ) in respec of each relevan day a Volailiy Targeing Period are he basis of he Volailiy Targeing calculaion. will have he meaning se forh under he definiion of Non- Publicaion Even. Wih respec o he Index and he deerminaion of he Index Level (), he Rebalancing Dae will be Calculaion Day d of each Rebalancing Period, where d is equal o he Rebalancing Dae Ineger, which is greaer han or equal o 1 as indicaed in he relevan Index Supplemen. The Rebalancing Dae will be he specific Calculaion Day in he Rebalancing Period corresponding o d (e.g., if Rebalancing Dae Ineger is equal o 1, each Rebalancing Dae will be he 1 s Calculaion Day of he relevan Rebalancing Period and if Rebalancing Dae Ineger is equal o 2, each Rebalancing Dae will be he 2 nd Calculaion Day in he relevan Rebalancing Period). Addiionally, for he purposes of Secion 4 (Calculaion and Deerminaion of he Index Level) of hese Sandard Terms, he Rebalancing Daes will be enumeraed wih he zero-h Rebalancing Dae being a hypoheical Rebalancing Dae ha would have immediaely preceded he Index Incepion Dae (such zero-h Rebalancing Dae being necessary in some siuaions for calculaion of Volailiy Maching or Volailiy Targeing). The nh Rebalancing Dae shall be referred o as Rebalancing Dae n (abbreviaed as RDn). Rebalancing Dae Ineger: Wih respec o he Rebalancing Dae, he Rebalancing Dae Ineger is a whole number specified in he Index Supplemen. See Rebalancing Dae herein. 9
The Rebalancing Dae Ineger will be specified in he relevan Index Supplemen. Rebalancing Period: Wih respec o he iniial Rebalancing Period, he period from bu excluding he Index Incepion Dae o and including he following Rebalancing Deerminaion Dae, and wih respec o any subsequen Rebalancing Period, he period from bu excluding he Rebalancing Deerminaion Dae o and including he following Rebalancing Deerminaion Dae. Rebalancing Deerminaion Dae: The dae deermined in accordance wih he descripion se forh in he relevan Index Supplemen. For he avoidance of doub, he Rebalancing Deerminaion Dae may be wih respec o a cerain defined dae ha occurs periodically (e.g., he firs of he monh), upon he occurrence of an even (e.g., wo moving averages crossing) or any oher exernal or definable even, as se forh in he relevan Index Supplemen. Replicaion Adjusmen Facor: Replicaion Adjusmen Rae: Relevan Exchange: Shor Consiuen(s): The Replicaion Adjusmen Facor will have he effec of reducing he Index Level by he Replicaion Adjusmen Rae per annum, on an acual/360 basis. A percenage specified in he relevan Index Supplemen for he relevan Index. If no Replicaion Adjusmen Rae is specified or if he Replicaion Adjusmen Rae specified is zero (0), here is no Replicaion Adjusmen Facor. means, wih respec o any Underlying Commodiy of a Consiuen, he applicable commodiies fuures exchange on which he fuure conracs for ha Underlying Commodiy rade as deermined by he index rules or mehodology of he Underlying Index relaed o he applicable Consiuen. means any Consiuen specified in he relevan Index Supplemen wih a Shor Marke Posiion. The delineaion of wheher a Consiuen is a Shor Consiuen will be specified in he relevan Index Supplemen. Shor Consiuen Leverage Shor Consiuen Leverage has he meaning se forh under Secion 4 (Calculaion and Deerminaion of he Index Level) o hese Sandard Terms. T-Bill Rae: Targe Index Volailiy: Volailiy Maching: means, wih respec o each Calculaion Day, he hree monh weekly Aucion High Discoun Rae for Unied Saes Treasury bills on he relevan Calculaion Day, as repored on he Bloomberg index USB3MTA; provided, however if such rae is no available a he applicable Bloomberg page, he rae will be deermined in accordance wih Secion 6.10 (T-Bill Rae) below. A posiive percenage specified in he relevan Index Supplemen. Wih respec o each Componen i, Volailiy Maching will be specified as eiher Applicable or No Applicable in he relevan Index Supplemen o indicae wheher Volailiy Maching applies o ha Componen. 10
