GUIDELINE Solacive US 7-10 Year Treasury Bond Index (Toal Reurn) CAD currency hedged Version 1.0 daed Augus 1 s, 2016
Conens Inroducion 1 Index specificaions 1.1 Shor nae and ISIN 1.2 Iniial value 1.3 Disribuion 1.4 Prices and calculaion frequency 1.5 Weighing 1.6 Decision-aking bodies 1.7 Publicaion 1.8 Hisorical daa 1.9 Licensing 2 Coposiion of he Index 2.1 Selecion of he index coponens 2.2 Ordinary adjusen 3 Calculaion of he Index 3.1 Index forula 3.2 Accuracy 3.3 Calculaion of he Index in he even of a arke disrupion 4 Definiions 5 Appendix 5.1 Conac daa 5.2 Calculaion of he Index change in calculaion ehod This docuen conains he underlying principles and regulaions regarding he srucure and he operaing of he Solacive US 7-10 Year Treasury Bond Index (Toal Reurn) CAD currency hedged (he Index ). Solacive AG shall ake every effor o ipleen regulaions. Solacive AG does no offer any explici or aci guaranee or assurance, neiher peraining o he resuls fro he use of he Index nor he Index value a any cerain poin in ie nor in any oher respec. The Index is erely calculaed and published by Solacive AG and i srives o he bes of is abiliy o ensure he correcness of he calculaion. There is no obligaion for Solacive AG irrespecive of possible obligaions o issuers o advise hird paries, including invesors and/or financial inerediaries, of any errors in he Index. The publicaion of he Index by Solacive AG is no recoendaion for capial invesen and does no conain any assurance or opinion of Solacive AG regarding a possible invesen in a financial insruen based on his Index. 2
Inroducion This docuen is o be used as a guideline wih regard o he coposiion, calculaion and anageen of he Index. Any changes ade o he guideline are iniiaed by he Coiee specified in secion 1.6. The Index is calculaed and published by Solacive AG. The nae Solacive is copyrighed. 1 Index specificaions The Solacive US 7-10 Year Treasury Bond Index (Toal Reurn) CAD currency hedged (he Index ) is an Index of Solacive AG and is calculaed and disribued by Solacive AG. The index racks he perforance of he Solacive US 7-10 Year Treasury Bond Index (Toal Reurn) CAD and hedges he currency exposure o Canadian Dollars on a onhly basis via FX forward conracs. The Index is published in Canadian Dollar [CAD]. 1.1 Shor nae and ISIN The Index is disribued under ISIN DE000SLA2LS8; he WKN is SLA2LS. The Index is published in Reuers under he code <.SOLUTBH> and in Blooberg under he code <SOLUTBH Index>. 1.2 Iniial value The Index is based on 100 a he close of rading on he base dae, January 30, 20009. 1.3 Disribuion The Index is published via he price arkeing services of Boerse Sugar AG and is disribued o all affiliaed vendors. Each vendor decides on an individual basis as o wheher he will disribue/display he Index via his inforaion syses. 1.4 Prices and calculaion frequency The price of he Index is calculaed on each Trading Day based on he prices on he respecive Exchanges on which he Index Coponens are lised. The os recen prices of all Index Coponens are used. Prices of Index Coponens no lised in he Index Currency are ranslaed using 4p London ie foreign exchange fixings fro WMCO. Should here be no curren price or fixing available, he os recen price or he Trading Price on Reuers or he os recen fixing fro WMCO for he preceding Trading Day is used in he calculaion. The Index is calculaed once a Business Day around 5p, EST. In he even ha daa canno be provided o Reuers or o he pricing services of Boerse Sugar AG he Index canno be disribued. Any incorrec calculaion is adjused on a rerospecive basis. 3
1.5 Weighing The index is always fully invesed in Canadian Dollars. 1.6 Decision-aking bodies A Coiee coposed of saff fro Solacive AG is responsible for decisions regarding he coposiion of he Index as well as any aendens o he rules (in his docuen referred o as he "Coiee or he Index Coiee ). The fuure coposiion of he Index is deerined by he Coiee on he Selecion Days according o he procedure oulined in 2.1 of his docuen. The Coiee shall also decide abou he fuure coposiion of he Index. if any Exraordinary Evens should occur and he ipleenaion of any necessary adjusens. Mebers of he Coiee can recoend changes o he guideline and subi he o he Coiee for approval. 1.7 Publicaion All specificaions and inforaion relevan for calculaing he Index are ade available on he hp://www.solacive.de web page and sub-pages. 1.8 Hisorical daa Hisorical daa is available fro he index base dae on January 30, 2009. 1.9 Licensing Licences o use he Index as he underlying value for derivaive insruens are issued o sock exchanges, banks, financial services providers and invesen houses by Solacive AG. 4
