SEB Commodity Indices

Index Rules

September 2013

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Foreword This document contains a new edition of the SEB Commodity Index Rules (the “Index Rules”). These Index Rules replace the SEB Commodity Index Excess Return Index Rules published in September 2012. Changes to the Excess Return Index, since September 2012, have been the addition of Constituent Base Weight Smoothing as well as clarification of how correlation calculations are performed. Index Rules for the SEB Commodity Index Total Return has also been added. These changes are set out in further detail below.

Amendments The Index Rules for an index may be amended from time to time at the sole discretion of SEB and will be republished (in a manner determined by SEB) no later than one (1) calendar month following such amendment. Although the Index Rules are intended to be comprehensive, ambiguities may arise. If so, SEB will resolve such ambiguities and, if necessary, amend the Index Rules to reflect such resolution.

Limitation of liability The Index Rules in respect of an index neither constitute an offer to purchase or sell securities nor specific advice of whatever form (tax, legal, accounting, regulatory or otherwise) in respect of any investment strategy or investment that may be linked to such index. Neither SEB nor the Calculation Agent does in any capacity endorse or make any representation or warranty, express or implied, in connection with any investment strategy or investment linked to the index. Anyone reading these Index Rules should seek such advice as they consider necessary from their professional advisors, legal, tax or otherwise, without reliance on SEB or the Calculation Agent to satisfy themselves that they fully understand these Index Rules and the risks associated with an index or any investments linked to an index. Furthermore, this document is not intended for distribution to, or use by any person in, a jurisdiction where such distribution is prohibited by law or regulation.

Neither SEB nor the Calculation Agent shall in any capacity be liable for any direct, indirect, incidental, special or consequential damages or lost profits related to or arising out of the use of an index, whether in negligence or otherwise. SEB and the Calculation Agent expressly disclaim all warranties of accuracy, completeness, merchantability or fitness for any particular purpose, with respect to an index. Neither SEB nor the Calculation Agent make any warranty or representation whatsoever, express or implied, in respect of an index, the results to be obtained by the use thereof or the value of an index at any given time.

Neither SEB nor the Calculation Agent is liable for loss or damage resulting from Swedish or foreign legislative enactment, actions of Swedish or foreign authorities, war, power failure, telecommunication failure, fire, water damage, strike, blockade, lockout, boycott, or other similar circumstances outside the control of the SEB or the Calculation Agent. The reservation with respect to strikes, blockade, lockout and boycott also applies if SEB or the Calculation Agent adopts or is the object of such conflict measures.

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1. Excess Return Index

1.1 Index Description

The SEB Commodity Index Excess Return (the “Index”) measures the performance of a basket of commodities. Each commodity is represented by a futures based index, further specified in the Information Annex. The Index is rebalanced quarterly to a predefined set of weights, also specified in the Information Annex. Further, the Index is subject to restrictions on the maximum weight for a single or a pair of commodities. The Index is the property of Skandinaviska Enskilda Banken AB (publ) (“SEB”).

1.2 Calculations

1.2.1 Terms and Definitions Relating to the Index

Index SEB Commodity Index Excess Return

Calculation Agent SEB or any affiliate, subsidiary or third person from time to time designated by SEB to act in its behalf as calculation agent in connection with an Index.

Index Owner SEB

Index Currency US Dollar (“USD”)

Calculation Date,

“t”

Any Scheduled Valuation Day on which no Market Disruption Event occurs. Calculation Date t-1 means the Calculation Date immediately preceding Calculation Date t

Index Base Level,

“I0”

100

Index Base Date,

t=0

2004-09-20

Index Level, "It" In respect of any Calculation Date t, the level of the Index calculated and announced by the Calculation Agent on such date, in accordance with section 1.2.2

Index Constituent,

“Ci” The i

th Index Constituent of the Index as specified in the Information Annex

Commodity Weight In respect of a Calculation Date t, either

(i) a Constituent Weight, or (ii) the sum of two, or more, Constituent Weights, if the corresponding

Index Constituents, “Ci”, are considered Highly Correlated, as

defined in Appendix 1

Constituent Base

Weight, “qi ” The weight of the i

th Index Constituent as specified in the Information Annex,

subject to smoothing as defined in Appendix 1, 1.2.

