RMB Cash Intelligence Index Bloomberg: RMBSAMMT Index Reuters:.RMBSAMMT RMB Cash Intelligence Yield Bloomberg: RMBSAMMY Index Reuters:.RMBSAMMY Rule Book This Rule Book sets out the description of the Index and the Index Rules which are applied by the Index Sponsor and the Index Calculation Agent to determine the calculation of the Index from time to time. Final Version: 30 December 2011-2 -
Contents Part A Index specific rules... 4 1. Description of the Index... 4 2. Composition of the Index... 5 3. Calculation of the Index level and publication of the Index level... 6 4. Non-scheduled trading days and disrupted days... 6 5. Adjustments to Index components... 7 6. Definitions... 7 7. Description and formula for calculating the Index... 9 8. Index adjustment, suspension and termination events... 12 Part B Index component adjustment rules... 14 Part C General Index rules... 15 1. Roles of the Index calculation agent and the Index sponsor and the Index adviser where applicable... 15 2. Supplements, amendments, revisions, modifications and withdrawal of the Index rules... 15 3. Rules for the periodical adjustment of the Index... 16 4. Disclaimer in relation to the Index... 16 5. Other important information... 16 6. Form of disclaimer to be used on term sheets and issuance documentation for products linked to the Index... 17 Schedule 1 Adjustments for Index Component type Money Market Rate 19-3 -
Part A Index specific rules 1. Description of the Index 1.1 General The RMB Cash Intelligence Index (the "Index") is a South African Rand-denominated Index (the Index Currency ). The objective of the Index is to accrue daily at a weighted average yield referenced to South African money market rate fixings. The Index is fully investable and constructed to give weighted exposure to overnight, 1 month, 3 month, 6 month, 9 month, and 12 month South African money market deposit rates. 1.2 Index start date The Index was established, based on historical backtesting, on 02 January 2004 (the "Index Start Date") with an initial level of 100 Index points ( Initial Index Level ). 1.3 Index type The RMB Cash Intelligence Index is a Total Return Index as it is constituted of components that require cash to obtain the economic exposure and risk required by the Index strategy. 1.4 Index calculation agent and Index sponsor The Index is calculated, maintained, rebalanced and published by FirstRand Bank Limited (acting through its Rand Merchant Bank Division) ( RMB ) (the "Index Calculation Agent") and sponsored by RMB (the "Index Sponsor"). The Index is calculated on a daily basis by the Index Calculation Agent. 1.5 Index methodology The frequency of the calculation will be daily. The methodology of the Index (the Index Methodology ) is based on weighted exposure to components which determine their return from money market yields. The number of components in the Index (each, an Index Component ) and the weight of each Index Component can be adjusted by the Index Calculation Agent acting in accordance with the Index Methodology, as set out in this Index Rule Book. The Index is formed from the weighted average return generated through a portfolio of money market instruments that reference overnight, 1 month, 3 month, 6 month, 9 month, and 12 month reference fixings, using the relevant SAFEX Overnight and Johannesburg Interbank Agreed Rates ( JIBAR ). These rates are published daily by the Johannesburg Stock Exchange ( JSE ). The Index reflects the daily composite performance of rolling the money market deposit investments of various maturities daily 1.6 Index replication costs The Index Methodology embeds certain costs in the strategy which cover, amongst other things, trade replication costs in hedging the Index which may vary over time in line with prevailing market conditions. The level of such costs (if any) are determined by the Index Calculation Agent acting in a commercially reasonable manner. As they vary over time in accordance with market conditions, they may change in accordance with the principles detailed in this Index Rule Book. - 4 -
2. Composition of the Index At the Index Start Date and thereafter until the date of publication hereof the Index composition is as given in Table 1 with the specific of the Index components (each an "Index Component Type") and the Currency denomination ( Index Component Currency ) as set out next to each Index Component. Table 1 (I) Index components Index component type Bloomberg code Component currency Component weight 1. ON TR Money Market Rate (Please refer to Section 7 below for definition of Index Component 1 ) See Definition in Section 7 below ZAR 10.00% 2. JIBA1 TR Money Market Rate (Please refer to Section 7 below for definition of Index Component 2 ) See Definition in Section 7 below ZAR 7.50% 3. JIBA3 TR Money Market Rate (Please refer to Section 7 below for definition of Index Component 3 ) See Definition in Section 7 below ZAR 25.00% 4. JIBA6 TR Money Market Rate (Please refer to Section 7 below for definition of Index Component 4 ) See Definition in Section 7 below ZAR 25.00% 5. JIBA9 TR Money Market Rate (Please refer to Section 7 below for definition of Index Component 5 ) See Definition in Section 7 below ZAR 7.50% 6. JIBA12 TR Money Market Rate (Please refer to Section 7 below for definition of Index Component 6 ) See Definition in Section 7 below ZAR 25.00% The Index Calculation Agent shall review the composition of the Index and the Index Weightings of the Index Components within the Index on an ongoing basis and in accordance with the Index Methodology specified above and the rules governing the Index. - 5 -