If Volailiy Maching applies o a Componen, he Volailiy Maching Lookback, he Maximum Shor Consiuen Leverage and he Minimum Shor Consiuen Leverage for he Shor Consiuen of ha Componen will be as specified in he relevan Index Supplemen. Volailiy Maching is a mechanism o adjus he weigh given o he Shor Consiuen wihin a Componen, wih he inenion of accouning for a difference in volailiy beween he Shor Consiuen and he Long Consiuen in ha Componen. Volailiy Maching canno be used for Componens ha do no have boh a Long Consiuen and a Shor Consiuen. As se forh in Secion 4 (Calculaion and Deerminaion of he Index Level) of hese Sandard Terms, he Index Calculaion Agen will calculae he VolRaio(RDn) (as defined in Secion 4.3 herein), which is he raio of he realized volailiy of he Long Consiuen o he realized volailiy of he Shor Consiuen of Componen i over a period preceding he nh Rebalancing Dae. Subjec o he Maximum Shor Consiuen Leverage i and Minimum Shor Consiuen Leverage i, he VolRaio(RDn) will deermine he Shor Consiuen Leverage i(rdn) applied o he Shor Consiuen of Componen i on he nh Rebalancing Dae. Therefore, unless oherwise consrained by he Maximum Shor Consiuen Leverage i or Minimum Shor Consiuen Leverage i, if he Shor Consiuen exhibis greaer volailiy han he Long Consiuen, he Shor Consiuen Leverage will be less han 100%, and if he Shor Consiuen exhibis lesser volailiy han he Long Consiuen, he Shor Consiuen Leverage will be greaer han 100%. Volailiy Maching Lookback i : Wih respec o Componen i, he relevan Index Supplemen will specify an ineger greaer han or equal o 2 ha will indicae he number of Calculaion Days reurns ha will be used for Volailiy Maching for ha Componen, if applicable. If Volailiy Maching is No Applicable, Volailiy Maching Lookback i wih respec o Componen i will also be No Applicable. Volailiy Maching Period i (RDn) Wih respec o Componen i and Rebalancing Dae n, he chronologically ordered se of Volailiy Maching Lookback i plus one consecuive Calculaion Days ending wih he Calculaion Day immediaely preceding Rebalancing Dae n. The number of days is one greaer han Volailiy Maching Lookback i because, in order o measure k consecuive reurns, one needs k + 1 levels. The earlies day of he Volailiy Maching Period i (RDn) shall be regarded as he zero-h day of such period and he laes day of he Volailiy Maching Period i (RDn) shall be he Volailiy Maching Lookback i-h day. Volailiy Targeing: Wih respec o an Index, he relevan Index Supplemen will specify wheher Volailiy Targeing is Applicable or No Applicable o he Index and he calculaion of he Index Level. 11
If Volailiy Targeing applies o an Index, he Targe Index Volailiy, Volailiy Targeing Lookback 1, Volailiy Targeing Lookback 2, Maximum Index Leverage and Minimum Index Leverage for he Index will be as specified in he relevan Index Supplemen. Volailiy Targeing is a mechanism o adjus he overall leverage of he Index (called he Index Leverage(RDn)), wih he inenion of argeing a cerain level of realized volailiy of he Index. As se forh in Secion 4 (Calculaion and Deerminaion of he Index Level) o hese Sandard Terms, he Index Calculaion Agen will calculae he IndexVol(RDn) were he Index Leverage(RDn) o have been 100% for all previous Rebalancing Daes and he Replicaion Adjusmen Rae was se equal o zero. The volailiy is measured over wo periods (or, opionally, effecively jus one period, by seing he wo periods o be idenical) wih he maximum of he wo measuremens used in he foregoing calculaion. Given he Targe Index Volailiy and subjec o he Maximum Index Leverage and Minimum Index Leverage, he IndexVol(RDn) will deermine he Index Leverage(RDn) applied o he Index on he nh Rebalancing Dae. Volailiy Targeing Lookback 1 and Volailiy Targeing Lookback 2: The relevan Index Supplemen will specify wo inegers ha are each greaer han or equal o 2, o indicae he number of Calculaion Days reurns which will be used in he wo measuremens of volailiy used for Volailiy Targeing for he Index. These wo numbers can be he same, in which case here is effecively only one measuremen of volailiy for he