Constituent

Business Day

A day when an Index Constituent is scheduled to be calculated and announced

Scheduled

Valuation Day

Each day on which the sum of the Constituent Base Weights of the Index Constituents, for which the day also is a Constituent Business Day, equals 80% or more

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1.2.2 Determination of the Index Level “It”

As of each Calculation Date t, Index Level “It” is determined by the Calculation Agent in accordance

with the following formula:

i

rbirbi

titiirbt

FXS

FXSqII

,,

,,

where

rbI = the Index Level as of the last Index Rebalance Day rb < t,

rbiS

, = the Constituent Level as of the last Index Rebalance Day rb < t,

rbiFX

, = the Currency Conversion Rate as of the last Index Rebalance Day rb < t

The Index Level is rounded to five (5) decimal places.

Currency

Conversion Rate,

"FXi,t"

As of the Calculation Date t and Index Constituent Ci,

(i) 1.0, if the Index Constituent is denoted in the Index Currency

(ii) the EURUSD spot fixing rate, published by The World Markets Company PLC, if the Index Constituent is denoted in EUR

Constituent Level,

“Si,t” The index level of the i

th constituent as of the Calculation Date t

Index Rebalance

Day, "t=rb"

Either: the second Calculation Date in January, April, July and October, which is also

a Constituent Business Day for all Index Constituents; or the Calculation Date, t¸ following the Calculation Date, t-1¸ on which a

Rebalance Signals is triggered. The first Index Rebalance Day is defined as the Index Base Date.

Constituent

Weight, “wi,t,”

As of the Calculation Date t,

t

rbirbi

titiirbti I

FXS

FXSqIw

,,

,,,

Rebalance Signal As of the Calculation Date t, a Rebalance Signal is triggered if the 35% Rule and/or the 20% Rule is violated

35% Rule A Commodity Weight cannot exceed 35%

20% Rule Two, or more, Commodity Weights cannot each exceed 20%

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1.3 Disruptions and Consequences thereof

1.3.1 Market Disruption Events

“Market Disruption Event” means that, in respect of a Scheduled Valuation Day:

(i) the Constituent Level is not published on the corresponding Constituent Business Day or the occurrence of any event which prevents the Calculation Agent from ascertaining the Constituent Level; or

(ii) the Currency Conversion Rate is not published or the occurrence of any event which prevents the Calculation Agent from ascertaining the Currency Conversion Rate.

Any Scheduled Valuation Day on which a Market Disruption Event has occurred will be considered as a “Disrupted Day”.

1.3.2 Consequences of a Market Disruption Event

If the Calculation Agent determines that a Scheduled Valuation Day is a Disrupted Day, the Calculation Agent will make the relevant calculations on the first following Scheduled Valuation Day which is not a Disrupted Day. Should more than twenty (20) Disrupted Days occur in succession, the Calculation Agent may permanently cancel the Index on such twentieth Disrupted Day.

1.4 Index Adjustment Event

“Index Adjustment Event” means the occurrence of any of the following situations which the Calculation Agent, in consultation with the Index Owner, deems material and relevant for the calculation of the Index Level, including, but not limited to:

(i) all trading or pricing of the Index Constituent or related derivative contracts ceases permanently; (ii) the method for calculating the price of the Index Constituent or related derivative contracts are

changed significantly; (iii) the composition or content of the Index Constituent or in related derivative contracts are changed

significantly; or (iv) the exchange rolling schedule of the Index Constituents is changed.