3. Calculation and publication of the Index level and Index Yield 3.1 The Index is calculated by the Index Calculation Agent on each Index Level Determination Date (as defined below), subject to the provisions of this Section 3 (Calculation of the Index Level and Publication of the Index Level) and Section 4 (Non-Scheduled Trading Days and Disrupted Days). 3.2 The Index currency is South African Rand (the Index Currency ). 3.3 Subject to Section 4 (Non-Scheduled Trading Days and Disrupted Days) of this Part A, on each Publication Date the Index Calculation Agent will publish the Index Level in respect of the last preceding Index Level Determination Date (which is expected to be one Business Days prior to the Publication Date). 3.4 The Index Level and Index Yield will be published by the Index Calculation Agent under the Bloomberg References RMBSAMMT <Index> and RMBSAMMY <Index> respectively and under Reuters References.RMBSAMMT and.rmbsammy respectively, or any successor pages thereto, and on any other data provider as the Index Sponsor deems appropriate. In the event of inconsistency between Index Levels published on Bloomberg or on Reuters or on any other data provider s system then the Index Level published on Bloomberg shall prevail. 4. Non-scheduled trading days and disrupted days 4.1 If any Business Day is a non-scheduled Trading Day or is a Disrupted Day in respect of one or more Index Components (an affected Index Component(s) ), then the Index Calculation Agent may alternatively, in its sole discretion: (i) (ii) deem such a day to be an Index Level Determination Date and calculate and publish the Index Level in respect of such day (a) using the last value which was available in respect of the affected Index Component(s), or (b) using a good faith estimate of the value of the affected Index Component(s) or (c) deeming, for the purposes of calculating the Index Level, the value of any one or more of such affected Index Components to be equal to zero; or deem such a day not to be an Index Level Determination Date and as a consequence, not calculate and publish the Index Level in respect of such day; but only, in the case of Disrupted Days, for a period not exceeding the Maximum Number of Days of Disruption. 4.2 After the Maximum Number of Days of Disruption has elapsed, if it is still a Disrupted Day in respect of one or more Index Components of the Index, the Index Calculation Agent shall make such adjustment to the Index as it deems appropriate in accordance with Section 5 below, including, but not limited to, replacing such affected Index Component(s) with a replacement Index Component(s). 4.3 The Index Sponsor may delay or suspend the calculation and publication of the Index Level for a period not exceeding the Maximum Number of Days of Disruption, or discontinue the calculation and publication of the Index Level, if it determines in its sole discretion that any event or circumstance has occurred and is continuing which would make the determination of the Index Level impossible or impracticable, including, without limitation, any event or circumstance contemplated in Part B (Index Component Adjustment Rules) of these Index Rules or any event or circumstance that interrupts the ability of the Index Sponsor or Index Calculation Agent to perform its duties in respect of the Index. 4.4 If it is a non-scheduled Trading Day or Disrupted Day in relation to any of the Index Component(s) and the Index Calculation Agent deems such a day to be an Index Level Determination Date and calculates and publishes the Index Level in respect of such day pursuant to Section 4.1 (i), such Index Level Determination Date may not be an Index Trading Day in relation to any product referencing the Index, which is issued, created, sold or otherwise. If such an Index Level Determination Date is not an Index Trading Day, such provisions with respect to such product will be dealt with in the relevant product documentation. - 6 -
5. Adjustments to Index components If any Index Component ceases to exist or is, or would be, subject to an adjustment pursuant to the provisions of any Schedule hereto, or if a Hedging Disruption Event occurs in respect of that Index Component, the Index Calculation Agent may in its sole discretion acting in good faith and in a commercially reasonable manner (a) effect no change to the Index, (b) adjust the Index as it deems appropriate including, but not limited to, replacing such Index Component with a replacement Index Component or the Index Calculation Agent and the Index Sponsor may continue to calculate and publish (as applicable) the Index without such Index Component or any replacement therefore, subject to the provisions of Section 1.5 (Index Methodology) above, or (c) terminate the Index. The aim of the Index Calculation Agent when making any such operational adjustments is to ensure that, so far as possible, the basic principles and economic effect of the Index are maintained. 6. Definitions 6.1 In these Index Rules: "Business Day" means any week day on which commercial banks are open for general business in Johannesburg. "Disrupted Day" in respect of each Index Component has the meaning given to such term in the relevant Schedule of these Index Rules depending on the Component Type detailed in Section 1 of Part A and the adjustment provisions specified as applicable in Part B of the Index Rules. Hedging Disruption Event means, in respect of any Index Component(s), the occurrence of any event that the Index Calculation Agent determines at its sole and absolute discretion that would materially restrict any Hedge Provider from: (i) acquiring, establishing, re-establishing, substituting, maintaining, unwinding or disposing of asset(s), transaction(s) or any derivative contracts on any cash to hedge the relevant price risk of entering into and performing obligations in relation to a relevant Index Component(s); (ii) freely realising, recovering, receiving, repatriating, remitting or transferring the proceeds of hedge positions relating to a relevant Index Component between accounts within the jurisdiction of the hedge positions (the "Affected Jurisdiction") or from accounts within the Affected Jurisdiction to accounts outside of the Affected Jurisdiction; iii) determining a rate at which any currency relevant to the relevant Index Component(s) or hedge positions relating to the Index may be converted into any other relevant currency; or iv) converting any currency relevant to the Index Component(s) or the hedge positions relating to the Index into another currency relevant to the such hedge positions through customary legal channels, including, but not exclusively, where