Index. Volailiy Targeing Period 1 (RDn) andvolailiy Targeing Period 2(RDn): Volailiy Targeing Period 1(RDn) Volailiy Targeing Period 2(RDn) If Volailiy Targeing is No Applicable, Volailiy Targeing Lookback 1 and Volailiy Targeing Lookback 2 will also be No Applicable. Wih respec o Rebalancing Dae n, he wo ses of consecuive Calculaion Days used in he calculaion of IndexVol(RDn), boh ending wih he Calculaion Day immediaely preceding Rebalancing Dae n. consiss of a number of consecuive Calculaion Days equal o 1 plus Volailiy Targeing Lookback 1. consiss of a number of consecuive Calculaion Days equal o 1 plus Volailiy Targeing Lookback 2. The number of Calculaion Days is 1 greaer han he corresponding Volailiy Targeing Lookback, because in order o measure k consecuive reurns you need k + 1 levels. 12
The earlies day of each Volailiy Targeing Period shall be regarded as he zero-h day of he period, so ha he laes day shall be he corresponding Volailiy Targeing Lookback-h day. U.S. Dollar Level: Underlying Commodiy: Underlying Index: Wih respec o an Underlying Index and a Calculaion Day, (a) he official closing level of he Underlying Index as published by he relevan Index Sponsor; provided, however ha if he Index Calculaion Agen deermines ha such official closing level reflecs manifes error on he par of he relevan Index Sponsor, he Index Calculaion Agen shall deermine he closing level of he Underlying Index in good faih and in a commercially reasonable manner or (b) in such circumsances as se ou in he definiion of Non-Publicaion Even relaing o he calculaion of a Proxy Calculaed Level, he U.S. Dollar Level will be he Proxy Calculaed Level. means, wih respec o each Consiuen, he commodiy (or commodiies) referenced by he Underlying Index of such Consiuen as deermined in accordance wih he Index Rules or mehodology for ha Underlying Index. The Underlying Index of each Consiuen will be a commodiy index. The name and Bloomberg Page of each Underlying Index will be se forh in he relevan Index Supplemen. The Underlying Index will be specified in he relevan Index Supplemen. 4. Calculaion and Deerminaion of he Index 4.1 Overview For an Index ha is an excess reurn index, on each Calculaion Day, if a Marke Disrupion Even has no occurred and is no coninuing wih respec o any Consiuen wihin he Index on Rebalancing Dae n-1 and if a Marke Disrupion Even has no occurred (and is no coninuing) wih respec o any Consiuen wihin he Index on such Calculaion Day, he Index Calculaion Agen will calculae and deermine he Index Level() wih respec o such Calculaion Day based on he formulae se forh in his secion and he addiional erms and deails specified in he Index Supplemen. If a Marke Disrupion Even occurred wih respec o any Consiuen wihin he Index on Rebalancing Dae n-1 or if a Marke Disrupion Even has occurred (or is coninuing) wih respec o any Consiuen wihin he Index on any Calculaion Day, he Index Level() will be deermined in accordance wih Secion 6 (Marke Disrupion Evens and he Calculaion and Deerminaion of he Index Level upon he Occurrence or Coninuaion of a Marke Disrupion Even) in hese Sandard Terms. For an Index ha is a oal reurn index, on each Calculaion Day, if a Marke Disrupion Even has no occurred and is no coninuing wih respec o any Consiuen wihin he Index on Rebalancing Dae n-1 and if a Marke Disrupion Even has no occurred (and is no coninuing) wih respec o any Consiuen wihin he Index on such Calculaion Day (or any Calculaion Days from bu excluding Calculaion Day o bu excluding Calculaion Day RD n-1), he Index Calculaion Agen will calculae and deermine he Index Level wih respec o such Calculaion Day based on he formulae se forh in his secion and he addiional erms and deails specified in he Index Supplemen. If a Marke Disrupion Even occurred wih respec o any Consiuen wihin he Index on Rebalancing Dae n-1 or if a Marke Disrupion Even has occurred (or is coninuing) wih respec o any Consiuen wihin he Index on such Calculaion Day (or any Calculaion Days from bu excluding 13