2 Coposiion of he Index 2.1 Selecion of he Index Coponens The iniial coposiion of he Index as well as any ongoing adjusen is based on he calculaion forulae oulined in secion 3. 2.2 Ordinary adjusen The coposiion of he Index is adjused onhly on he Adjusen Day. The firs adjusen will be ade in Augus 2016 based on he Prices of he Index Coponens on he Adjusen Day. 5
3 Calculaion of he Index 3.1 Index forula The Index Value on a Trading Day a he relevan ie is calculaed in accordance wih he following forula: UI HI HI RT 1 1 HIM UIRT wih: HI = Hedged Index on Trading Day HI RT = Hedged Index on he Adjusen Day RT iediaely preceding Trading Day UI UI RT HIM = Underlying Index on Trading Day = Underlying Index on he Adjusen Day RT iediaely preceding Trading Day = Hedge Ipac on Trading Day, calculaed according o he following forula: wih: HIM S RT 1 F RT 1 IF S RT 1 F RT IF = CAD/USD id spo rae on he Adjusen Day RT = CAD/USD 1 onh forward id rae on he Adjusen Day RT = CAD/USD 1 onh inerpolaed forward id rae on Trading Day, calculaed as IF wih: S F S D d D S = CAD/USD id spo rae on Trading Day F = CAD/USD 1 onh forward id rae on Trading Day D d = nuber of calendar days beween he las and he nex Adjusen Day = nuber of calendar days beween he las Adjusen Day and Trading Day 3.2 Accuracy The value of he Index will be rounded o 2 decial places. Foreign exchange raes will be rounded o six decial places. 6
3.3 Calculaion of he Index in he even of a Marke Disrupion Even The Index is no calculaed in he even of a Marke Disrupion Even. If he Marke Disrupion Even coninues over a period of eigh Trading Days, hen he Coiee will deerine he necessary acion (including bu no liied o aking ino accoun he arke condiions prevailing a his poin in ie, he las quoed Prices for each of he Index Coponens as well as any oher condiions ha i dees relevan for calculaing he Index value) such ha he affeced securiies resuling fro he Marke Disrupion Even are no longer causing such disrupion o occur. 4. Definiions Index Coponen is each FX coponen currenly included in he Index. A Trading Day is any day oher han a Saurday or Sunday or a day on which he Securiies Indusry And Financial Markes Associaion (SIFMA) recoends ha he fixed incoe deparens of is ebers be closed for he enire day for purposes of rading in U.S. governen securiies. Business Days are se ou on he following URL (or any successor page): hp://www.sifa.org/services/holiday-schedule/. The Index Calculaor is Solacive AG or any oher appropriaely appoined successor in his funcion. The Index Currency is CAD. The Underlying Index is he Solacive US 7-10 Year Treasury Bond Index (Toal Reurn) CAD (ISIN DE000SLA2LV2). Adjusen Day is he las Trading Day of each onh. A Marke Disrupion Even occurs if 1. he underlying index is no published on a Trading Day 2. he respecive FX raes are no published on a Trading Day 7
5 Appendix 5.1 Conac daa Inforaion regarding he Index concep Solacive AG Guiollesr. 54 60325 Frankfur a Main Tel.: +49 69 719 160 00 Fax: +49 69 719 160 25 5.2 Calculaion of he Index change in calculaion ehod The applicaion by he Index Calculaor of he ehod described in his docuen is final and binding. The Index Calculaor shall apply he ehod described above for he coposiion and calculaion of he Index. However i canno be excluded ha he arke environen, supervisory, legal, financial or ax reasons ay require changes o be ade o his ehod. The Index Calculaor ay also ake changes o he ers and condiions of he Index and he ehod applied o calculae he Index, which he dees o be necessary and desirable in order o preven obvious or deonsrable error or o reedy, correc or suppleen incorrec ers and condiions. The Index Calculaor is no obliged o provide inforaion on any such odificaions or changes. Despie he odificaions and changes he Index Calculaor will ake he appropriae seps o ensure a calculaion ehod is applied ha is consisen wih he ehod described above. 8