one currency rate cannot be directly converted into another. Hedge Provider means a hypothetical party who would hedge an issuer s obligations in respect of a product linked to the Index. "Index" has the meaning given in Section 1 (Description of the Index) of this Part A of these Index Rules. "Index Calculation Agent" has the meaning given in Section 1 (Description of the Index) of this Part A of these Index Rules. "Index Component" has the meaning given in Section 1 (Description of the Index) of Part A of these Index Rules. "Index Component Type" has the meaning given in Section 2 (Composition of the Index) of Part A of these Index Rules. "Index Level" means the level of the Index, determined in accordance with the provisions of Section 7 of Part A of these Index Rules. "Index Yield" means the annualised yield implied by the change in the RMB Cash Intelligence Index level between consecutive Index Level Determination Dates, as calculated in accordance with the provisions of Section 7 of Part A of the Index Rule Book. "Index Level Determination Date" means each Business Day on which the Index Calculation Agent acting in a commercially reasonable manner based on the availability of the prices, levels or values of the Index Components determines it is able to - 7 -
determine and calculate the Index Level, subject to the provisions of Section 4 of Part A of the Index Rules. "Index Rules" means the rules in relation to the Index as set out in Parts A to C and each Schedule in respect of relevant Index Component Types (inclusive) hereto. "Index Sponsor" has the meaning given in Section 1 (Description of the Index) of Part A of these Index Rules. Index Trading Day means a week day on which FirstRand Bank Limited or any of its affiliates ( Hedging Party ) determines it is able to trade on and hedge any obligations it has outstanding in respect of the Index which for the most case will be a day which is both (i) a Scheduled Trading Day and (ii) not a Disrupted Day in respect of each Index Component in the Index. Maximum Number of Days of Disruption means 5 Scheduled Trading Days. "Publication Date" means the first Business Day following each Index Level Determination Date. Scheduled Trading Day means any day on which the Relevant Price Source is scheduled to publish the reference fixing level of the Index Components. 6.2 Unless a contrary indication appears any reference in the Index Rules to: 6.2.1 the "Index Calculation Agent", the "Index Sponsor" and any other person shall be construed so as to include its successors in title, permitted assigns and permitted transferees; 6.2.2 any agreement or instrument is a reference to that agreement or instrument as amended, novated, supplemented, extended, replaced or restated; 6.2.3 a "person" includes any individual, firm, company, corporation, government, state or agency of a state or any association, trust, joint venture, consortium or partnership (whether or not having separate legal personality); 6.2.4 a "regulation" includes any regulation, rule, official directive, request or guideline (whether or not having the force of law) of any governmental, intergovernmental or supranational body, agency, department or regulatory, self-regulatory or other authority or organisation; and 6.2.5 a provision of law is a reference to that provision as amended or re-enacted. 6.3 Part, Section, and Schedule headings are for ease of reference only. 6.4 Nothing in these Rules will be construed so as to preclude the Index Calculation Agent and the Index Sponsor from being the same legal entity, and any provision which requires them to agree on any matter will, if they are the same person, be deemed to be a provision requiring that person to make a determination in its sole discretion and any provision which requires the Index Sponsor to require the Index Calculation Agent to perform any function will be construed as a requirement for that person to do such thing. - 8 -
7. Description and formula for calculating the Index The Index Level is determined daily by calculating the weighted performance for each underlying Index component. In this instance, as each Index component type is a money market rate, each calculated on an actual/365 day count basis, this is equivalent to accruing the Index level daily at the weighted average of the official fixing rates. A day count convention of Actual/365 is used and the rates are observed daily. The daily Index Level is truncated to 4 decimal places. Index Component levels are rounded off to 12 decimal places. 7.1 Index Level Calculation On each Index Level Determination Date, the Index Level for the RMB Cash Intelligence Index will be determined by the Calculation Agent as follows: 0 100 1 1 N Number of Index Components as detailed in Table 1 of Part A. Launch Date (t=0) 02 January 2004 RMB Cash Intelligence Index Level on date t. t Index Level Determination Date t. : The official fixing prices of Index Component i on Index Level Determination Date t as determined by the Calculation Agent. If on any Index Level Determination Date, the fixing price of an Index Component is not available for any reason or is a Disrupted Day, the value of the relevant Index Component retained for that Index Level Determination Date will be the value retained for this Index Component on the first preceding Index Level Determination Date on which a fixing price for that Index Component was available and which was not a Disrupted Day. Weighting of Index Component i at date t as determined by the Index Calculation Agent. The methodology used by the Index Calculation Agent to compute the weights may be subject to review to take into account current market conditions. 7.2 Replication Costs The replication cost of Index Component i on Index Level Determination Date t, takes into account any friction costs of Index Component i, stemming from the impact of bid/ask and transaction costs, as determined by the Index Calculation Agent. (I) Index component 1. ON TR Index 0.00% 2. JIBA1m TR Index 0.15% 3. JIBA3m TR Index 0.15% 4. JIBA6m TR Index 0.15% 5. JIBA9m TR Index 0.15% 6. JIBA12m TR Index 0.15% - 9 -