Calculaion Day o bu excluding Calculaion Day RD n-1), he Index Level will be deermined in accordance wih he formulas se forh herein, subjec o he erms se forh under Secion 6 (Marke Disrupion Evens and he Calculaion and Deerminaion of he Index Level upon he Occurrence or Coninuaion of a Marke Disrupion Even) in hese Sandard Terms. 4.2 Index Rebalancing Subjec o he occurrence or he coninuaion of a Marke Disrupion Even, he Index will be rebalanced on each Rebalancing Dae o adjus he synheic exposure of he Long Consiuen and he Shor Consiuen for each Componen i in he Index o accoun for he performance of he Index and such Consiuens since he immediaely preceding Rebalancing Dae, and he effecs, if applicable, of he Volailiy Maching and/or Volailiy Targeing as well as any oher formulas se forh in he Index Supplemen. The effec of he rebalancing will be o rese he exposure o he Consiuens of any Componen i, and, if applicable, change (a) he leverage of a Shor Consiuen wih respec o Componens where Volailiy Maching is Applicable and (b) he leverage in he case of he overall Index exposure in he case of which Volailiy Targeing is Applicable, each as described below. 4.3 Volailiy Maching Volailiy Maching is a mechanism used o adjus he weighing of he Shor Consiuen wihin any Componen in he relevan Index described in he Index Supplemen. The relevan Index Supplemen will specify wheher Volailiy Maching applies o all, none or a porion of he Componens wihin he Index. If Volailiy Maching is Applicable, he purpose of his funcion is an aemp o accoun for a difference in volailiy beween he Shor Consiuen and he Long Consiuen for ha specific Componen wihin he relevan Index. If Volailiy Maching is Applicable for a specific Componen in he Index, he Index Calculaion Agen will deermine he Shor Consiuen Leverage wih respec o a Rebalancing Dae (RD n-1 ) for ha specific Componen. The Index Calculaion Agen will calculae he volailiy raio (VolRaio(RD n-1 )) beween he realized volailiy of he Long Consiuen and he realized volailiy of he Shor Consiuen over a period preceding such Rebalancing Dae (Volailiy Maching Period (RD n-1 )). The Index Calculaion Agen will hen deermine he Shor Consiuen Leverage(RD n-1 ) wih respec o such Componen i as se forh below, based on he VolRaio(RD n-1 ), he Maximum Shor Consiuen Leverage and Minimum Shor Consiuen Leverage. The Maximum Shor Consiuen Leverage and he Minimum Shor Consiuen Leverage, if applicable, are specified in he Index Supplemen. The Shor Consiuen Leverage on Rebalancing Dae (RD n-1 ) will be used o calculae he Period-To-Dae Performance for he i h Componen as se forh in Secion 4.5 (Calculaing he Period-To-Dae Componen Performance) of hese Sandard Terms. The Shor Consiuen Leverage is deermined by he Index Calculaion Agen wih respec o Calculaion Day d in accordance wih he following formula: where ( MaxLeverage, Max( MinLeverage, VolRaio( RD )) SCL ( RDn 1) = Min n 1 SCL ( RD ) n 1 means, wih respec o Calculaion Day d, he Shor Consiuen Leverage for he immediaely preceding Rebalancing Dae RD n 1. MaxLeverag e MinLeverag e means he Maximum Shor Consiuen Leverage. means he Minimum Shor Consiuen Leverage. 14
VolRaio ( RD ) n 1 is 1 if Volailiy Maching is No Applicable wih respec o Componen i, as indicaed in he relevan Index Supplemen and oherwise is defined by he following formula: VolRaio ( RD ) n 1 = 252 m 1 252 m 1 m Rn ( j) Rn ( k) Long j= 1 m k= 1 m Rn 1 1 ( j) Rn ( k) Shor j= 1 m k= 1 m m Long Shor 2 2 where m means he Volailiy Maching Lookback Rn Long ( j) means he reurn of he Long Consiuen on he j-h day of he Volailiy Rn Long Maching Period(RD n-1 ), defined as follows: LookbackLevel ( j) Long ( j) = 1 LookbackLevel Long ( j 1) Rn Long ( k) means he reurn of he Long Consiuen on he k-h day of he Volailiy Rn ( j) Long Maching Period(RD n-1 ), defined as follows: LookbackLevel ( k) Long ( k) = 1 LookbackLevel Long ( k 1) Rn Shor means he reurn of he Shor Consiuen on he j-h day of he Volailiy Rn Shor Maching Period(RD n-1 ), defined as follows: LookbackLevel ( j) Shor ( j) = 1 LookbackLevel Shor ( j 1) Rn Shor ( k) means he reurn of he Shor Consiuen on he k-h day of he Volailiy Maching Period(RD n-1 ), defined as follows: Rn where Shor LookbackLevel LookbackLevel ( k) ( k 1) Shor ( k) = 1 Shor LookbackLevelLong ( j) means he U.S. Dollar Level of he Long Consiuen on he j-h day of he Volailiy Maching Period(RD n-1 ). 15