Following the occurrence of an Index Adjustment Event, the Calculation Agent, in consultation with the Index Owner may:

(i) make an adjustment or decide to modify a provision regarding adjustment or permanently cancel the Index to account for such event; or

(ii) make an adjustment to the formula or the method for calculating the Index Level or permanently cancel the Index to account for such event.

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2. Total Return Index This section sets out the rules for the SEB Commodity Index Total Return (the “TR Index”). Terms defined in Section 1 shall have the same meaning in this Section 2 unless given a different meaning in this Section 2.

2.1 Index Description

The SEB Commodity Index Total Return (the “TR Index”) measures the performance of a fully collateralised futures strategy based on the SEB Commodity Index Excess Return. Capital gains from the interest rate position are reinvested in the TR Index on a daily basis. The TR Index is the property of Skandinaviska Enskilda Banken AB (publ) (“SEB”).

2.2 Calculations

2.2.1 Terms and Definitions Relating to the TR Index

TR Index SEB Commodity Index Total Return

TR Index Level, "ItTR

" In respect of any Calculation Date t, the level of the TR Index calculated and announced by the Calculation Agent on such date, in accordance with section 2.2.2

Currency Conversion Rate, "FXt" As of the Calculation Date t the EURUSD spot fixing rate, published by The World Markets Company PLC 17:00 Stockholm time, expressed as the number of EUR per one (1) USD.

Interest Rate, “ rtCCY

” As of the Calculation Date t, the Interest Rate of currency CCY as defined in the Information Annex 1.2. If, on any Calculation Date t, any Interest Rate is not published, the Calculation Agent may, in consultation with the Index Owner, use the Interest Rate as published on the preceding Calculation Date t-1.

Interest Return, “RtCCY

” As of Calculation Date t and currency CCY,

360/dtrIWIR CCYt

CCYt

TRt

CCYt

where dt denotes the number of calendar days between Calculation

Date t and Calculation Date t+1.

Index Weight, “IWtCCY

” As of the Calculation Date t, the sum of the Index Constituent Weights for the Index Constituents denoted in currency CCY.

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2.2.2 Determination of the TR Index Level “ITR”

As of each Calculation Date t, TR Index Level “It” is determined by the Calculation Agent in

accordance with the following formula:

1

11

1

11 1

t

tEURt

USDt

t

ttTRt

TRt

FX

FXRR

I

IIII

The TR Index Level is rounded to five (5) decimal places.

2.3 Disruptions and Consequences thereof

2.3.1 Market Disruption Events

“Market Disruption Event” means that, in respect of a Scheduled Valuation Day:

(i) the Currency Conversion Rate is not published or the occurrence of any event which prevents the Calculation Agent from ascertaining the Currency Conversion Rate; or

(ii) the Index Level is not published or the occurrence of any event which prevents the Calculation Agent from ascertaining the Index Level.

Any Scheduled Valuation Day on which a Market Disruption Event has occurred will be considered as a “Disrupted Day”

2.4 Index Adjustment Event

“Index Adjustment Event” means the occurrence of any of the following situations which the Calculation Agent, in consultation with the Index Owner, deems material and relevant for the calculation of the Total Return Index Level, including, but not limited to:

(i) the permanent cessation of all trading or pricing of the TR Index or related derivative contracts; or (ii) a significant change of the method for calculating the price of the TR Index or related derivative

contracts; or (iii) a significant change of the composition or content of the TR Index or in related derivative contracts.

Following the occurrence of an Index Adjustment Event the Calculation Agent, in consultation with the Index Owner, may:

(i) make an adjustment or decide to modify a provision regarding adjustment or permanently cancel the TR Index to account for such event; or

(ii) make an adjustment to the formula or the method for calculating the Index Level or permanently cancel the TR Index to account for such event.