7.3 Index Component 1 formula: ONIndex0 100 ONIndext ONIndex0 1 R j 1 1, 365 R Actj 1, j The Rand Overnight Deposit Rate is the weighted average of the overnight call deposit rates paid by A1-rated local and F1-rated foreign financial institutions where SAFEX places its daily margin deposits received by members at Index Level Determination Date t. The rate is calculated using an Act/365 day count fraction and is published on the Bloomberg system (ticker: RAONON <Index>). In the event that RAONON <Index> does not appear on the Bloomberg system, it can be ascertained from any other source as the Index Calculation Agent may deem appropriate. Number of calendar days from date j-1 (included) to date j (excluded) 7.4 Index Component 2 formula: JIBA1MIndex0 100 JIBA1MIndext JIBA1MIndex0 1 R j 1 1, 365 R Actj 1, j The one-month Johannesburg Interbank Agreed Rate ( JIBAR ) is the average interest rate at which banks buy and sell one-month money and is calculated daily by the JSE as the trimmed average rate quoted by various banks at Index Level Determination Date t. The rate is calculated using an act/365 day count fraction and is published on the Bloomberg system (ticker: JIBA1M <Index>). In the event that JIBA1M <Index> does not appear on the Bloomberg system, it can be ascertained from any other source as the Index Calculation Agent may deem appropriate. Number of calendar days from date j-1 (included) to date j (excluded) 7.5 Index Component 3 formula: JIBA3MIndex0 100 JIBA3MIndext JIBA3MIndex0 1 R j 1 1, 365 R The three-month Johannesburg Interbank Agreed Rate ( JIBAR ) is the average interest rate at which banks buy and sell three-month money and is calculated daily by the JSE as the trimmed average rate quoted by various banks at Index Level Determination Date t. The rate is calculated using an Act/365 day count fraction and is published on the Bloomberg system (ticker: JIBA3M <Index>). In the event that JIBA3M <Index> does not appear on the Bloomberg system, it can be ascertained from any other source as the Index Calculation Agent may deem appropriate. - 10 -
Actj 1, j Number of calendar days from date j-1 (included) to date j (excluded) 7.6 Index Component 4 formula: JIBA6MIndex0 100 JIBA6MIndext JIBA6MIndex0 1 R j 1 1, 365 R Actj 1, j The six-month Johannesburg interbank agreed rate ( JIBAR ) is the average interest rate at which banks buy and sell six-month money and is calculated daily by the JSE as the trimmed average rate quoted by various banks at Index Level Determination Date t. The rate is calculated using an act/365 day count fraction and is published on the Bloomberg system (ticker: JIBA6M <Index>). In the event that JIBA6M <Index> does not appear on the Bloomberg system, it can be ascertained from any other source as the Index Calculation Agent may deem appropriate. Number of calendar days from date j-1 (included) to date j (excluded) 7.7 Index Component 5 formula: JIBA9MIndex0 100 JIBA9MIndext JIBA9MIndex0 1 R j 1 1, 365 R Actj 1, j The nine-month Johannesburg Interbank Agreed Rate ( JIBAR ) is the average interest rate at which banks buy and sell nine-month money and is calculated daily by the JSE as the trimmed average rate quoted by various banks at Index Level Determination Date t. The rate is calculated using an Act/365 day count fraction and is published on the Bloomberg system (ticker: JIBA9M <Index>). In the event that JIBA9M does not appear on the Bloomberg system, it can be ascertained from any other source as the Index Calculation Agent may deem appropriate. Number of calendar days from date j-1 (included) to date j (excluded) 7.8 Index Component 6 formula: JIBA12MIndex0 100 JIBA12MIndext JIBA12MIndex0 1 R j 1 1, 365 R The twelve-month Johannesburg Interbank Agreed Rate ( JIBAR ) is the average interest rate at which banks buy and sell twelve-month money and is calculated daily by the JSE as the trimmed average rate quoted by various banks at Index Level Determination Date t. The rate is calculated using an Act/365 day count fraction and is published on the Bloomberg system (ticker: JIBA12M <Index>). In - 11 -
the event that JIBA12M does not appear on the Bloomberg system, it can be ascertained from any other source as the Index Calculation Agent may deem appropriate. Actj 1, j Number of calendar days from date j-1 (included) to date j (excluded) 8. Description and formula for calculating the Index yield The Index Yield is determined daily by calculating the yield implied by the change in the Index Level between consecutive Index Level Determination Dates. The yield is calculated on an Actual/365 day count basis. The daily Index Yield is truncated to 4 decimal places. 8.1 RMB Cash Intelligence Index Yield formula On each Index Level Determination Date, the Index Yield for the RMB Cash Intelligence Index will be determined by the Calculation Agent as follows: 1 365 1, Actt 1, t t RMB Cash Intelligence Index Yield on Index Level Determination Date t Number of calendar days from date t-1 (included) to date t (excluded) RMB Cash Intelligence Total Return Index Level on date t Index Level Determination Date t 9. Index adjustment, suspension and termination events 9.1 Upon the occurrence of an Index Increased Cost of Maintenance Event, the Index Sponsor shall take into account as it deems appropriate, any amendment, correction or any potential adjustment of the Index of whatsoever nature relating to the Index Increased Cost of Maintenance Event and may require the Index Calculation Agent to make adjustments to the Index to reflect the Index Increased Cost of Maintenance Event. In making any such adjustments the Index Sponsor may require the Index Calculation Agent to substitute an existing component in the Index with a replacement component which it deems suitable and will subsequently perform the necessary adjustments to the Index. Index Increased Cost of Maintenance Event means the event that occurs if the Index Sponsor, acting in good faith and a commercially reasonable manner, deems that the amount of tax, duties, expenses, fees and rates (including without limitation any stock loan and/or stock borrowing and/or repo and/or replication costs or rates) of acquiring, establishing, re-establishing, substituting, maintaining, unwinding or disposing of any transactions or assets it deems necessary to enter into in order to compute, compile, hedge and/or maintain the Index has increased since the date the Index was launched. 9.2 Upon the occurrence of an Index CSR Event, the Index Sponsor may require the Index Calculation Agent to make any adjustments to the Index as it deems appropriate to account for the Index CSR Event. In making any such adjustments, the Index Sponsor may require the Index Calculation Agent to substitute an existing Index Component with a replacement Index Component which it deems suitable and the Index Calculation Agent shall subsequently perform the necessary adjustments to the Index. - 12 -