LookbackLevelLong (k) means he U.S. Dollar Level of he Long Consiuen on he k-h day of he Volailiy Maching Period(RD n-1 ). LookbackLevelShor ( j) means he U.S. Dollar Level of he Shor Consiuen on he j-h day of he Volailiy Maching Period(RD n-1 ). LookbackLevelShor (k) means he U.S. Dollar Level of he Shor Consiuen on he k-h day of he Volailiy Maching Period(RD n-1 ). LookbackLevelLong ( j 1) means he U.S. Dollar Level of he Long Consiuen on he (j-1)-h day of he Volailiy Maching Period(RD n-1 ). LookbackLevelLong ( k 1) means he U.S. Dollar Level of he Long Consiuen on he (k-1)-h day of he Volailiy Maching Period(RD n-1 ). LookbackLevelShor ( j 1) means he U.S. Dollar Level of he Shor Consiuen on he (j-1)-h day of he Volailiy Maching Period(RD n-1 ). LookbackLevelShor ( k 1) means he U.S. Dollar Level of he Shor Consiuen 4.4 Volailiy Targeing on he (k-1)-h day of he Volailiy Maching Period(RD n-1 ). Volailiy Targeing is a mechanism ha adjuss he overall leverage of he Index (Index Leverage(RD n-1 )) in order o arge a cerain level of realized volailiy of he Index. Volailiy Targeing will be specified in he relevan Index Supplemen, and he relevan Index Supplemen will specify wheher Volailiy Targeing is Applicable or No Applicable o he Index described herein. If he relevan Index Supplemen specifies ha Volailiy Targeing is Applicable for an Index, he Index Calculaion Agen will deermine he Index Leverage applicable for he immediaely preceding Rebalancing Dae (RD n-1 ). The Index Calculaion Agen will calculae index volailiy (IndexVol(RD n-1 )) based on he hypoheical realized volailiy of a Non-Volailiy Targeed Index over he Rebalancing Period (Volailiy Targeing Period 1(RD n ) and Volailiy Targeing Period 2(RD n ) (each a Volailiy Targeing Period ). The Non-Volailiy Targeed Index is a hypoheical index idenical o he Index, excep ha he IndexLeverage(RD n ) is considered o have been 100% for all previous Rebalancing Daes and he Replicaion Adjusmen Rae will be se equal o zero. The Index Leverage(RD n-1 ) applied o he Index on Rebalancing Dae (RD n-1 ) will be deermined by he Index Calculaion Agen and will be equal o a percenage equivalen of he fracion, he numeraor of which is he Targe Index Volailiy and he denominaor of which is IndexVol(RD n ); however, such percenage canno be greaer han he Maximum Index Leverage or less han he Minimum Index Leverage. The Index Leverage is deermined by he Index Calculaion Agen wih respec o he Rebalancing Dae (RD n-1) immediaely preceding each Calculaion Day d in accordance wih he following formula: 16
IndexLever age( ) 1 means, wih respec o Volailiy Targeing, if Volailiy Targeing is RD n specified as No Applicable, 1; oherwise: where IndexLeverage TargeVol ( RD ) n 1 = Max Min, MaxLeverage, MinLeverage IndexVol( RDn 1) MinLeverag e MaxLeverag e means he Minimum Index Leverage means he Maximum Index Leverage Ta rgevol means he Targe Index Volailiy IndexVol where ( RD ) Max( VolMeasure ( RD ) VolMeasure ( RD )) n 1 = 1 n 1, 2 n 1 VolMeasure VolMeasure 252 m1 m1 1( RDn 1) = Rn 1 m1 1 j= 1 m1 k= 1 252 1 ( j,1, n 1) Rn( k,1, n ) m2 m2 = 2( RDn 1) Rn 1 m2 1 j = 1 m2 k = 1 m 1 means Volailiy Targeing Lookback 1 m 2 means Volailiy Targeing Lookback 2 ( j, 1, n 1) 1 ( j,2, n 1) Rn( k,2, n ) Rn means he reurn of he Non-Volailiy Targeed Index on he j-h day of Volailiy Targeing Period 1(RD n-1 ), defined as follows: ( j, 2, n 1) Rn NVTIndex( j,1, n 1) NVTIndex( j 1,1, n 1) ( j, 1, n 1) = 1 Rn means he reurn of he Non-Volailiy Targeed Index on he j-h day of Volailiy Targeing Period 2(RD n-1 ), defined as follows: ( k, 1, n 1) Rn NVTIndex( j,2, n 1) NVTIndex( j 1,2, n 1) ( j, 2, n 1) = 1 Rn means he reurn of he Non-Volailiy Targeed Index on he k-h day of Volailiy Targeing Period 1(RD n-1 ), defined as follows: 2 2 17