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1. INFORMATION ANNEX

1.1 Constituent Base Weights

No Index Constituent Constituent Base Weight

1 SEB Brent Crude Oil Index, an index created by SEB and calculated by SEB, in accordance with the index rules available at www.seb.se/cert

15%

2 SEB Gasoline Index, an index created by SEB and calculated by SEB, in accordance with the index rules available at www.seb.se/cert

12%

3 SEB Gas Oil Index, an index created by SEB and calculated by SEB, in accordance with the index rules available at www.seb.se/cert

12%

4 SEB Gold Index, an index created by SEB and calculated by SEB, in accordance with the index rules available at www.seb.se/cert

10%

5 SEB Copper, an index created by SEB and calculated by SEB, in accordance with the index rules available at www.seb.se/cert

9%

6 SEB Nordic Power Index, an index created by SEB and calculated by SEB, in accordance with the index rules available at www.seb.se/cert

8%

7 SEB Milling Wheat Index, an index created by SEB and calculated by SEB, in accordance with the index rules available at www.seb.se/cert

5%

8 SEB Aluminium Index, an index created by SEB and calculated by SEB, in accordance with the index rules available at www.seb.se/cert

4%

9 SEB Corn Index, an index created by SEB and calculated by SEB, in accordance with the index rules available at www.seb.se/cert

4%

10 SEB Soybean Index, an index created by SEB and calculated by SEB, in accordance with the index rules available at www.seb.se/cert

4%

11 SEB European Power Index, an index created by SEB and calculated by SEB, in accordance with the index rules available at www.seb.se/cert

3%

12 SEB Silver Index, an index created by SEB and calculated by SEB, in accordance with the index rules available at www.seb.se/cert

3%

13 SEB Coffee Index, an index created by SEB and calculated by SEB, in accordance with the index rules available at www.seb.se/cert

2%

14 SEB Rapeseed Index, an index created by SEB and calculated by SEB, in accordance with the index rules available at www.seb.se/cert

2%

15 SEB Sugar Index, an index created by SEB and calculated by SEB, in accordance with the index rules available at www.seb.se/cert

2%

16 SEB Zinc Index, an index created by SEB and calculated by SEB, in accordance with the index rules available at www.seb.se/cert

2%

17 SEB Cotton Index, an index created by SEB and calculated by SEB, in accordance with the index rules available at www.seb.se/cert

1%

18 SEB Nickel Index, an index created by SEB and calculated by SEB, in accordance with the index rules available at www.seb.se/cert

1%

19 SEB Rough Rice Index, an index created by SEB and calculated by SEB, in accordance with the index rules available at www.seb.se/cert

1%

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1.2 Interest Rates Interest Rate

rtEUR

EONIA overnight (“O/N”) Bloomberg Page EONIA Index

rtUSD

LIBOR USD overnight (“O/N”) Bloomberg Page US00O/N Index

1.3 Highly Correlated

The definition of Highly Correlated can be found in “Guidelines for competent authorities and UCITS management companies” (17.12.2012 | ESMA/2012/832EL), section IX, Financial Indices, Article 50.

1.4 Constituent Base Weight Smoothing

The Constituent Base Weights are subject to a smoothing procedure if the 35% Rule and/or the 20% Rule are violated as a result of two or more of the Index Constituents being Highly Correlated. Should a Rebalance Signal be triggered by a scheduled index rebalance event, the smoothing procedure is carried out on that same Index Rebalance Day. The adjustment of the weights follow the procedure as described below

The Constituent Base Weights, q̂ , of the Index Constituents that would violate the 35% Rule and/or the 20%

Rule, are reduced with the Excess Weight proportionally. The Constituent Base Weights, , of the remaining

Index Constituents are increased with the Excess Weight proportionally.

These adjusted Constituent Base Weights will prevail until the next Index Rebalance Day. Excess Weight is defined as in following formulas,

%20%)2(

%35%)2(

ˆ

ˆ

qii

qii

q

q

WeightExcess

where (1) holds if 35% Rule would be violated and (2) holds if 20% Rule would be violated.

In the event of both rules above being violated, the smoothing procedure is first applied to the Index Constituents violating the 35% Rule. The procedure is repeated until both rules hold.

qq i ˆ

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