Index CSR Event means the event that occurs if the Index Sponsor, acting in good faith and a commercially reasonable manner, determines that the inclusion or retention of any Index Component in the Index would result in the Index Sponsor breaching any corporate social responsibility policy maintained by the Index Sponsor or any of its affiliates. 9.3 Upon the occurrence of an Index Force Majeure Event, the Index Sponsor may suspend the Index until the end of the Index Force Majeure Event (the "Index Suspension Period"). If the Index Suspension Period exceeds one month the Index Sponsor may either i) require the Index Calculation Agent to adjust the Index taking into account as it deems appropriate, any amendment or potential adjustment of the Index of whatsoever nature relating to the Index Force Majeure Event and in making any such adjustments the Index Sponsor may advise the Index Calculation Agent to substitute an existing component in the Index with a replacement component which it deems suitable and the Index Calculation Agent will subsequently perform the necessary adjustments to the Index or ii) terminate the Index. Index Force Majeure Event means the event that occurs if the performance of the Index Sponsor and/or the Index Calculation Agent s obligations is prevented or materially hindered or delayed due to (a) any act, law, rule, regulation, judgment, order, directive, interpretation, decree or material legislative or administrative interference of any Government Authority or otherwise, or (b) the occurrence of civil war, disruption, military action, unrest, political insurrection, terrorist activity of any kind, riot, public demonstration and/or protest, or any other financial or economic reasons or any other causes or impediments beyond such party s control; or (c) any expropriation, confiscation, requisition, nationalization or other action taken or threatened by any Government Authority that deprives the Index Calculation Agent (or any of its relevant affiliates), of all or substantially all of its assets in the relevant currency jurisdiction; and Government Authority means any nation, state or government, any province or other political subdivision thereof, any body, agency or ministry, any taxing, monetary, foreign exchange or other authority, court, tribunal or other instrumentality and any other entity exercising, executive, legislative, judicial, regulatory or administrative functions of or pertaining to government. 9.4 Upon the occurrence of an Index Change in Law Event, the Index Sponsor may either (i) require the Index Calculation Agent to adjust the Index taking into account as it deems appropriate, any amendment or potential adjustment of the Index of whatsoever nature relating to the Index Change in Law Event and in making any such adjustments the Index Sponsor may advise the Index Calculation Agent to substitute an existing component in the Index with a replacement component which it deems suitable and the Index Calculation Agent will subsequently perform the necessary adjustments to the Index or (ii) terminate the Index. Index Change in Law Event means that, (a) due to the adoption of or any change in any applicable law or regulation (including, without limitation, in respect of tax, solvency or capital requirements), or (b) due to the promulgation of or any change in the interpretation by any court, tribunal or regulatory authority with competent jurisdiction of any applicable law or regulation (including any action taken by a taxing or financial authority) or the combined effect thereof if occurring more than once, the Index Sponsor determines in its sole and absolute discretion that it has become illegal to hold, acquire or dispose of any Index Components (or parts thereof) or any relevant hedge positions relating to the Index. 9.5 Upon the occurrence of an Index Tax Event, the Index Sponsor may as the case be, review the composition of the Index and make such adjustments as it deems necessary. Index Tax Event means any change in any applicable tax law or tax regulation, (b) the promulgation of or any change in the interpretation by any court, tribunal or regulatory authority with competent jurisdiction of any applicable tax law or tax regulation (including any action taken by a taxing authority) affecting the Index, or (c) where there is a substantial likelihood of a change in any applicable tax or tax regulation and practice, save in each case in relation to taxes or stamp taxes which the Index Sponsor shall exclude for the purposes of this definition. - 13 -
Part B Index component adjustment rules The adjustment and other provisions set out in Schedule 1 shall be applicable to Index Components which are Money Market Rate Component Types as detailed in Section 1 of Part A of the Index Rules. - 14 -