( k, 2, n 1) Rn NVTIndex( k,1, n 1) NVTIndex( k 1,1, n 1) ( k, 1, n 1) = 1 Rn means he reurn of he Non-Volailiy Targeed Index on he k-h day of Volailiy Targeing Period 2(RD n-1 ), defined as follows: Rn NVTIndex( k,2, n 1) NVTIndex( k 1,2, n 1) ( k, 2, n 1) = 1 NVTIndex ( j,1, n 1) means he Non-Volailiy Targeed Index Level on he j-h day of Volailiy Targeing Period 1(RD n-1 ) NVTIndex ( j,2, n 1) means he Non-Volailiy Targeed Index Level on he j-h day of Volailiy Targeing Period 2(RD n-1 ) NVTIndex ( j 1,1, n 1) means he Non-Volailiy Targeed Index Level on he j-1-h day of Volailiy Targeing Period 1(RD n-1 ) NVTIndex ( j 1,2, n 1) means he Non-Volailiy Targeed Index Level on he j-1-h day of Volailiy Targeing Period 2(RD n-1 ) NVTIndex ( k,1, n 1) means he Non-Volailiy Targeed Index Level on he k-h day of Volailiy Targeing Period 1(RD n-1 ) NVTIndex ( k,2, n 1) means he Non-Volailiy Targeed Index Level on he k-h day of Volailiy Targeing Period 2(RD n-1 ) NVTIndex ( k 1,1, n 1) means he Non-Volailiy Targeed Index Level on he k-1-h day of Volailiy Targeing Period 1(RD n-1 ) NVTIndex ( k 1,2, n 1) means he Non-Volailiy Targeed Index Level on he k-1-h day of Volailiy Targeing Period 2(RD n-1 ) 4.5 Calculaing he Period-To-Dae Componen Performance for each Componen The Period-To-Dae Performance for he i h Componen on Calculaion Day (henceforh PTDCP i ()) represens he ne reurn of such Componen i from he Rebalancing Dae immediaely preceding Calculaion Day (henceforh, such Rebalancing Dae will be referred o as Calculaion Day (RD n-1 )). The Period-To-Dae Performance is deermined by he Index Calculaion Agen wih respec o Calculaion Day in accordance wih he following formula: Level PTDCP i ( ) = Level Long Long ( ) ( RD 1 SCLi ( RD ) n 1 Level ) Level Shor ( ) ( RD n 1 Shor n 1 1 ) RD n 1 is he Rebalancing Dae immediaely preceding he relevan Calculaion Day 18
Level Long () is 100 if he i h Componen has no Long Consiuen, oherwise he U.S. Dollar Level of he Long Consiuen of he i h Componen, wih respec o Calculaion Day. Level Shor () is 100 if he i h Componen has no Shor Consiuen, oherwise he U.S. Dollar Level of he Shor Consiuen of he i h Componen, wih respec o Calculaion Day. Level ( ) Long RD n 1 is 100 if he i h Componen has no Long Consiuen, oherwise he U.S. Dollar Level of he Long Consiuen of he i h Componen, on Rebalancing Dae n-1. Level ( ) Shor RD n 1 is 100 if he i h Componen has no Shor Consiuen, oherwise he U.S. Dollar Level of he Shor Consiuen of he i h Componen, on Rebalancing Dae n-1. Index SCL ( ) i RD n 1 is 0 if he i h Componen has no Shor Consiuen, oherwise he Shor Consiuen Leverage for Componen i for Rebalancing Dae n 1, as defined pursuan o Secion 4.3 of hese Sandard Terms. 4.6 Calculaions for an Excess Reurn Index on each Calculaion Day Unless oherwise specified in he Index Supplemen, he Iniial Index Level will be equal o 100.0000 on he Index Incepion Dae, or: Index ( 0 ) = 100. 0000 he Index Incepion Dae will be se forh in he relevan Index Supplemen. Wih respec o each Calculaion Day following he Index Incepion Dae, if he Index is an excess reurn index, he Index Level will be deermined by he Index Calculaion Agen as follows: ER NS ( ) = IndexER ( RDn ) + IndexER ( RDn 1 ) IndexLeverage( RDn 1 ) Wi i= 1 PTDCPi ( ) (1 RAF ) 1 Index ( ) 1 means, wih respec o each Calculaion Day, he Index Level on he ER RD n IndexLeverage( ) 1 RD n Rebalancing Dae immediaely preceding Calculaion Day, rounded o 4 decimals. means, wih respec o each Calculaion Day, he Index Leverage on he Rebalancing Dae immediaely preceding Calculaion Day deermined in Secion 4.4 (Volailiy Targeing) above. NS W i means he oal number of Componens in he Index. means Componen Weigh i () PTDCP i means he Period-To-Dae Componen Performance for he i h Componen on Calculaion Day as deermined in accordance wih Secion 4.5 (Calculaing he Period-To-Dae Componen Performance for each Componen) above. 19