Part C General Index rules 1. Roles of the Index calculation agent and the Index sponsor and the Index adviser where applicable The Index Calculation Agent is responsible for the day to day calculation and publication of the Index and the Index Sponsor is responsible for devising the Index Methodology and ensuring the Index level is published by the Index Calculation Agent in accordance with the Index Methodology. The Index Calculation Agent will make all reasonable efforts to ensure the accuracy of the composition, calculation, publication and adjustment of the Index in accordance with the relevant Index Methodology and the Index Rules. However, the Index Calculation Agent does not accept any liability for errors or inaccuracies in prices, calculations and the publication of any Index Components or sub-components thereof made by third parties and shall not be responsible for any inaccuracies or errors in the Index as a result of such inaccuracies or errors. If the Index Calculation Agent becomes aware of any inaccuracies or errors in the Index as a result of errors or inaccuracies in the prices, calculation or publication of any Index Components or sub-components thereof or otherwise, the Index Calculation Agent shall correct in respect of the Index as soon as practicable thereafter. Where an Index Adviser has been appointed, it shall be responsible for selecting the Index Components in collaboration with the Index Sponsor in accordance with the Index Methodology. However, the Index Sponsor and Index Adviser do not accept any liability for inaccuracies or errors in such selections if such inaccuracies or errors are as a result of inaccuracies or errors in the calculation or publication of the Index Level, any Index Components or sub-components thereof. The Index Sponsor owns all intellectual and other property rights to the Index, including the name, the composition and the calculation of the Index in accordance with the Index Methodology. 2. Supplements, amendments, revisions, modifications and withdrawal of the Index rules The Index Rules may be supplemented, amended in whole or in part, revised, modified or withdrawn at any time. Supplements, amendments, revisions, modifications and withdrawals may also lead to changes in the Index Methodology and the way the Index is compiled or calculated or affect the Index in other ways. Any supplements, amendments, revisions or modifications to the Index Rules which are of a formal, minor or technical nature or are made to correct a manifest or proven error and do not conflict with the interests of any affected parties may be effected immediately. To the extent that the Index Calculation Agent deems it relevant, such supplements, amendments, revisions or modifications shall be made available to interested parties in such manner as the Index Sponsor deems appropriate as soon as practicable. If the Index Calculation Agent in collaboration with the Index Sponsor deems that any supplement, amendment, revision or modification may be in conflict with the interests of an affected party, a period of at least 15 calendar days should pass between the date a proposed change to the Index Methodology is published and the date this comes into effect. Proposed changes will be communicated to the market. No liability can be accepted for any losses resulting from supplementing, amending, revising or withdrawing the Index Rules for the Index. - 15 -
3. Rules for the periodical adjustment of the Index 3.1 The Index may be reviewed periodically, including on a daily basis. Therefore, the general aim of the Index Calculation Agent when periodically adjusting the Index is to ensure that the selection of the Index Components continues to meet the basic principles and Index Methodology of the Index (see Part A) and that the Index continues to reflect the value of the Index Components. 3.2 The calculation of the Index is based on available information relating to the Index Components (including but not limited to closing prices) as of the relevant calculation date. In the event any such market data information changes subsequent to the calculation and publication of any Index Levels, the Index Calculation Agent shall decide whether or not to take account of such subsequent changes in relation to previously published Index Levels or current Index Levels in order to maintain the stability and consistency of the Index as it deems necessary. 4. Disclaimer in relation to the Index 4.1 Accuracy of the Index The Index Calculation Agent and the Index Sponsor will make all reasonable efforts to ensure the accuracy of the composition, calculation, publication and adjustment of the Index in accordance with the relevant Index Rules and Index Methodology. Although some adjustment or calculation information has been provided by the Index Calculation Agent, this information is based on information furnished by third parties believed to be reliable the accuracy and completeness of which has not been verified by the Index Calculation Agent or the Index Sponsor. 4.2 Change in the methodology for calculation of the Index The Index Calculation Agent,where applicable the Index Adviser, and the Index Sponsor disclaim any liability for any modification or change in the Index Methodology used in calculating the Index. 4.3 Suspension and interruption in the publication of the Index The Index Calculation Agent and the Index Sponsor are under no obligation to continue the calculation, publication or dissemination of the Index and disclaim any liability for any suspension or interruption in the calculation, publication and dissemination of the Index. 4.4 Index level The Index Calculation Agent,where applicable the Index Adviser, and the Index Sponsor disclaim any liability in connection with the use of the Index Level at any given time. None of the Index Calculation Agent, the Index Adviser where applicable, or the Index Sponsor will accept any liability for any loss whatsoever, directly or indirectly related to the Index. 4.5 Products referencing the Index These Index Rules relate solely to the Index and are in no way intended to include terms and conditions relating to any product referencing the Index. Should any product referencing the Index be issued, created, sold or otherwise distributed, all binding provisions (relating to liability or otherwise) with respect to such product will be dealt with in the relevant product documentation. 5. Other important information 5.1 Transactions involving the Index Components The Index Sponsor, the Index Adviser where applicable and its /their affiliates may from time to time engage in transactions involving any Index Component(s) (and/or sub-components thereof) for their proprietary accounts and for accounts under their management. Such transactions may have a positive or negative effect on the value or level of such Index Component(s) (and/or sub-components thereof) and consequently upon the Index Level, and in engaging in such transactions none of the Index Sponsor - 16 -
and Index Adviser, where applicable, and its/their affiliates shall be under any obligation to act in the interests of users of the Index and/or parties exposed to products referencing the Index. 5.2 Acting in other capacities The Index Calculation Agent, the Index Adviser where applicable, the Index Sponsor or any of their affiliates may from time to time act in multiple capacities with regard to the Index or any products referencing the Index. 5.3 Other derivative instruments in respect of the Index Components The Index Calculation Agent, the Index Adviser where applicable, the Index Sponsor or any of their affiliates may issue, enter into, create, purchase, sell or otherwise distribute derivative instruments in respect of the Index or any Index Component(s) (and/or sub-components thereof) and the introduction of such products into the marketplace may affect the Index Level. 5.4 Market-Making for the Index Components The Index Calculation Agent, the Index Adviser where applicable or the Index Sponsor may, in certain cases, act as a market-maker or sponsor for any Index Component(s) (or sub-components thereof). By such sponsoring or market-making, the Index Calculation Agent, the Index Adviser where applicable or the Index Sponsor may, to a large extent, determine the price of such Index Component(s) (or subcomponents thereof), and consequently influence the Index Level. 5.5 Obtaining of non-public information The Index Calculation Agent, the Index Adviser where applicable or the Index Sponsor or any of their affiliates may acquire non-public information with respect to any Index Component(s) (or subcomponents thereof), and neither the Index Calculation Agent, Index Adviser where applicable or Index Sponsor nor any of their affiliates undertakes to disclose any such information to any user of the Index. In addition, one or more of the Index Calculation Agent's, Index Adviser's or Index Sponsor's affiliates may publish research reports with respect to such Index Component(s) (or sub-components thereof). Such activities could present conflicts of interest and may affect the Index Level. 6. Form of disclaimer to be used on term sheets and issuance documentation for products linked to the Index The following disclaimer wording should be used on term sheets and issuance documentation (for example, Final Terms for Certificates, Warrants and Debt Instruments) for products linked to the Index: The methodology of the RMB Cash Intelligence Index (the Index ) is confidential. The sponsor of the Index (the Index Sponsor ) and where the Index is calculated by a party other than the Index Sponsor (the Index Calculation Agent ) do not guarantee the accuracy or completeness of the Index methodology or the calculation methods, or that there will be no errors or omissions in computing or disseminating the Index, and the Index Sponsor and the Index Calculation Agent, shall have no liability for any errors or omissions therein other than those which arise as a result of their gross negligence. The Index methodology is based on certain assumptions, certain pricing models and calculation methods adopted by the Index Sponsor and/or the Index Calculation Agent and may have certain inherent limitations. Information prepared on the basis of different models, calculation methods or assumptions may yield different results. You have no authority to use or reproduce the Index methodology in any way without a specific licence from FirstRand Group permitting you to do so, and neither FirstRand Group nor any of its affiliates shall be liable for any loss whatsoever arising directly or indirectly from the use of the Index or Index methodology or otherwise in connection therewith, other than as set out herein. The Index Sponsor and the Index Calculation Agent shall not be held liable for any modification or change in the methodology used in calculating the Index. The Index Sponsor reserves the right (unless otherwise specified in the rules governing the Index) to amend or adjust the Index methodology from time to time. The Index Sponsor, and where applicable, the Index Calculation Agent, are under no obligation to continue the calculation, publication or dissemination of the Index and disclaim(s) any liability for any suspension or interruption in the calculation of the Index. The Index Sponsor, and where applicable, the Index Calculation Agent, disclaim(s) any liability in connection with the level of the Index at any given time. The Index Sponsor and, where applicable, the Index Calculation Agent will not accept - 17 -
any liability for any loss whatsoever, directly or indirectly related to the Index, other than as set out herein. The Index methodology embeds certain costs in the strategy which cover amongst other things, friction, replication and repo costs in running the Index. The levels of such costs (if any) may vary over time in accordance with market conditions as determined by the Index Sponsor acting in a commercially reasonable manner. [[This Transaction]/[The Certificates/Warrants/Debt Instruments][is]/[are] not in any way sponsored, endorsed, sold or promoted by any sponsor of any component Index (or part thereof) which comprises the Index (each a Reference Index ) that is not affiliated with FirstRand Group (each such sponsor, a Reference Index Sponsor ). The Reference Index Sponsors do not make any representation whatsoever, whether express or implied, either as to the results to be obtained from the use of the relevant Reference Index and/or the levels at which the relevant Reference Index stands at any particular time on any particular date or otherwise. No Reference Index Sponsor shall be liable, whether in negligence or otherwise, (other than gross negligence, in which case it will be liable) to any person for any error in the relevant Reference Index and the relevant Reference Index Sponsor is under no obligation to advise any