RAF means, wih respec o Calculaion Day, he Replicaion Adjusmen Facor, calculaed by he Index Calculaion Agen as follows: RAF = 1 CalendarDays ( ) 360 1 RAR where: RAR is he Replicaion Adjusmen Rae, if applicable. Index TR CalendarDa ys is he number of calendar days from, and including, he Rebalancing Dae immediaely preceding Calculaion Day o, bu excluding, Calculaion Day. 4.7 Calculaions for a Toal Reurn Index on each Calculaion Day Wih respec o a paricular Index, if he Index Type is a oal reurn index, he Index Calculaion Agen will calculae he Index Level o reflec he reurns associaed wih he synheic exposure in he Index and he reurns associaed wih synheic exposure o hree monh U.S. T-bills. The Toal Reurn Index is calculaed as follows: ( ) = Index where: TR 1 + IndexLever age( RD ( 1) 1 + IndexLever age( RDn 1) i n 1 NS = 1 NS ) Wi PTDCPi ( ) i= 1 + TBR Wi δ ( 1) PTDCPi ( 1) Index TR () means, wih respec o a oal reurn index, he Index Level on Calculaion Day ; Index TR ( 1) means, wih respec o a oal reurn index, he Index Level on Calculaion Day -1. IndexLeverage( ) 1 RD n means, wih respec o each Calculaion Day, he Index Leverage on he Rebalancing Dae immediaely preceding Calculaion Day deermined in Secion 4.4 (Volailiy Targeing) above. A ( ) ( 1+ TBR ) (1 RAF ) NS W i means he oal number of Componens in he Index. means Componen Weigh i PTDCP i () means he Period-To-Dae Componen Performance for he i h Componen on Calculaion Day as deermined in accordance wih Secion 4.6 (Calculaing he Period-To-Dae Componen Performance for each Componen) above. PTDCP i ( 1) means, wih respec o any Calculaion Day, he Period-To-Dae Componen Performance for each Componen i on Calculaion Day -1. δ ( 1) is equal o 0 if Calculaion Day -1 is a Rebalancing Dae, oherwise 1 20
TBR means, wih respec o Calculaion Day, he reurn associaed wih he T-Bill Rae on Calculaion Day, calculaed using he following formula: 1 91 91 ( 1 ) TBILL 360 1 1 TBILL 1 means he T-Bill Rae on Calculaion Day -1 as defined in secion 3 (Definiions) herein. A () means he number of calendar days ha are no Calculaion Days from (and excluding) Calculaion Day -1 o (and including) Calculaion Day. RAF means, wih respec o Calculaion Day, he Replicaion Adjusmen Facor, calculaed by he Index Calculaion Agen as follows: RAF = 1 CalendarDays ( ) 360 1 RAR where: RAR is he Replicaion Adjusmen Rae, if applicable. 5. Publicaion CalendarDa ys is he number of calendar days from, and including, he Rebalancing Dae immediaely preceding Calculaion Day o, bu excluding, Calculaion Day. Wih respec o each Calculaion Day, unless oherwise specified in he relevan Index Supplemen, he Index Calculaion Agen will endeavor o publish he Index Level() for each Calculaion Day before, a or around 12:00 p.m. noon London ime on he following Calculaion Day. Alhough he Index Calculaion Agen will endeavor o publish he Index Level even wih respec o a Calculaion Day ha is a Disruped Day, he Index Calculaion Agen is no obligaed o publish he Index Level wih respec o any Calculaion Day ha is a Disruped Day. The Index Level published wih respec o any Calculaion Day ha is a Disruped Day will be considered solely indicaive and is no inended o provide informaion regarding radable levels. For he avoidance of doub, he Index Calculaion Agen will endeavor o publish an Index Level wih respec o each Calculaion Day, wheher or no such Calculaion Day is a Disruped Day and generally will no revise such published Index Level once published. However, where he Index Level on subsequen Calculaion Days depends on he Index Level on previous Calculaion Days (e.g., he Index Level on he previous Rebalancing Dae), he Index Calculaion Agen will apply an adjused Index Level ha is differen from he published level. See Secion 6 (Marke Disrupion Evens and he Calculaion and Deerminaion of he Index Level upon he Occurrence or Coninuaion of a Marke Disrupion Even) o hese Sandard Terms. The Index Level will be published on a Bloomberg page and he Bloomberg websie a he pages indicaed by he Index Ticker. The Index Level shall be published o 4 decimal places. 21