person of any error therein. None of the Reference Index Sponsors makes any representation whatsoever, whether express or implied, as to the advisability of purchasing or assuming any risk in connection with the [Transaction]/[Certificates/Warrants/Debt Instruments]. [No Party to the Transaction]/[None of the Issuer[, the Guarantor] or the Calculation Agent] shall have any rights against or recourse to any Reference Index Sponsor should any Reference Index not be published or for any errors in the calculation thereof or on any other basis whatsoever (other than gross negligence, in which case it will be liable) in relation to any Reference Index, its production, or the level or constituents thereof. None of the [parties to the Transaction][Issuer, the Guarantor] or the Index Calculation Agent shall have any liability to any party for any act or failure to act by any Reference Index Sponsor in connection with the calculation, adjustment or maintenance of the relevant Reference Index. [Neither FirstRand Group]/[None of the Issuer, Guarantor or the Calculation Agent] nor any of [its]/[their] affiliates has any affiliation with or control over any Reference Index or the relevant Reference Index Sponsor or any control over the computation, composition or dissemination of any Reference Index. Although the Index Calculation Agent will obtain information concerning each Reference Index from publicly available sources it believes reliable, it will not independently verify this information. Accordingly, no representation, warranty or undertaking (express or implied) is made and no responsibility is accepted by any of[firstrand Group] /[of the Issuer, the Guarantor or the Calculation Agent or], any of [its]/[their] affiliates or the Index Calculation Agent as to the accuracy, completeness and timeliness of information concerning any Reference Index.] To the extent that liability is not excluded in terms of this disclaimer (as a result of gross negligence) any liability will be limited to direct damages only, and the relevant entity will not be liable for indirect or consequential damages. FirstRand Group and/or its affiliates may act in a number of different capacities in relation to the Index and/or products linked to the Index, which may include, but not be limited to, acting as market-maker, hedging counterparty, issuer of components of the Index, Index Sponsor and/or Index Calculation Agent. Such activities could result in potential conflicts of interest that could influence the price or value of this [[this Transaction]/[the Certificates/Warrants/Debt Instruments]. FirstRand Group. All rights reserved. - 18 -
Schedule 1 Adjustments for index component type Money Market Rate The following provisions shall apply in respect of any Index Component in respect of which the Index Component Type is Money Market Rate in Part A of this Rule Book. 1. Consequences of Disruption Events Following any event which results in an interruption, suspension or unavailability of the supply of any data relevant to the calculation of the Index Components specified as Money Market Rate in Part A of this Rule Book ("Relevant Data") as determined by the Index Calculation Agent in its sole discretion (a "Data Suspension" and any day on which a Data Suspension exists a "Disrupted Day"), the provisions relating to the requirements to calculate and publish and/or adjust as set out in Sections 4 and 5 of Part A of the Rules shall apply in relation to the Index. The Index Calculation Agent may, when determining what it shall do under Sections 4 and 5 of Part A of the Rules, use in substitution for the Relevant Data such alternative data as it considers most appropriate (adjusted where deemed necessary by the Index Calculation Agent to minimise differences between the methods and practices in the different data sets and to align the substitute data with that originally selected ("Substitute Data Alignment")) or, where suitable alternative data (in the opinion of the Index Sponsor) is not available, the Index Calculation Agent may take such steps as it considers appropriate to extrapolate values to substitute for the missing data, provided that if the Data Suspension lasts for less than or exactly the Maximum Number of Days of Disruption and the Index Calculation Agent has not taken action in accordance with this paragraph when the Data Suspension ceases, the Index Calculation Agent shall use the data values that apply with respect to the week day next following the last day of the Data Suspension. 2. Corrections In the event that corrections are subsequently made to Relevant Data by the publisher thereof, the Index Calculation Agent and Index Sponsor will disregard the corrections for the purposes of any Index Level which has already been published by reference to the uncorrected Relevant Data. 3. Late Receipt of Data In the event that Relevant Data is received late by the Index Sponsor or Index Calculation Agent where the Index Sponsor has already published an Index Level using substitute data, the Index Sponsor and Index Calculation Agent shall disregard such late received data and the Index Level as so published shall not be updated by reference to such Relevant Data. 4. Cessation of Data Supply In the event that the publisher of Relevant Data ceases to supply that data to the Index Calculation Agent for whatever reason, or the terms of the supply of such data do not permit the use of such data for the purposes of the preparation and publication of the Index, the Index Calculation Agent shall select an alternative supply of data in permanent substitution therefore, which alternative data may include the Index Calculation Agent's own trading rates, and which at the Index Calculation Agent's discretion may be subjected to Substitute Data Alignment. 5. Adjustments to the Index The Index Calculation Agent shall be entitled to make such adjustments to its data sources and Index calculation methodology as it sees fit from time to time in its absolute discretion (but acting in good faith and in a commercially reasonable manner) and shall not be held liable for any consequences of such adjustments. - 19 -