Nowihsanding anyhing o he conrary, he Index Calculaion Agen may calculae, bu no publish he Index Level if he Index is used solely as a par of anoher Index or sraegy, he index level or price of which is separaely published by he Index Calculaion Agen or one of is affiliaes. For example, hese Sandard Terms and an accompanying Index Supplemen will consiue he Index Rules for an Index, which may be used as a Componen for anoher Index ha incorporaes hese Sandard Terms and has a separae Index Supplemen. For he avoidance of doub, o he exen he Index is a sand-alone index, he Index Calculaion Agen will publish such Index Level in accordance wih he provisions herein. 6. Marke Disrupion Evens and he Calculaion and Deerminaion of he Index Level upon he Occurrence or Coninuaion of a Marke Disrupion Even 6.1. Inroducion For any Index ha is an excess reurn index, on each Calculaion Day, if Calculaion Day is a Disruped Day or if Rebalancing Day n-1 immediaely preceding Calculaion Day was a Disruped Day, he Index Calculaion Agen will calculae he Index Level in accordance wih his Secion 6 (Marke Disrupion Evens and he Calculaion and Deerminaion of he Index Level upon he Occurrence or Coninuaion of a Marke Disrupion Even). For any Index ha is a oal reurn index, on each Calculaion Day, if Calculaion Day (or any Calculaion Days from and including Rebalancing Dae n-1 o bu excluding such Calculaion Day ) is a Disruped Day or if Rebalancing Day n-1 immediaely preceding Calculaion Day was a Disruped Day, he Index Calculaion Agen will calculae he Adjused Index Level in accordance wih his Secion 6 (Marke Disrupion Evens and he Calculaion and Deerminaion of he Index Level upon he Occurrence or Coninuaion of a Marke Disrupion Even). This Secion 6 (Marke Disrupion Evens and he Calculaion and Deerminaion of he Index Level upon he Occurrence or Coninuaion of a Marke Disrupion Even) of hese Sandard Terms ses forh alernaive calculaions for deermining he Adjused Index Level in he paricular insances where a Marke Disrupion Even affecs he Index Calculaion Agen s deerminaion of an Index Level. The following secion ses forh provisions relaing o he calculaion and publicaion of Adjused Index Levels. In his descripion, he Index Calculaion Agen ( we or us ) endeavors o describe he manner in which we will calculae and/or publish he Adjused Index Level on differen daes. In order o bes convey his informaion, he following descripion errs on he quaniaive side, and before reading his descripion, we would like o highligh cerain drafing poins for you, he reader. 6.2 Use of Preposiions References herein o levels calculaed wih respec o a Calculaion Day refer o levels ha are calculaed for such Calculaion Day; however, such levels may no be calculaed on ha Calculaion Day. In order o denoe ha levels will be calculaed on a day ha may or may no be Calculaion Day, we refer o such levels as being calculaed as of a Calculaion Day. When we refer o he acual dae on which we calculae levels, which is he as of dae, we may refer o a Calculaion Day s, where s is a noaion ha refers o any Calculaion Day on or afer Calculaion Day. In oher words, if we refer o an Adjused Index Level wih respec o Calculaion Day as of Calculaion Day s and Calculaion Day is Monday and Calculaion Day s is Wednesday, hen we are referring o he Adjused Index Level for Monday ha is calculaed on Wednesday pursuan o his secion 6. You should noe ha Calculaion Day s is in mos cases Calculaion Day ; in oher words, he Index Level (calculaed pursuan o secion 4) or Adjused Index Level (calculaed pursuan o his secion 6) for Monday will be calculaed on Monday if such day is no a Disruped Day. The Adjused Index Level wih respec o Calculaion Day is only calculaed on a Calculaion Day s ha is afer Calculaion Day if Calculaion Day is a Disruped Day. 6.3 Time Frame of Various Index Calculaion Agen Deerminaions 22